Access Statistics for René Garcia

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Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Model-Free Measure of Aggregate Idiosyncratic Volatility and the Prediction of Market Returns 0 0 0 119 1 3 14 225
A Monte-Carlo Method for Optimal Portfolios 0 0 1 1,525 0 6 14 3,753
A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models 0 0 0 698 1 3 13 3,359
AN ANLYSIS OF THE REAL INTEREST RATE UNDER REGIME SHIFTS 0 0 0 1 0 5 11 837
Alleviating Coordination Problems and Regulatory Constraints through Financial Risk Management 0 0 0 28 0 1 6 126
An Analysis of the Real Interest Rate Under Regime Shifts 0 0 0 859 1 3 17 3,463
An Analysis of the Real Interest rate Under Regime Shifts 0 0 0 1 3 7 11 950
An Analysis of the Real Interest rate Under Regime Shifts 0 0 0 103 0 3 16 525
An analysis of Real Interest Rate Under Regime Shifts 0 0 0 0 0 0 12 110
An analysis of Real Interest Rate Under Regime Shifts 0 0 0 0 0 2 11 234
Approximate analytical solutions for consumption/investment problems under recursive utility and finite horizon 0 0 0 0 0 1 7 19
Are the Effects of Monetary Policy Asymmetric? 0 0 0 1 1 4 14 298
Are the Effects of Monetary Policy Asymmetric? 0 0 0 54 0 2 7 205
Are the Effects of Monetary Policy Asymmetric? 0 0 0 457 2 5 16 1,783
Are the Effects of Monetary Policy Asymmetric? 1 1 1 650 2 7 18 1,749
Artificial Intelligence and Beyond for Finance 0 0 0 0 0 4 10 23
Artificial Intelligence for Finance - Preface 0 0 0 0 0 2 5 18
Assessing and Valuing the Non-Linear Structure of Hedge Fund Returns 0 0 0 175 0 5 29 548
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 0 10 0 6 15 413
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 0 171 1 3 13 790
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 0 1 1 1 6 401
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 1 590 0 6 12 2,606
Asymptotic Null Contribution of the Likelihood Ratio Test in Markov Switching Models 0 0 0 0 0 3 6 136
Asymptotic Null Contribution of the Likelihood Ratio Test in Markov Switching Models 0 0 0 8 0 2 7 65
Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models 0 0 2 867 0 6 29 4,402
Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes 0 0 1 313 1 3 8 1,210
Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes 0 0 0 1 0 3 23 343
Bond Liquidity Premia 0 0 0 97 1 4 19 320
Can Well-Fitted Equilibrium Asset Pricing Model Produce Mean Reversion? 0 0 0 0 0 6 18 118
Can Well-Fitted Equilibrium Asset Pricing Model Produce Mean Reversion? 0 0 0 0 0 2 7 236
Can a well-fitted equilibrium asset pricing model produce mean reversion? 0 0 0 9 0 2 8 114
Consumption and Equilibrium Asset Pricing: an Empirical Assessment 0 0 0 0 0 0 7 143
Consumption and Equilibrium Asset Pricing: an Empirical Assessment 0 0 0 0 0 4 10 221
Consumption and equilibrium asset pricing: An empirical assessment 0 0 0 24 0 1 24 149
Dependence Structure and Extreme Comovements in International Equity and Bond Markets 0 0 0 170 2 6 10 519
Disappointment Aversion as a Solution to the Equity Premium and the Risk- Free Rate Puzzles 0 0 0 1 0 1 8 591
Disappointment Aversion as a Solution to the Equity Premium and the Risk-Free Rate Puzzles 0 0 0 630 1 1 16 3,332
Disappointment aversion as a solution to the equity premium and the risk-free rate puzzles 0 0 0 37 0 2 7 219
Disentangling Risk Aversion and Intertemporal Substitution Through a Reference Level 0 0 0 189 0 2 7 951
Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables 0 0 0 8 0 3 8 299
Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note: Nouvelle version Février 2002) 0 0 0 442 1 2 9 2,283
Empirical Assessment of an Intertemporal Option Pricing Model with Latent variables 0 0 0 84 0 2 12 366
