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 0 0 5 211
A Monte-Carlo Method for Optimal Portfolios 0 0 0 1,524 1 2 3 3,740
A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models 0 0 0 698 0 0 1 3,346
AN ANLYSIS OF THE REAL INTEREST RATE UNDER REGIME SHIFTS 0 0 0 1 0 0 3 826
Alleviating Coordination Problems and Regulatory Constraints through Financial Risk Management 0 0 0 28 0 0 1 120
An Analysis of the Real Interest Rate Under Regime Shifts 0 0 2 859 0 2 11 3,448
An Analysis of the Real Interest rate Under Regime Shifts 0 0 0 1 0 0 1 939
An Analysis of the Real Interest rate Under Regime Shifts 0 0 0 103 0 0 2 509
An analysis of Real Interest Rate Under Regime Shifts 0 0 0 0 0 0 1 223
An analysis of Real Interest Rate Under Regime Shifts 0 0 0 0 0 0 0 98
Approximate analytical solutions for consumption/investment problems under recursive utility and finite horizon 0 0 0 0 1 1 3 13
Are the Effects of Monetary Policy Asymmetric? 0 0 2 649 1 4 10 1,733
Are the Effects of Monetary Policy Asymmetric? 0 0 1 54 0 0 3 198
Are the Effects of Monetary Policy Asymmetric? 0 0 1 457 0 0 4 1,767
Are the Effects of Monetary Policy Asymmetric? 0 0 0 1 1 1 5 285
Assessing and Valuing the Non-Linear Structure of Hedge Fund Returns 0 0 0 175 1 1 2 520
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 0 10 1 1 1 399
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 0 1 0 0 1 395
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 0 171 0 0 2 777
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 0 589 0 0 5 2,594
Asymptotic Null Contribution of the Likelihood Ratio Test in Markov Switching Models 0 0 0 8 0 0 0 58
Asymptotic Null Contribution of the Likelihood Ratio Test in Markov Switching Models 0 0 0 0 0 0 0 130
Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models 1 1 2 866 1 4 9 4,375
Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes 0 0 0 312 0 1 3 1,203
Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes 0 0 0 1 2 2 2 322
Bond Liquidity Premia 0 1 3 97 0 3 8 303
Can Well-Fitted Equilibrium Asset Pricing Model Produce Mean Reversion? 0 0 0 0 0 0 0 100
Can Well-Fitted Equilibrium Asset Pricing Model Produce Mean Reversion? 0 0 0 0 0 0 0 229
Can a well-fitted equilibrium asset pricing model produce mean reversion? 0 0 0 9 0 0 1 106
Consumption and Equilibrium Asset Pricing: an Empirical Assessment 0 0 0 0 0 0 0 136
Consumption and Equilibrium Asset Pricing: an Empirical Assessment 0 0 0 0 0 0 1 211
Consumption and equilibrium asset pricing: An empirical assessment 0 0 0 24 1 2 2 126
Dependence Structure and Extreme Comovements in International Equity and Bond Markets 0 0 0 170 0 4 5 509
Disappointment Aversion as a Solution to the Equity Premium and the Risk- Free Rate Puzzles 0 0 0 1 0 1 5 584
Disappointment Aversion as a Solution to the Equity Premium and the Risk-Free Rate Puzzles 0 0 1 630 0 1 4 3,317
Disappointment aversion as a solution to the equity premium and the risk-free rate puzzles 0 0 0 37 0 1 4 213
Disentangling Risk Aversion and Intertemporal Substitution Through a Reference Level 0 0 0 189 1 2 4 945
Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables 0 0 0 8 0 0 0 291
Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note: Nouvelle version Février 2002) 0 0 0 442 0 0 1 2,274
Empirical Assessment of an Intertemporal Option Pricing Model with Latent variables 0 0 0 84 0 0 3 354
Empirical Assessment of an Intertemporal option Pricing Model with Latent variables 0 0 0 1 0 0 0 244
