Rene Garcia

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Marco BonomoInsperVerified email at insper.edu.br
Caio AlmeidaDepartment of Economics, Princeton UniversityVerified email at princeton.edu
Marcel RindisbacherQuestrom School of Business, Boston UniversityVerified email at bu.edu
Jerome DetempleMorton H. and Charlotte Friedman Professor of Management; Professor of Finance; Boston UniversityVerified email at bu.edu
Jean-Sébastien FontaineBank of CanadaVerified email at bankofcanada.ca
Eric GhyselsBernstein Distinguished Professor of Economics and Professor of Finance, UNC Chapel HillVerified email at unc.edu
Georges TsafackUniversity of Rhode IslandVerified email at uri.edu
Roméo TÉDONGAPESSEC Business School Paris-SingaporeVerified email at essec.edu
Yoshua BengioProfessor of computer science, University of Montreal, Mila, IVADO, CIFARVerified email at umontreal.ca
Pierre PerronDepartment of Economics, Boston UniversityVerified email at bu.edu
Carlos Viana de CarvalhoAssociate Professor of Economics, PUC-RioVerified email at econ.puc-rio.br
Abderrahim TaamoutiProfessor of Economics and Finance at Durham Business SchoolVerified email at durham.ac.uk
Annamaria LusardiProfessor of Economics and Accountancy, George Washington UniversityVerified email at gwu.edu
Martin BoyerProfesseur de finance (HEC Montréal)Verified email at hec.ca
David VeredasVlerick Business SchoolVerified email at vlerick.com
Serena NgColumbia UniversityVerified email at columbia.edu
Ramo GencaySimon Fraser UniversityVerified email at sfu.ca

Rene Garcia

Professor, Université de Montréal

Verified email at umontreal.ca - Homepage

finance financial econometrics


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An analysis of the real interest rate under regime shifts R Garcia, P Perron The review of economics and statistics, 111-125, 1996	1070	1996
Asymptotic null distribution of the likelihood ratio test in Markov switching models R Garcia International Economic Review, 763-788, 1998	705	1998
Incorporating second-order functional knowledge for better option pricing C Dugas, Y Bengio, F Bélisle, C Nadeau, R Garcia Advances in neural information processing systems 13, 2000	375	2000
A Monte Carlo method for optimal portfolios JB Detemple, R Garcia, M Rindisbacher The journal of Finance 58 (1), 401-446, 2003	358	2003
Bond liquidity premia JS Fontaine, R Garcia The Review of Financial Studies 25 (4), 1207-1254, 2012	324	2012
Dependence structure and extreme comovements in international equity and bond markets R Garcia, G Tsafack Journal of Banking & Finance 35 (8), 1954-1970, 2011	295	2011
Disequilibrium econometrics for business loans JJ Laffont, R Garcia Econometrica: Journal of the Econometric Society, 1187-1204, 1977	266	1977
Pricing and hedging derivative securities with neural networks and a homogeneity hint R Garcia, R Gençay Journal of Econometrics 94 (1-2), 93-115, 2000	258	2000
Are the effects of monetary policy asymmetric? R Garcia, H Schaller Economic inquiry 40 (1), 102-119, 2002	220	2002
The econometrics of option pricing R Garcia, E Ghysels, E Renault Handbook of Financial Econometrics: Tools and Techniques, 479-552, 2010	155	2010
State dependence can explain the risk aversion puzzle F Chabi-Yo, R Garcia, E Renault The review of Financial studies 21 (2), 973-1011, 2008	139	2008
Excess sensitivity and asymmetries in consumption: an empirical investigation R Garcia, A Lusardi, S Ng Journal of Money, Credit, and Banking, 154-176, 1997	139	1997
Empirical assessment of an intertemporal option pricing model with latent variables R Garcia, R Luger, E Renault Journal of Econometrics 116 (1-2), 49-83, 2003	135	2003
Generalized disappointment aversion, long-run volatility risk, and asset prices M Bonomo, R Garcia, N Meddahi, R Tédongap The Review of Financial Studies 24 (1), 82-122, 2011	125	2011
Structural change and asset pricing in emerging markets R Garcia, E Ghysels Journal of International Money and Finance 17 (3), 455-473, 1998	115	1998
Estimation of stable distributions by indirect inference R Garcia, E Renault, D Veredas Journal of Econometrics 161 (2), 325-337, 2011	108	2011
Proper conditioning for coherent VaR in portfolio management R Garcia, É Renault, G Tsafack Management Science 53 (3), 483-494, 2007	92	2007
Can a well‐fitted equilibrium asset‐pricing model produce mean reversion? M Bonomo, R Garcia Journal of Applied Econometrics 9 (1), 19-29, 1994	83	1994
Assessing misspecified asset pricing models with empirical likelihood estimators C Almeida, R Garcia Journal of Econometrics 170 (2), 519-537, 2012	74	2012
Economic implications of nonlinear pricing kernels C Almeida, R Garcia Management Science 63 (10), 3361-3380, 2017	71*	2017

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