Empirical Assessment of an Intertemporal option Pricing Model with Latent variables 0 0 0 1 1 4 11 255
Estimation of stable distributions by indirect inference 0 0 1 75 0 3 13 268
Estimation of stable distributions with indirect inference 0 0 0 5 0 2 12 62
Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation 0 0 0 0 1 2 9 190
Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation 0 0 0 157 1 2 13 1,109
Excess Sensitivity and Asymmetries in Consumption: an Empirical Investigation 0 0 0 21 1 2 8 144
Extracting Tail Risk from High-Frequency S&P 500 Returns 0 0 0 8 0 3 13 36
Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns 0 0 0 27 2 5 26 78
Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns 0 0 3 34 2 6 22 156
Generalized Disappointment Aversion, Long Run Volatility Risk and Asset Prices 0 0 0 88 0 5 14 267
Generalized Disappointment Aversion, Long Run Volatility Risk and Asset Prices 0 0 0 27 0 1 6 113
High-Frequency Tail Risk Premium and Stock Return Predictability 0 0 0 8 2 5 22 23
Incorporating Second-Order Functional Knowledge for Better Option Pricing 0 0 2 60 3 8 19 372
Indexation, Staggering and Disinflation 0 0 0 0 0 4 7 108
Indexation, Staggering and Disinflation 0 0 0 0 1 2 7 148
Indexation, staggering and disinflation 0 0 0 11 0 2 7 67
Infrequent information, optimal time and state dependent rules, and aggregate effects 0 0 0 6 0 7 8 77
Intermediary leverage shocks and funding conditions 0 0 0 0 0 0 4 4
Latent Variable Models for Stochastic Discount 0 0 0 3 0 5 18 248
Latent Variable Models for Stochastic Discount Factors 0 0 0 128 0 2 6 531
Latent Variable Models for Stochastic Discount Factors 0 0 0 528 1 3 7 2,729
Les modèles de prévisions économiques 0 0 0 72 1 3 6 268
Letent Variable Models for Stochastic Discount Factors 0 0 0 0 1 1 6 258
MEAN AVERSION IN EQUILIBRIUM ASSET PRICES: COMMENT 0 0 0 0 0 5 9 360
Measuring High-Frequency Causality Between Returns, Realized Volatility and Implied Volatility 0 0 0 127 1 4 10 349
Measuring causality between volatility and returns with high-frequency data 0 0 0 96 0 6 13 415
Modelling Risk Premiums in Equity and Foreign Exchange Markets 0 0 0 544 0 2 7 1,697
Nonparametric Assessment of Hedge Fund Performance 0 0 0 0 0 2 7 23
Nonparametric Assessment of Hedge Fund Performance 0 0 0 10 0 4 27 65
Nonparametric Tail Risk, Stock Returns and the Macroeconomy 0 0 2 80 0 5 13 146
On the Dynamic Specification of International Asset Pricing Models 0 0 0 0 0 1 14 184
On the Dynamic Specification of International Asset Pricing Models 0 0 0 4 0 2 7 80
On the Dynamic Specification of International Asset Pricing Models 0 0 0 547 1 3 11 2,223
Optimal Rules under Adjustment Cost and Infrequent Information 0 0 0 40 1 4 7 264
Persistent Monetary Non-neutrality in an Estimated Model with Menu Costs and Partially Costly Information 0 0 2 33 1 7 16 124
Portfolio Allocation and Reinforcement Learning 0 0 0 0 0 2 6 17
Pricing and Hedging Derivative Securities with Neural Networks and a Homogeneity Hint 0 0 4 671 1 7 25 2,346
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 0 0 0 2 5 503
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 0 110 1 2 6 552
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 0 13 0 1 9 94
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 0 848 1 4 9 4,536
Risk Aversion, Intertemporal Substitution, and the Term Structure of Interest Rates 0 0 0 85 2 3 12 299
Risk Premium and Risk Price in the Equity MarketRisk 0 0 0 0 0 4 7 18
State Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle 0 0 0 111 0 5 17 348
State-dependent pricing under infrequent information: a unified framework 0 1 1 42 0 3 10 147
Structural Change and Asset Pricing in Emerging Markets 0 0 0 564 0 2 11 2,346
Tail Risk and Asset Prices in the Short-term 0 2 3 7 1 5 26 38
