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 4 13 222
A Monte-Carlo Method for Optimal Portfolios 1 1 1 1,525 3 4 8 3,745
A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models 0 0 0 698 0 8 11 3,356
AN ANLYSIS OF THE REAL INTEREST RATE UNDER REGIME SHIFTS 0 0 0 1 0 6 6 832
Alleviating Coordination Problems and Regulatory Constraints through Financial Risk Management 0 0 0 28 3 5 5 125
An Analysis of the Real Interest Rate Under Regime Shifts 0 0 1 859 0 6 19 3,460
An Analysis of the Real Interest rate Under Regime Shifts 0 0 0 1 0 3 5 943
An Analysis of the Real Interest rate Under Regime Shifts 0 0 0 103 2 5 12 520
An analysis of Real Interest Rate Under Regime Shifts 0 0 0 0 0 9 9 232
An analysis of Real Interest Rate Under Regime Shifts 0 0 0 0 1 11 12 110
Approximate analytical solutions for consumption/investment problems under recursive utility and finite horizon 0 0 0 0 1 3 5 17
Are the Effects of Monetary Policy Asymmetric? 0 0 0 457 5 9 11 1,777
Are the Effects of Monetary Policy Asymmetric? 0 0 1 649 3 8 16 1,742
Are the Effects of Monetary Policy Asymmetric? 0 0 0 1 2 6 10 293
Are the Effects of Monetary Policy Asymmetric? 0 0 0 54 0 5 5 203
Artificial Intelligence and Beyond for Finance 0 0 0 0 1 4 8 19
Artificial Intelligence for Finance - Preface 0 0 0 0 0 0 5 16
Assessing and Valuing the Non-Linear Structure of Hedge Fund Returns 0 0 0 175 15 20 23 542
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 0 171 0 7 11 787
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 0 1 1 3 5 400
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 0 10 0 4 9 407
Asymmetric Smiles, Leverage Effects and Structural Parameters 1 1 1 590 1 4 11 2,600
Asymptotic Null Contribution of the Likelihood Ratio Test in Markov Switching Models 0 0 0 8 1 4 5 63
Asymptotic Null Contribution of the Likelihood Ratio Test in Markov Switching Models 0 0 0 0 0 1 3 133
Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models 0 0 3 867 7 18 26 4,395
Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes 0 0 0 1 1 15 19 339
Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes 1 1 1 313 2 2 5 1,207
Bond Liquidity Premia 0 0 1 97 1 7 15 314
Can Well-Fitted Equilibrium Asset Pricing Model Produce Mean Reversion? 0 0 0 0 1 4 5 234
Can Well-Fitted Equilibrium Asset Pricing Model Produce Mean Reversion? 0 0 0 0 0 11 12 112
Can a well-fitted equilibrium asset pricing model produce mean reversion? 0 0 0 9 1 5 5 111
Consumption and Equilibrium Asset Pricing: an Empirical Assessment 0 0 0 0 0 3 6 217
Consumption and Equilibrium Asset Pricing: an Empirical Assessment 0 0 0 0 0 2 6 142
Consumption and equilibrium asset pricing: An empirical assessment 0 0 0 24 0 20 23 147
Dependence Structure and Extreme Comovements in International Equity and Bond Markets 0 0 0 170 0 2 8 513
Disappointment Aversion as a Solution to the Equity Premium and the Risk- Free Rate Puzzles 0 0 0 1 0 1 7 588
Disappointment Aversion as a Solution to the Equity Premium and the Risk-Free Rate Puzzles 0 0 0 630 0 10 15 3,329
Disappointment aversion as a solution to the equity premium and the risk-free rate puzzles 0 0 0 37 0 3 6 217
Disentangling Risk Aversion and Intertemporal Substitution Through a Reference Level 0 0 0 189 1 4 6 949
Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables 0 0 0 8 1 5 5 296
Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note: Nouvelle version Février 2002) 0 0 0 442 0 6 7 2,281
Empirical Assessment of an Intertemporal Option Pricing Model with Latent variables 0 0 0 84 0 6 12 363
Empirical Assessment of an Intertemporal option Pricing Model with Latent variables 0 0 0 1 0 5 7 251