Estimation of stable distributions by indirect inference 0 0 0 74 0 0 1 255
Estimation of stable distributions with indirect inference 0 0 0 5 0 0 3 50
Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation 0 0 0 157 0 1 1 1,097
Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation 0 0 0 0 1 1 1 182
Excess Sensitivity and Asymmetries in Consumption: an Empirical Investigation 0 0 0 21 1 1 1 137
Extracting Tail Risk from High-Frequency S&P 500 Returns 0 0 0 8 0 3 4 26
Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns 0 0 0 27 0 0 0 52
Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns 0 0 1 31 0 0 6 134
Generalized Disappointment Aversion, Long Run Volatility Risk and Asset Prices 0 0 0 27 0 0 2 107
Generalized Disappointment Aversion, Long Run Volatility Risk and Asset Prices 0 0 0 88 0 1 2 254
Incorporating Second-Order Functional Knowledge for Better Option Pricing 0 1 2 59 1 4 14 357
Indexation, Staggering and Disinflation 0 0 0 0 0 1 2 101
Indexation, Staggering and Disinflation 0 0 0 0 0 0 0 141
Indexation, staggering and disinflation 0 0 0 11 0 0 0 60
Infrequent information, optimal time and state dependent rules, and aggregate effects 0 0 0 6 0 0 2 69
Latent Variable Models for Stochastic Discount 0 0 0 3 0 0 0 230
Latent Variable Models for Stochastic Discount Factors 0 0 0 128 1 1 1 526
Latent Variable Models for Stochastic Discount Factors 0 0 0 528 0 0 1 2,722
Les modèles de prévisions économiques 0 0 0 72 0 0 1 262
Letent Variable Models for Stochastic Discount Factors 0 0 0 0 0 0 1 252
MEAN AVERSION IN EQUILIBRIUM ASSET PRICES: COMMENT 0 0 0 0 0 0 1 351
Measuring High-Frequency Causality Between Returns, Realized Volatility and Implied Volatility 0 0 0 127 0 0 2 339
Measuring causality between volatility and returns with high-frequency data 0 0 0 96 1 1 2 403
Modelling Risk Premiums in Equity and Foreign Exchange Markets 0 0 0 544 0 1 1 1,691
Nonparametric Assessment of Hedge Fund Performance 0 0 0 0 0 1 1 17
Nonparametric Assessment of Hedge Fund Performance 0 0 0 10 1 3 5 41
Nonparametric Tail Risk, Stock Returns and the Macroeconomy 0 0 0 78 0 1 2 133
On the Dynamic Specification of International Asset Pricing Models 0 0 0 0 0 0 2 170
On the Dynamic Specification of International Asset Pricing Models 0 0 0 4 0 0 1 73
On the Dynamic Specification of International Asset Pricing Models 0 0 0 547 0 0 0 2,212
Optimal Rules under Adjustment Cost and Infrequent Information 0 0 0 40 0 0 1 257
Persistent Monetary Non-neutrality in an Estimated Model with Menu Costs and Partially Costly Information 0 0 1 31 1 2 4 109
Pricing and Hedging Derivative Securities with Neural Networks and a Homogeneity Hint 0 0 1 667 1 2 9 2,323
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 1 848 0 1 4 4,528
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 0 0 0 0 1 498
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 0 110 0 0 1 546
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 1 13 0 0 1 85
Risk Aversion, Intertemporal Substitution, and the Term Structure of Interest Rates 0 0 0 85 1 1 1 288
Risk Premium and Risk Price in the Equity MarketRisk 0 0 0 0 0 0 3 11
State Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle 0 0 0 111 0 0 3 331
State-dependent pricing under infrequent information: a unified framework 0 0 0 41 0 0 1 137
Structural Change and Asset Pricing in Emerging Markets 0 0 0 564 1 1 2 2,336
Tail Risk and Asset Prices in the Short-term 0 0 1 4 0 4 7 16