Tests of Conditional Asset Pricing Models in the Brazilian Stock Market 0 0 0 353 0 2 11 2,139
Tests of Conditional Asset Pricing Models in the Brazilian Stock Market 0 0 0 537 0 2 10 2,104
Tests of Conditional Asset Pricing Models in the Brazilian Stock Market 0 0 0 79 0 1 10 476
Tests of Conditonal Asset Pricing Models in the Brazilian Stock Market 0 0 0 1 0 2 25 846
Tests of conditional asset pricing models in the Brazilian stock market 0 0 0 42 0 0 9 221
Tests of conditional asset pricing models in the brazilian stock market 0 0 1 6 1 2 15 416
The Alleviation of Coordination Problems through Financial Risk Management 0 0 0 40 1 3 9 198
The Canadian Macroeconomy and the Yield Curve: An Equilibrium-Based Approach 0 0 0 152 0 0 6 596
The Econometrics of Option Pricing 0 1 1 1,259 0 4 12 3,145
The Macroeconomic Effects of Infrequent Information With Adjustment Costs 0 0 0 0 0 0 10 290
The Macroeconomic Effects of Infrequent Information with Adjustment Costs 0 0 1 30 0 0 3 234
The Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order Moments 0 0 0 191 0 4 14 778
The Value of Real and Financial Risk Management 0 0 0 311 0 1 7 1,026
The macroeconomic effects of infrequent information with adjustment costs 0 0 1 8 1 1 9 133
Time- and State-Dependent Pricing: A Unified Framework 0 0 2 26 1 1 17 108
Uncovering asset market participation from household consumption and income 0 0 0 0 0 1 10 10
Total Working Papers 1 5 30 16,549 50 320 1,245 75,857

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Model-Free Measure of Aggregate Idiosyncratic Volatility and the Prediction of Market Returns 0 0 0 19 0 2 12 91
A Monte Carlo Method for Optimal Portfolios 0 0 3 284 1 4 16 628
A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models 0 0 0 15 0 4 10 73
Alleviating Coordination Problems and Regulatory Constraints Through Financial Risk Management 0 0 0 2 0 3 15 39
An Analysis of the Real Interest Rate under Regime Shifts 0 0 2 808 4 8 26 2,027
Application of a simulation software to the analysis of a peasant farming system 1 1 1 8 1 3 6 51
Approximate analytical solutions for consumption/investment problems under recursive utility and finite horizon 0 0 0 13 2 2 7 48
Are the Effects of Monetary Policy Asymmetric? 0 0 0 0 1 2 18 462
Assessing and valuing the nonlinear structure of hedge fund returns 0 0 0 31 0 5 10 105
Assessing misspecified asset pricing models with empirical likelihood estimators 0 0 0 69 0 3 20 250
Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models 0 0 0 1 5 8 22 2,336
Asymptotic Properties of Monte Carlo Estimators of Derivatives 0 0 0 6 0 2 11 59
Asymptotic properties of Monte Carlo estimators of diffusion processes 0 0 1 42 0 2 17 186
Bond Liquidity Premia 0 0 1 46 3 7 15 193
Can a Well-Fitted Equilibrium Asset-Pricing Model Produce Mean Reversion? 0 0 0 63 0 0 10 399
Comment 0 0 0 4 0 0 7 43
Consumption and equilibrium asset pricing: An empirical assessment 0 0 0 59 0 2 7 219
Dependence structure and extreme comovements in international equity and bond markets 0 0 0 97 0 6 21 414
Disentangling risk aversion and intertemporal substitution through a reference level 0 0 0 54 0 2 12 211
Disequilibrium Econometrics for Business Loans 0 0 0 211 1 1 10 510
Econometric methods for derivative securities and risk management 0 0 0 84 0 4 9 223
Economic Implications of Nonlinear Pricing Kernels 0 0 0 4 0 5 12 44
Empirical assessment of an intertemporal option pricing model with latent variables 0 0 0 89 0 0 8 307
Erratum to Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy 0 0 0 2 0 3 11 30
Estimation of objective and risk-neutral distributions based on moments of integrated volatility 0 0 0 51 0 1 3 222
Estimation of stable distributions by indirect inference 0 0 0 87 0 4 11 269
Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation 0 0 0 1 0 0 12 527
Generalized Disappointment Aversion, Long-run Volatility Risk, and Asset Prices 0 0 0 34 0 4 11 126
High-Frequency Tail Risk Premium and Stock Return Predictability 0 1 3 4 0 4 30 32
Identification, inference and risk 0 4 10 13 0 5 22 29
Indexation, staggering and disinflation 0 0 0 34 0 2 7 117
Information asymétrique, contraintes de liquidité et investissement 0 0 0 10 0 2 9 100
Intermediary Leverage Shocks and Funding Conditions 0 1 3 7 1 4 19 35
Intertemporal asset allocation: A comparison of methods 0 0 2 75 0 2 12 193
L'effet redistributif de l'inflation de 1969 a 1975 sur les menages canadiens. (With English summary.) 0 0 0 7 0 0 3 147
La théorie économique de l’information: exposé synthétique de la littérature 0 0 0 36 0 2 13 248
Measuring High-Frequency Causality Between Returns, Realized Volatility, and Implied Volatility 0 0 0 17 0 1 13 70
Modèles d’évaluation des actifs financiers dans les marchés boursiers en émergence: identification des facteurs de risque et tests de changement structurel 0 0 0 18 1 2 8 166
Nonparametric Tail Risk, Stock Returns, and the Macroeconomy 0 0 0 33 0 4 16 168
Nonparametric assessment of hedge fund performance 0 0 0 6 0 6 15 51
Optimal portfolio strategies in the presence of regimes in asset returns 0 0 2 22 1 4 16 72
Persistent Monetary Non-neutrality in an Estimated Menu Cost Model with Partially Costly Information 0 0 1 6 0 1 13 38
Predictive Modeling, Volatility, and Risk Management in Financial Markets: In Memory of Peter F. Christoffersen (Part I) 0 0 0 0 0 0 8 11
Predictive Modeling, Volatility, and Risk Management in Financial Markets: In Memory of Peter F. Christoffersen (Part I) 0 0 0 8 0 1 5 27
Pricing and hedging derivative securities with neural networks and a homogeneity hint 0 0 1 203 2 9 23 632
Prime de risque et prix du risque sur les actions 0 0 0 3 0 2 5 20
Proper Conditioning for Coherent VaR in Portfolio Management 0 0 0 15 0 3 12 91
Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy 0 0 0 2 0 3 9 39
Representation formulas for Malliavin derivatives of diffusion processes 0 0 1 55 0 3 10 166
Risk aversion, intertemporal substitution, and the term structure of interest rates 0 0 0 0 0 2 13 88
Special Issue on "Multivariate Volatility Models" 0 0 0 25 0 0 7 86
State Dependence Can Explain the Risk Aversion Puzzle 0 0 0 37 0 2 10 125
Structural change and asset pricing in emerging markets 0 0 0 90 0 1 8 328
Tests of conditional asset pricing models in the Brazilian stock market 0 0 0 87 0 1 7 297
The Canadian macroeconomy and the yield curve: an equilibrium-based approach 0 0 0 21 0 4 8 175
The Canadian macroeconomy and the yield curve: an equilibrium‐based approach 0 0 0 0 0 2 7 16
The JFEC Invited Lecture at the 2008 SoFiE Conference 0 0 0 7 0 0 4 42
The JFEC Invited Lecture at the 2009 SoFiE Conference 0 0 0 13 0 0 3 70
The long and the short of the risk-return trade-off 0 0 0 14 0 5 13 122
The macroeconomic effects of infrequent information with adjustment costs 0 0 0 49 0 1 11 406
The macroeconomic effects of infrequent information with adjustment costs 0 0 1 1 0 4 10 18
The option CAPM and the performance of hedge funds 0 0 0 47 0 3 9 198
Uncovering asset market participation from household consumption and income 0 0 1 1 2 3 24 26
Uses of first line emergency services in Cuba 0 0 0 7 0 3 6 65
Viewpoint: Option prices, preferences, and state variables 0 0 0 0 2 4 10 17
Viewpoint: Option prices, preferences, and state variables 0 0 0 29 0 2 7 158
Total Journal Articles 1 7 33 3,186 27 184 774 14,781

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Portfolio Allocation and Reinforcement Learning 0 0 2 5 0 7 16 23
Total Chapters 0 0 2 5 0 7 16 23

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