Estimation of stable distributions by indirect inference 1 1 1 75 4 9 10 265
Estimation of stable distributions with indirect inference 0 0 0 5 0 5 10 60
Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation 0 0 0 157 1 5 11 1,107
Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation 0 0 0 0 0 3 7 188
Excess Sensitivity and Asymmetries in Consumption: an Empirical Investigation 0 0 0 21 0 4 6 142
Extracting Tail Risk from High-Frequency S&P 500 Returns 0 0 0 8 0 5 10 33
Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns 1 2 3 34 3 9 15 148
Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns 0 0 0 27 1 11 16 68
Generalized Disappointment Aversion, Long Run Volatility Risk and Asset Prices 0 0 0 88 0 4 8 261
Generalized Disappointment Aversion, Long Run Volatility Risk and Asset Prices 0 0 0 27 1 2 4 111
High-Frequency Tail Risk Premium and Stock Return Predictability 0 0 8 8 5 8 15 15
Incorporating Second-Order Functional Knowledge for Better Option Pricing 0 1 3 60 1 3 11 361
Indexation, Staggering and Disinflation 0 0 0 0 0 5 5 146
Indexation, Staggering and Disinflation 0 0 0 0 1 3 4 104
Indexation, staggering and disinflation 0 0 0 11 0 5 5 65
Infrequent information, optimal time and state dependent rules, and aggregate effects 0 0 0 6 0 1 1 70
Latent Variable Models for Stochastic Discount 0 0 0 3 1 12 13 243
Latent Variable Models for Stochastic Discount Factors 0 0 0 528 0 2 3 2,725
Latent Variable Models for Stochastic Discount Factors 0 0 0 128 1 3 4 529
Les modèles de prévisions économiques 0 0 0 72 1 3 3 265
Letent Variable Models for Stochastic Discount Factors 0 0 0 0 0 2 5 257
MEAN AVERSION IN EQUILIBRIUM ASSET PRICES: COMMENT 0 0 0 0 1 3 3 354
Measuring High-Frequency Causality Between Returns, Realized Volatility and Implied Volatility 0 0 0 127 1 5 6 344
Measuring causality between volatility and returns with high-frequency data 0 0 0 96 0 5 7 408
Modelling Risk Premiums in Equity and Foreign Exchange Markets 0 0 0 544 0 2 5 1,695
Nonparametric Assessment of Hedge Fund Performance 0 0 0 10 3 15 22 60
Nonparametric Assessment of Hedge Fund Performance 0 0 0 0 0 1 4 20
Nonparametric Tail Risk, Stock Returns and the Macroeconomy 1 1 2 80 1 6 10 141
On the Dynamic Specification of International Asset Pricing Models 0 0 0 4 0 1 4 77
On the Dynamic Specification of International Asset Pricing Models 0 0 0 547 1 8 8 2,220
On the Dynamic Specification of International Asset Pricing Models 0 0 0 0 3 12 13 183
Optimal Rules under Adjustment Cost and Infrequent Information 0 0 0 40 0 2 3 259
Persistent Monetary Non-neutrality in an Estimated Model with Menu Costs and Partially Costly Information 0 0 2 33 2 3 9 116
Portfolio Allocation and Reinforcement Learning 0 0 0 0 1 4 5 15
Pricing and Hedging Derivative Securities with Neural Networks and a Homogeneity Hint 0 2 3 670 1 7 17 2,336
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 1 848 1 2 6 4,531
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 0 0 0 3 3 501
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 0 13 0 5 8 93
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 0 110 0 2 3 549
Risk Aversion, Intertemporal Substitution, and the Term Structure of Interest Rates 0 0 0 85 1 5 9 296
Risk Premium and Risk Price in the Equity MarketRisk 0 0 0 0 0 3 5 14
State Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle 0 0 0 111 1 8 11 341
State-dependent pricing under infrequent information: a unified framework 0 0 0 41 0 3 6 143
Structural Change and Asset Pricing in Emerging Markets 0 0 0 564 1 3 10 2,344
Tail Risk and Asset Prices in the Short-term 0 0 1 5 2 7 16 28
