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 7 10 218
A Monte-Carlo Method for Optimal Portfolios 0 0 0 1,524 0 1 4 3,741
A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models 0 0 0 698 0 2 3 3,348
AN ANLYSIS OF THE REAL INTEREST RATE UNDER REGIME SHIFTS 0 0 0 1 0 0 1 826
Alleviating Coordination Problems and Regulatory Constraints through Financial Risk Management 0 0 0 28 0 0 0 120
An Analysis of the Real Interest Rate Under Regime Shifts 0 0 1 859 4 6 15 3,454
An Analysis of the Real Interest rate Under Regime Shifts 0 0 0 1 1 1 2 940
An Analysis of the Real Interest rate Under Regime Shifts 0 0 0 103 6 6 8 515
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 1 1 1 99
Approximate analytical solutions for consumption/investment problems under recursive utility and finite horizon 0 0 0 0 0 1 2 14
Are the Effects of Monetary Policy Asymmetric? 0 0 0 54 0 0 2 198
Are the Effects of Monetary Policy Asymmetric? 0 0 0 1 1 2 5 287
Are the Effects of Monetary Policy Asymmetric? 0 0 2 649 0 1 11 1,734
Are the Effects of Monetary Policy Asymmetric? 0 0 0 457 1 1 3 1,768
Artificial Intelligence and Beyond for Finance 0 0 0 0 0 1 15 15
Artificial Intelligence for Finance - Preface 0 0 0 0 1 3 16 16
Assessing and Valuing the Non-Linear Structure of Hedge Fund Returns 0 0 0 175 1 2 3 522
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 0 589 2 2 7 2,596
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 0 10 2 4 5 403
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 0 171 3 3 5 780
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 0 1 1 2 3 397
Asymptotic Null Contribution of the Likelihood Ratio Test in Markov Switching Models 0 0 0 0 2 2 2 132
Asymptotic Null Contribution of the Likelihood Ratio Test in Markov Switching Models 0 0 0 8 0 1 1 59
Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models 0 1 3 867 0 2 10 4,377
Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes 0 0 0 1 1 2 4 324
Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes 0 0 0 312 1 2 4 1,205
Bond Liquidity Premia 0 0 1 97 3 4 10 307
Can Well-Fitted Equilibrium Asset Pricing Model Produce Mean Reversion? 0 0 0 0 1 1 1 230
Can Well-Fitted Equilibrium Asset Pricing Model Produce Mean Reversion? 0 0 0 0 1 1 1 101
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 3 3 3 214
Consumption and Equilibrium Asset Pricing: an Empirical Assessment 0 0 0 0 3 4 4 140
Consumption and equilibrium asset pricing: An empirical assessment 0 0 0 24 1 1 3 127
Dependence Structure and Extreme Comovements in International Equity and Bond Markets 0 0 0 170 2 2 6 511
Disappointment Aversion as a Solution to the Equity Premium and the Risk- Free Rate Puzzles 0 0 0 1 1 3 7 587
Disappointment Aversion as a Solution to the Equity Premium and the Risk-Free Rate Puzzles 0 0 0 630 1 2 5 3,319
Disappointment aversion as a solution to the equity premium and the risk-free rate puzzles 0 0 0 37 1 1 3 214
Disentangling Risk Aversion and Intertemporal Substitution Through a Reference Level 0 0 0 189 0 0 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 1 1 2 2,275
Empirical Assessment of an Intertemporal Option Pricing Model with Latent variables 0 0 0 84 2 3 6 357
Empirical Assessment of an Intertemporal option Pricing Model with Latent variables 0 0 0 1 2 2 2 246
Estimation of stable distributions by indirect inference 0 0 0 74 0 1 2 256
Estimation of stable distributions with indirect inference 0 0 0 5 3 5 7 55
Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation 0 0 0 0 1 3 4 185
Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation 0 0 0 157 2 5 6 1,102
Excess Sensitivity and Asymmetries in Consumption: an Empirical Investigation 0 0 0 21 1 1 2 138
Extracting Tail Risk from High-Frequency S&P 500 Returns 0 0 0 8 1 2 5 28
Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns 0 0 0 27 1 5 5 57
Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns 1 1 1 32 2 5 8 139
Generalized Disappointment Aversion, Long Run Volatility Risk and Asset Prices 0 0 0 27 1 2 4 109
Generalized Disappointment Aversion, Long Run Volatility Risk and Asset Prices 0 0 0 88 3 3 5 257
High-Frequency Tail Risk Premium and Stock Return Predictability 0 0 8 8 2 4 7 7
Incorporating Second-Order Functional Knowledge for Better Option Pricing 0 0 2 59 0 1 14 358
Indexation, Staggering and Disinflation 0 0 0 0 0 0 0 141
Indexation, Staggering and Disinflation 0 0 0 0 0 0 2 101
