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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

CS

Nonparametric Tail Risk, Stock Returns and the Macroeconomy

René Garcia, Caio Almeida, Kym Ardison et Jose Vicente

Gestion des risques et Risques financiers
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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

CS

Alleviating Coordination Problems and Regulatory Constraints through Financial Risk Management

Marcel Boyer, M. Martin Boyer et René Garcia

Gestion des risques et Risques financiers
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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 et Risques financiers
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The Econometrics of Option Pricing

René Garcia, Eric Ghysels et Éric 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, Éric 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

CS

Asymmetric Smiles, Leverage Effects and Structural Parameters

René Garcia, Richard Luger et Éric 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 Éric 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 Éric Renault

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

René Garcia et Éric 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

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