Tests of Conditional Asset Pricing Models in the Brazilian Stock Market 0 0 0 353 1 7 8 2,136
Tests of Conditional Asset Pricing Models in the Brazilian Stock Market 0 0 0 79 0 6 9 475
Tests of Conditional Asset Pricing Models in the Brazilian Stock Market 0 0 0 537 0 4 9 2,102
Tests of Conditonal Asset Pricing Models in the Brazilian Stock Market 0 0 0 1 0 20 24 844
Tests of conditional asset pricing models in the Brazilian stock market 0 0 0 42 0 4 8 220
Tests of conditional asset pricing models in the brazilian stock market 0 0 1 6 1 10 12 413
The Alleviation of Coordination Problems through Financial Risk Management 0 0 0 40 1 3 8 195
The Canadian Macroeconomy and the Yield Curve: An Equilibrium-Based Approach 0 0 0 152 0 2 6 596
The Econometrics of Option Pricing 0 0 1 1,258 0 0 10 3,139
The Macroeconomic Effects of Infrequent Information With Adjustment Costs 0 0 0 0 1 6 9 289
The Macroeconomic Effects of Infrequent Information with Adjustment Costs 0 0 2 30 0 1 4 234
The Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order Moments 0 0 0 191 1 5 12 773
The Value of Real and Financial Risk Management 0 0 0 311 1 3 7 1,025
The macroeconomic effects of infrequent information with adjustment costs 0 0 1 8 2 4 8 132
Time- and State-Dependent Pricing: A Unified Framework 0 0 3 26 0 6 15 104
Uncovering asset market participation from household consumption and income 0 0 0 0 2 7 8 8
Total Working Papers 6 10 41 16,543 105 575 938 75,465

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 1 5 10 89
A Monte Carlo Method for Optimal Portfolios 1 2 5 284 2 8 16 624
A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models 0 0 0 15 2 5 6 69
Alleviating Coordination Problems and Regulatory Constraints Through Financial Risk Management 0 0 0 2 4 10 14 36
An Analysis of the Real Interest Rate under Regime Shifts 1 1 4 807 3 10 30 2,016
Application of a simulation software to the analysis of a peasant farming system 0 0 0 7 1 1 3 48
Approximate analytical solutions for consumption/investment problems under recursive utility and finite horizon 0 0 0 13 2 4 6 46
Are the Effects of Monetary Policy Asymmetric? 0 0 0 0 4 8 14 458
Assessing and valuing the nonlinear structure of hedge fund returns 0 0 0 31 1 4 4 99
Assessing misspecified asset pricing models with empirical likelihood estimators 0 0 0 69 1 11 16 246
Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models 0 0 0 1 0 7 15 2,326
Asymptotic Properties of Monte Carlo Estimators of Derivatives 0 0 0 6 1 4 7 55
Asymptotic properties of Monte Carlo estimators of diffusion processes 1 1 2 42 1 6 15 183
Bond Liquidity Premia 1 1 1 46 2 3 7 183
Can a Well-Fitted Equilibrium Asset-Pricing Model Produce Mean Reversion? 0 0 0 63 2 8 11 399
Comment 0 0 0 4 1 5 7 43
Consumption and equilibrium asset pricing: An empirical assessment 0 0 1 59 0 4 6 217
Dependence structure and extreme comovements in international equity and bond markets 0 0 0 97 1 13 15 408
Disentangling risk aversion and intertemporal substitution through a reference level 0 0 1 54 1 7 11 208
Disequilibrium Econometrics for Business Loans 0 0 0 211 0 4 8 508
Econometric methods for derivative securities and risk management 0 0 0 84 0 3 4 218
Economic Implications of Nonlinear Pricing Kernels 0 0 0 4 0 4 7 38
Empirical assessment of an intertemporal option pricing model with latent variables 0 0 0 89 1 6 9 307
Erratum to Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy 0 0 0 2 0 4 8 27
Estimation of objective and risk-neutral distributions based on moments of integrated volatility 0 0 0 51 0 1 2 221
Estimation of stable distributions by indirect inference 0 0 0 87 0 6 6 264
Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation 0 0 0 1 0 6 11 526
Generalized Disappointment Aversion, Long-run Volatility Risk, and Asset Prices 0 0 0 34 0 2 6 120
High-Frequency Tail Risk Premium and Stock Return Predictability 0 1 2 3 6 22 24 26
Identification, inference and risk 0 4 9 9 1 9 24 24
Indexation, staggering and disinflation 0 0 0 34 0 2 5 115
Information asymétrique, contraintes de liquidité et investissement 0 0 0 10 0 5 5 96
Intermediary Leverage Shocks and Funding Conditions 0 1 6 6 2 8 23 30
Intertemporal asset allocation: A comparison of methods 1 2 2 75 5 9 10 191
L'effet redistributif de l'inflation de 1969 a 1975 sur les menages canadiens. (With English summary.) 0 0 0 7 0 2 3 147
La théorie économique de l’information: exposé synthétique de la littérature 0 0 0 36 2 7 12 246
Measuring High-Frequency Causality Between Returns, Realized Volatility, and Implied Volatility 0 0 0 17 2 9 11 68
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 3 161
Nonparametric Tail Risk, Stock Returns, and the Macroeconomy 0 0 0 33 2 8 11 163
Nonparametric assessment of hedge fund performance 0 0 0 6 1 4 10 45
Optimal portfolio strategies in the presence of regimes in asset returns 0 1 2 22 1 6 11 67
Persistent Monetary Non-neutrality in an Estimated Menu Cost Model with Partially Costly Information 0 0 2 6 0 7 13 36
Predictive Modeling, Volatility, and Risk Management in Financial Markets: In Memory of Peter F. Christoffersen (Part I) 0 0 0 8 0 2 4 26
Predictive Modeling, Volatility, and Risk Management in Financial Markets: In Memory of Peter F. Christoffersen (Part I) 0 0 0 0 1 6 9 11
Pricing and hedging derivative securities with neural networks and a homogeneity hint 0 0 1 202 2 6 15 619
Prime de risque et prix du risque sur les actions 0 0 0 3 1 2 4 18
Proper Conditioning for Coherent VaR in Portfolio Management 0 0 1 15 0 5 8 86
Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy 0 0 0 2 0 3 6 35
Representation formulas for Malliavin derivatives of diffusion processes 1 1 1 55 2 5 6 162
Risk aversion, intertemporal substitution, and the term structure of interest rates 0 0 0 0 1 8 13 86
Special Issue on "Multivariate Volatility Models" 0 0 0 25 0 4 7 86
State Dependence Can Explain the Risk Aversion Puzzle 0 0 0 37 2 7 9 122
Structural change and asset pricing in emerging markets 0 0 2 90 2 5 8 325
Tests of conditional asset pricing models in the Brazilian stock market 0 0 0 87 0 2 6 296
The Canadian macroeconomy and the yield curve: an equilibrium-based approach 0 0 0 21 2 3 4 171
The Canadian macroeconomy and the yield curve: an equilibrium‐based approach 0 0 0 0 0 1 5 14
The JFEC Invited Lecture at the 2008 SoFiE Conference 0 0 0 7 0 2 4 42
The JFEC Invited Lecture at the 2009 SoFiE Conference 0 0 0 13 0 1 3 70
The long and the short of the risk-return trade-off 0 0 0 14 0 2 10 116
The macroeconomic effects of infrequent information with adjustment costs 0 0 0 49 0 6 9 404
The macroeconomic effects of infrequent information with adjustment costs 0 0 1 1 1 2 7 14
The option CAPM and the performance of hedge funds 0 0 0 47 1 5 6 195
Uncovering asset market participation from household consumption and income 0 0 1 1 1 12 23 23
Uses of first line emergency services in Cuba 0 0 0 7 0 1 3 62
Viewpoint: Option prices, preferences, and state variables 0 0 0 29 1 3 5 156
Viewpoint: Option prices, preferences, and state variables 0 0 0 0 1 5 5 12
Total Journal Articles 6 15 44 3,177 72 357 618 14,548

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 3 5 0 6 10 15
Total Chapters 0 0 3 5 0 6 10 15

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