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 1 1 1 231
Latent Variable Models for Stochastic Discount Factors 0 0 0 528 0 1 2 2,723
Latent Variable Models for Stochastic Discount Factors 0 0 0 128 0 0 1 526
Les modèles de prévisions économiques 0 0 0 72 0 0 0 262
Letent Variable Models for Stochastic Discount Factors 0 0 0 0 3 3 3 255
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 0 0 2 403
Modelling Risk Premiums in Equity and Foreign Exchange Markets 0 0 0 544 1 2 3 1,693
Nonparametric Assessment of Hedge Fund Performance 0 0 0 10 1 4 9 45
Nonparametric Assessment of Hedge Fund Performance 0 0 0 0 0 2 3 19
Nonparametric Tail Risk, Stock Returns and the Macroeconomy 0 1 1 79 0 2 4 135
On the Dynamic Specification of International Asset Pricing Models 0 0 0 0 0 1 3 171
On the Dynamic Specification of International Asset Pricing Models 0 0 0 547 0 0 0 2,212
On the Dynamic Specification of International Asset Pricing Models 0 0 0 4 0 3 4 76
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 1 2 3 33 2 4 8 113
Portfolio Allocation and Reinforcement Learning 0 0 0 0 0 0 11 11
Pricing and Hedging Derivative Securities with Neural Networks and a Homogeneity Hint 1 1 2 668 4 6 12 2,329
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 1 2 547
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 0 13 3 3 3 88
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 1 848 1 1 5 4,529
Risk Aversion, Intertemporal Substitution, and the Term Structure of Interest Rates 0 0 0 85 2 3 4 291
Risk Premium and Risk Price in the Equity MarketRisk 0 0 0 0 0 0 2 11
State Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle 0 0 0 111 1 2 5 333
State-dependent pricing under infrequent information: a unified framework 0 0 0 41 0 3 4 140
Structural Change and Asset Pricing in Emerging Markets 0 0 0 564 4 5 7 2,341
Tail Risk and Asset Prices in the Short-term 0 1 1 5 3 5 11 21
Tests of Conditional Asset Pricing Models in the Brazilian Stock Market 0 0 0 353 0 1 2 2,129
Tests of Conditional Asset Pricing Models in the Brazilian Stock Market 0 0 0 79 1 3 4 469
Tests of Conditional Asset Pricing Models in the Brazilian Stock Market 0 0 0 537 1 3 5 2,098
Tests of Conditonal Asset Pricing Models in the Brazilian Stock Market 0 0 0 1 1 2 4 824
Tests of conditional asset pricing models in the Brazilian stock market 0 0 0 42 0 4 5 216
Tests of conditional asset pricing models in the brazilian stock market 1 1 1 6 2 2 2 403
The Alleviation of Coordination Problems through Financial Risk Management 0 0 0 40 2 2 6 192
The Canadian Macroeconomy and the Yield Curve: An Equilibrium-Based Approach 0 0 0 152 4 4 4 594
The Econometrics of Option Pricing 0 0 1 1,258 3 5 10 3,139
The Macroeconomic Effects of Infrequent Information With Adjustment Costs 0 0 0 0 2 3 4 283
The Macroeconomic Effects of Infrequent Information with Adjustment Costs 1 1 2 30 2 2 3 233
The Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order Moments 0 0 0 191 1 3 7 768
The Value of Real and Financial Risk Management 0 0 0 311 1 3 4 1,022
The macroeconomic effects of infrequent information with adjustment costs 1 1 1 8 3 4 4 128
Time- and State-Dependent Pricing: A Unified Framework 0 1 3 26 1 5 11 98
Uncovering asset market participation from household consumption and income 0 0 0 0 1 1 1 1
Total Working Papers 6 11 34 16,533 118 219 464 74,890

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 6 84
A Monte Carlo Method for Optimal Portfolios 1 1 5 282 2 4 14 616
A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models 0 0 0 15 0 1 1 64
Alleviating Coordination Problems and Regulatory Constraints Through Financial Risk Management 0 0 0 2 1 2 4 26
An Analysis of the Real Interest Rate under Regime Shifts 0 0 5 806 1 3 27 2,006
Application of a simulation software to the analysis of a peasant farming system 0 0 0 7 0 1 2 47
Approximate analytical solutions for consumption/investment problems under recursive utility and finite horizon 0 0 0 13 1 1 4 42
Are the Effects of Monetary Policy Asymmetric? 0 0 0 0 4 5 8 450
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 3 5 5 235
Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models 0 0 0 1 0 2 10 2,319
Asymptotic Properties of Monte Carlo Estimators of Derivatives 0 0 0 6 0 3 3 51
Asymptotic properties of Monte Carlo estimators of diffusion processes 0 0 1 41 2 7 9 177
Bond Liquidity Premia 0 0 0 45 1 2 5 180
