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Publications

27 résultats

CS

Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns

Jean-Sébastien Fontaine, René Garcia et Sermin Gungor

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Nonparametric Tail Risk, Stock Returns and the Macroeconomy

René Garcia, Caio Almeida, Kym Ardison et Jose Vicente

Gestion des risques
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A Model-Free Measure of Aggregate Idiosyncratic Volatility and the Prediction of Market Returns

René Garcia, Daniel Mantilla-Garcia et Lionel Martellini

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Alleviating Coordination Problems and Regulatory Constraints through Financial Risk Management

Marcel Boyer, M. Martin Boyer et René Garcia

Gestion des risques
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Measuring High-Frequency Causality Between Returns, Realized Volatility and Implied Volatility

Jean-Marie Dufour, René Garcia et Abderrahim Taamouti

Gestion des risques
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The Value of Real and Financial Risk Management

Marcel Boyer, M. Martin Boyer et René Garcia

Gestion des risques
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The Econometrics of Option Pricing

René Garcia, Eric Ghysels et Eric Renault

Économétrie et Simulation
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Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes

Jérôme Detemple, René Garcia et Marcel Rindisbacher

Élections et processus démocratiques, Simulation et Transformation numérique
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Disentangling Risk Aversion and Intertemporal Substitution Through a Reference Level

René Garcia, Eric Renault et Andrei Semenov

Gestion des risques
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Incorporating Second-Order Functional Knowledge for Better Option Pricing

François Bélisle, Yoshua Bengio, Charles Dugas, René Garcia et Claude Nadeau

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Asymmetric Smiles, Leverage Effects and Structural Parameters

René Garcia, Richard Luger et Eric Renault

Simulation
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A Monte-Carlo Method for Optimal Portfolios

Jérôme Detemple, René Garcia et Marcel Rindisbacher

Simulation
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Latent Variable Models for Stochastic Discount Factors

René Garcia et Eric Renault

Économétrie et Simulation
RP

Les modèles de prévisions économiques

John W. Galbraith et René Garcia

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Risk Aversion, Intertemporal Substitution, and Option Pricing

René Garcia et Eric Renault

Simulation
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A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models

René Garcia et Eric Renault

Simulation
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Structural Change and Asset Pricing in Emerging Markets

René Garcia et Eric Ghysels

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On the Dynamic Specification of International Asset Pricing Models

René Garcia, Eric Ghysels et Maral Kichian

Développement international, Stratégie et économie internationale et Simulation
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An Analysis of the Real Interest Rate Under Regime Shifts

René Garcia et Pierre Perron

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Are the Effects of Monetary Policy Asymmetric?

René Garcia et Huntley Schaller

Politiques sociales
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Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models

René Garcia

Concurrence et Simulation
CS

Disappointment Aversion as a Solution to the Equity Premium and the Risk-Free Rate Puzzles

Marco Bonomo et René Garcia

Concurrence, Gestion des risques et Simulation

Bottin CIRANO

2 résultats

Nouvelles

1 résultat

Événements

1 résultat