Tests of Conditional Asset Pricing Models in the Brazilian Stock Market 0 0 0 79 0 0 1 466
Tests of Conditional Asset Pricing Models in the Brazilian Stock Market 0 0 0 537 0 2 2 2,095
Tests of Conditional Asset Pricing Models in the Brazilian Stock Market 0 0 0 353 0 0 1 2,128
Tests of Conditonal Asset Pricing Models in the Brazilian Stock Market 0 0 0 1 1 1 2 822
Tests of conditional asset pricing models in the Brazilian stock market 0 0 0 42 0 0 2 212
Tests of conditional asset pricing models in the brazilian stock market 0 0 1 5 0 0 1 401
The Alleviation of Coordination Problems through Financial Risk Management 0 0 0 40 0 2 4 190
The Canadian Macroeconomy and the Yield Curve: An Equilibrium-Based Approach 0 0 0 152 0 0 0 590
The Econometrics of Option Pricing 0 0 1 1,258 1 3 6 3,134
The Macroeconomic Effects of Infrequent Information With Adjustment Costs 0 0 0 0 0 0 1 280
The Macroeconomic Effects of Infrequent Information with Adjustment Costs 0 0 1 29 0 0 1 231
The Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order Moments 0 0 0 191 1 4 4 765
The Value of Real and Financial Risk Management 0 0 0 311 0 0 2 1,019
The macroeconomic effects of infrequent information with adjustment costs 0 0 0 7 0 0 0 124
Time- and State-Dependent Pricing: A Unified Framework 1 1 2 25 2 2 6 93
Total Working Papers 2 4 25 16,514 26 78 247 74,630

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 0 1 79
A Monte Carlo Method for Optimal Portfolios 0 2 7 281 0 2 15 612
A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models 0 0 0 15 0 0 0 63
Alleviating Coordination Problems and Regulatory Constraints Through Financial Risk Management 0 0 0 2 0 0 2 24
An Analysis of the Real Interest Rate under Regime Shifts 0 1 7 806 0 6 30 2,003
Application of a simulation software to the analysis of a peasant farming system 0 0 0 7 0 1 1 46
Approximate analytical solutions for consumption/investment problems under recursive utility and finite horizon 0 0 1 13 0 0 5 41
Are the Effects of Monetary Policy Asymmetric? 0 0 0 0 1 1 3 445
Assessing and valuing the nonlinear structure of hedge fund returns 0 0 0 31 0 0 0 95
Assessing misspecified asset pricing models with empirical likelihood estimators 0 0 0 69 0 0 2 230
Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models 0 0 0 1 2 4 16 2,317
Asymptotic Properties of Monte Carlo Estimators of Derivatives 0 0 0 6 0 0 0 48
Asymptotic properties of Monte Carlo estimators of diffusion processes 0 1 1 41 0 2 2 170
Bond Liquidity Premia 0 0 0 45 0 0 4 178
Can a Well-Fitted Equilibrium Asset-Pricing Model Produce Mean Reversion? 0 0 0 63 0 0 2 389
Comment 0 0 0 4 0 0 0 36
Consumption and equilibrium asset pricing: An empirical assessment 0 1 1 59 0 1 1 212
Dependence structure and extreme comovements in international equity and bond markets 0 0 0 97 0 0 2 393
Disentangling risk aversion and intertemporal substitution through a reference level 0 1 3 54 0 1 5 199
Disequilibrium Econometrics for Business Loans 0 0 0 211 1 1 2 501
Econometric methods for derivative securities and risk management 0 0 0 84 0 0 0 214
Economic Implications of Nonlinear Pricing Kernels 0 0 0 4 0 0 4 32
Empirical assessment of an intertemporal option pricing model with latent variables 0 0 0 89 1 1 4 300
Erratum to Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy 0 0 0 2 0 0 1 19
Estimation of objective and risk-neutral distributions based on moments of integrated volatility 0 0 0 51 1 1 3 220
Estimation of stable distributions by indirect inference 0 0 1 87 0 0 3 258
Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation 0 0 0 1 2 3 3 518
Generalized Disappointment Aversion, Long-run Volatility Risk, and Asset Prices 0 0 0 34 0 0 3 115
High-Frequency Tail Risk Premium and Stock Return Predictability 0 1 2 2 0 2 4 4
Indexation, staggering and disinflation 0 0 0 34 1 3 4 113
Information asymétrique, contraintes de liquidité et investissement 0 0 0 10 0 0 0 91
Intermediary Leverage Shocks and Funding Conditions 0 1 4 4 0 2 17 17
Intertemporal asset allocation: A comparison of methods 0 0 0 73 0 0 0 181
L'effet redistributif de l'inflation de 1969 a 1975 sur les menages canadiens. (With English summary.) 0 0 0 7 1 1 2 145
La théorie économique de l’information: exposé synthétique de la littérature 0 0 0 36 1 1 2 236
Measuring High-Frequency Causality Between Returns, Realized Volatility, and Implied Volatility 0 0 0 17 0 1 2 58
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 1 4 159
Nonparametric Tail Risk, Stock Returns, and the Macroeconomy 0 0 0 33 0 0 2 152
Nonparametric assessment of hedge fund performance 0 0 0 6 0 1 2 37
Optimal portfolio strategies in the presence of regimes in asset returns 0 0 2 20 0 0 4 56
Persistent Monetary Non-neutrality in an Estimated Menu Cost Model with Partially Costly Information 0 1 2 6 1 3 7 27
Predictive Modeling, Volatility, and Risk Management in Financial Markets: In Memory of Peter F. Christoffersen (Part I) 0 0 0 0 0 1 2 4
Predictive Modeling, Volatility, and Risk Management in Financial Markets: In Memory of Peter F. Christoffersen (Part I) 0 0 0 8 0 0 1 22
Pricing and hedging derivative securities with neural networks and a homogeneity hint 0 0 5 202 0 0 15 609
Prime de risque et prix du risque sur les actions 0 0 0 3 0 0 1 15
Proper Conditioning for Coherent VaR in Portfolio Management 0 0 1 15 0 0 1 79
Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy 0 0 0 2 0 1 3 30
Representation formulas for Malliavin derivatives of diffusion processes 0 0 0 54 0 0 2 156
Risk aversion, intertemporal substitution, and the term structure of interest rates 0 0 0 0 1 1 3 76
Special Issue on "Multivariate Volatility Models" 0 0 0 25 0 1 2 80
State Dependence Can Explain the Risk Aversion Puzzle 0 0 0 37 0 0 3 115
Structural change and asset pricing in emerging markets 0 1 2 90 0 1 3 320
Tests of conditional asset pricing models in the Brazilian stock market 0 0 0 87 0 0 2 290
The Canadian macroeconomy and the yield curve: an equilibrium-based approach 0 0 0 21 0 0 0 167
The Canadian macroeconomy and the yield curve: an equilibrium‐based approach 0 0 0 0 0 0 0 9
The JFEC Invited Lecture at the 2008 SoFiE Conference 0 0 0 7 1 1 1 39
The JFEC Invited Lecture at the 2009 SoFiE Conference 0 0 0 13 1 2 3 69
The long and the short of the risk-return trade-off 0 0 0 14 1 3 7 112
The macroeconomic effects of infrequent information with adjustment costs 0 0 0 0 1 2 2 9
The macroeconomic effects of infrequent information with adjustment costs 0 0 1 49 1 1 2 396
The option CAPM and the performance of hedge funds 0 0 0 47 0 0 2 189
Uses of first line emergency services in Cuba 0 0 0 7 0 0 0 59
Viewpoint: Option prices, preferences, and state variables 0 0 0 0 0 0 0 7
Viewpoint: Option prices, preferences, and state variables 0 0 0 29 0 0 1 151
Total Journal Articles 0 10 40 3,152 19 53 220 14,036

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 3 0 0 7 7
Total Chapters 0 0 3 3 0 0 7 7

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Statistics updated 2025-09-05