Can a Well-Fitted Equilibrium Asset-Pricing Model Produce Mean Reversion? 0 0 0 63 2 2 4 391
Comment 0 0 0 4 1 2 2 38
Consumption and equilibrium asset pricing: An empirical assessment 0 0 1 59 0 1 2 213
Dependence structure and extreme comovements in international equity and bond markets 0 0 0 97 1 2 2 395
Disentangling risk aversion and intertemporal substitution through a reference level 0 0 2 54 2 2 6 201
Disequilibrium Econometrics for Business Loans 0 0 0 211 2 3 5 504
Econometric methods for derivative securities and risk management 0 0 0 84 0 1 1 215
Economic Implications of Nonlinear Pricing Kernels 0 0 0 4 1 2 6 34
Empirical assessment of an intertemporal option pricing model with latent variables 0 0 0 89 0 1 4 301
Erratum to Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy 0 0 0 2 2 4 5 23
Estimation of objective and risk-neutral distributions based on moments of integrated volatility 0 0 0 51 0 0 1 220
Estimation of stable distributions by indirect inference 0 0 0 87 0 0 2 258
Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation 0 0 0 1 0 2 5 520
Generalized Disappointment Aversion, Long-run Volatility Risk, and Asset Prices 0 0 0 34 3 3 5 118
High-Frequency Tail Risk Premium and Stock Return Predictability 0 0 2 2 0 0 4 4
Identification, inference and risk 1 2 5 5 2 6 15 15
Indexation, staggering and disinflation 0 0 0 34 0 0 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 5 5 2 5 22 22
Intertemporal asset allocation: A comparison of methods 0 0 0 73 1 1 1 182
L'effet redistributif de l'inflation de 1969 a 1975 sur les menages canadiens. (With English summary.) 0 0 0 7 0 0 1 145
La théorie économique de l’information: exposé synthétique de la littérature 0 0 0 36 2 3 5 239
Measuring High-Frequency Causality Between Returns, Realized Volatility, and Implied Volatility 0 0 0 17 0 1 3 59
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 0 0 2 159
Nonparametric Tail Risk, Stock Returns, and the Macroeconomy 0 0 0 33 2 3 4 155
Nonparametric assessment of hedge fund performance 0 0 0 6 0 4 6 41
Optimal portfolio strategies in the presence of regimes in asset returns 0 1 2 21 3 5 8 61
Persistent Monetary Non-neutrality in an Estimated Menu Cost Model with Partially Costly Information 0 0 2 6 1 2 6 29
Predictive Modeling, Volatility, and Risk Management in Financial Markets: In Memory of Peter F. Christoffersen (Part I) 0 0 0 8 1 2 3 24
Predictive Modeling, Volatility, and Risk Management in Financial Markets: In Memory of Peter F. Christoffersen (Part I) 0 0 0 0 0 1 3 5
Pricing and hedging derivative securities with neural networks and a homogeneity hint 0 0 2 202 1 4 13 613
Prime de risque et prix du risque sur les actions 0 0 0 3 1 1 2 16
Proper Conditioning for Coherent VaR in Portfolio Management 0 0 1 15 1 2 3 81
Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy 0 0 0 2 0 2 4 32
Representation formulas for Malliavin derivatives of diffusion processes 0 0 0 54 1 1 3 157
Risk aversion, intertemporal substitution, and the term structure of interest rates 0 0 0 0 2 2 5 78
Special Issue on "Multivariate Volatility Models" 0 0 0 25 1 2 4 82
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 0 2 90 0 0 3 320
Tests of conditional asset pricing models in the Brazilian stock market 0 0 0 87 3 4 5 294
The Canadian macroeconomy and the yield curve: an equilibrium-based approach 0 0 0 21 1 1 1 168
The Canadian macroeconomy and the yield curve: an equilibrium‐based approach 0 0 0 0 2 4 4 13
The JFEC Invited Lecture at the 2008 SoFiE Conference 0 0 0 7 1 1 2 40
The JFEC Invited Lecture at the 2009 SoFiE Conference 0 0 0 13 0 0 3 69
The long and the short of the risk-return trade-off 0 0 0 14 0 2 8 114
The macroeconomic effects of infrequent information with adjustment costs 1 1 1 1 2 3 5 12
The macroeconomic effects of infrequent information with adjustment costs 0 0 1 49 2 2 4 398
The option CAPM and the performance of hedge funds 0 0 0 47 1 1 2 190
Uncovering asset market participation from household consumption and income 0 1 1 1 2 5 11 11
Uses of first line emergency services in Cuba 0 0 0 7 1 2 2 61
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 1 2 2 153
Total Journal Articles 3 7 38 3,162 67 140 324 14,191

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 2 4 5 0 2 7 9
Total Chapters 0 2 4 5 0 2 7 9

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Statistics updated 2025-12-06