Rene Garcia

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Marco BonomoInsperVerified email at insper.edu.br
Prof. 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 in FinanceVerified 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
Yoshua BengioProfessor of computer science, University of Montreal, Mila, IVADO, CIFARVerified email at umontreal.ca
Georges TsafackUniversity of Rhode IslandVerified email at uri.edu
Pierre PerronDepartment of Economics, Boston UniversityVerified email at bu.edu
Roméo TÉDONGAPESSEC Business School Paris-SingaporeVerified email at essec.edu
Abderrahim TaamoutiProfessor of Econometrics at University of Liverpool Management SchoolVerified email at durham.ac.uk
Carlos Viana de CarvalhoKapitalo Investimentos and PUC-Rio (Economics department)Verified email at econ.puc-rio.br
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	1166	1996
Asymptotic null distribution of the likelihood ratio test in Markov switching models R Garcia International Economic Review, 763-788, 1998	731	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	617	2000
A Monte Carlo method for optimal portfolios JB Detemple, R Garcia, M Rindisbacher The journal of Finance 58 (1), 401-446, 2003	398	2003
Bond liquidity premia JS Fontaine, R Garcia The Review of Financial Studies 25 (4), 1207-1254, 2012	379	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	344	2011
Are the effects of monetary policy asymmetric? R Garcia, H Schaller Economic inquiry 40 (1), 102-119, 2002	327	2002
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	310	2000
Disequilibrium econometrics for business loans JJ Laffont, R Garcia Econometrica: Journal of the Econometric Society, 1187-1204, 1977	291	1977
The econometrics of option pricing R Garcia, E Ghysels, E Renault Handbook of Financial Econometrics: Tools and Techniques, 479-552, 2010	160	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	151	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	150	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	143	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	134	2011
Structural change and asset pricing in emerging markets R Garcia, E Ghysels Journal of International Money and Finance 17 (3), 455-473, 1998	120	1998
Estimation of stable distributions by indirect inference R Garcia, E Renault, D Veredas Journal of Econometrics 161 (2), 325-337, 2011	119	2011
Incorporating Functional Knowledge in Neural Networks. C Dugas, Y Bengio, F Bélisle, C Nadeau, R Garcia Journal of Machine Learning Research 10 (6), 2009	108	2009
Proper conditioning for coherent VaR in portfolio management R Garcia, É Renault, G Tsafack Management Science 53 (3), 483-494, 2007	104	2007
Assessing misspecified asset pricing models with empirical likelihood estimators C Almeida, R Garcia Journal of Econometrics 170 (2), 519-537, 2012	99	2012
Economic implications of nonlinear pricing kernels C Almeida, R Garcia Management Science 63 (10), 3361-3380, 2017	89*	2017

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