René Garcia
Names
first:  René 
last:  Garcia 
in English:  Rene Garcia 
Contact
email: 
Affiliations

Université de Montréal
→ Département de Sciences Économiques
 website
 location: Montréal, Canada
Research profile
author of:

Asymmetric Smiles, Leverage Effects and Structural Parameters.
by GARCIA, René & LUGER, Richard & RENAULT, Éric 
Asymptotic Null Contribution of the Likelihood Ratio Test in Markov Switching Models.
by Garcia, R. 
Asymmetric Smiles, Leverage Effects and Structural Parameters
by René Garcia & Richard Luger & Eric Renault 
Are the Effects of Monetary Policy Asymmetric?
by Garcia, R. & Schaller, H. 
The Canadian Macroeconomy and the Yield Curve: An EquilibriumBased Approach
by René Garcia & Richard Luger 
AN ANLYSIS OF THE REAL INTEREST RATE UNDER REGIME SHIFTS.
by GARCIA, R. & PERRON, P. 
State Dependence in Fundamentals and Preferences Explains RiskAversion Puzzle
by Fousseni ChabiYo & René Garcia & Eric Renault 
Pricing and Hedging Derivative Securities with Neural Networks and a Homogeneity Hint
by René Garcia & Ramazan Gençay 
Intertemporal asset allocation: A comparison of methods
by Detemple, Jérôme & Garcia, René & Rindisbacher, Marcel 
The Econometrics of Option Pricing
by René Garcia & Eric Ghysels & Eric Renault 
Disentangling Risk Aversion and Intertemporal Substitution Through a Reference Level
by René Garcia & Eric Renault & Andrei Semenov 
Consumption and equilibrium asset pricing: An empirical assessment
by Marco antonio Bonomo & Rene Garcia 
The macroeconomic effects of infrequent information with adjustment costs
by Marco Bonomo & René Garcia 
Latent Variable Models for Stochastic Discount Factors.
by GARCIA, René & RENAULT, Éric 
Pricing and hedging derivative securities with neural networks and a homogeneity hint
by Garcia, Rene & Gencay, Ramazan 
Viewpoint: Option prices, preferences, and state variables
by René Garcia & Richard Luger & Éric Renault 
Are the Effects of Monetary Policy Asymmetric?
by René Garcia & Huntley Schaller 
An Analysis of the Real Interest rate Under Regime Shifts.
by Garcia, R. & Perron, P. 
Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation
by René Garcia & Serena Ng & Annamaria Lusardi 
An Analysis of the Real Interest rate Under Regime Shifts.
by Garcia, R. & Perron, P. 
Empirical Assessment of an Intertemporal option Pricing Model with Latent variables.
by Garcia, R. & Luger, R. & Renault, E. 
Tests of Conditional Asset Pricing Models in the Brazilian Stock Market
by BONOMO, Marco & GARCIA, René 
Are the Effects of Monetary Policy Asymmetric?
by Garcia, R. & Schaller, H. 
A Monte Carlo Method for Optimal Portfolios
by Jérôme B. Detemple & Ren Garcia & Marcel Rindisbacher 
Indexation, Staggering and Disinflation.
by Garcia, R. & Bonomo, M. 
Structural Change and Asset Pricing in Emerging Markets
by René Garcia & Eric Ghysels 
Tests of Conditonal Asset Pricing Models in the Brazilian Stock Market.
by Bonomo, M. & Garcia, R. 
Special Issue on "Multivariate Volatility Models"
by René Garcia 
Can a wellfitted equilibrium asset pricing model produce mean reversion?
by MArco Antonio Bonomo & Rene Garcia 
A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models
by René Garcia & Eric Renault 
Risk Aversion, Intertemporal Substitution, and Option Pricing
by René Garcia & Eric Renault 
Disequilibrium Econometrics for Business Loans.
by Laffont, JeanJacques & Garcia, Rene 
Representation formulas for Malliavin derivatives of diffusion processes
by Jérôme Detemple & René Garcia & Marcel Rindisbacher 
An Analysis of the Real Interest Rate under Regime Shifts.
by Garcia, Rene & Perron, Pierre 
The JFEC Invited Lecture at the 2008 SoFiE Conference
by René Garcia 
Indexation, Staggering and Disinflation.
by Garcia, R. & Bonomo, M. 
Consumption and equilibrium asset pricing: An empirical assessment
by Bonomo, Marco & Garcia, Rene 
Asymptotic properties of Monte Carlo estimators of diffusion processes
by Detemple, Jerome & Garcia, Rene & Rindisbacher, Marcel 
Disappointment aversion as a solution to the equity premium and the riskfree rate puzzles
by Marco Antonio Bonomo & Rene Garcia 
Consumption and Equilibrium Asset Pricing: an Empirical Assessment.
by Bonomo, M. & Garcia, R. 
Les modèles de prévisions économiques
by John W. Galbraith & René Garcia 
Bond Liquidity Premia
by JeanSébastien Fontaine & René Garcia 
A MonteCarlo Method for Optimal Portfolios
by Jérôme Detemple & René Garcia & Marcel Rindisbacher 
Letent Variable Models for Stochastic Discount Factors.
by Garcia, R. & Renault, E. 
Risk Aversion, Intertemporal Substitution, and Option Pricing.
by Garcia, R. & Renault, E. 
State Dependence Can Explain the Risk Aversion Puzzle
by Fousseni ChabiYo & René Garcia & Eric Renault 
Application of a simulation software to the analysis of a peasant farming system
by Berdegue, J. A. & Installe, M. & Duque, Ch. & Garcia, R. & Quezada, X. 
Risk Aversion, Intertemporal Substitution, and the Term Structure of Interest Rates
by René Garcia & Richard Luger 
On the Dynamic Specification of International Asset Pricing Models.
by Kichian, M. & Garcia, R. & Ghysels, E. 
Risk Aversion, Intertemporal Substitution, and Option Pricing
by GARCIA, René & RENAULT, Éric 
MEAN AVERSION IN EQUILIBRIUM ASSET PRICES: COMMENT.
by BONOMO, M. & GARCIA, R. 
Indexation, staggering and disinflation
by Marco Antonio Bonomo & Rene Garcia 
The Macroeconomic Effects of Infrequent Information With Adjustment Costs.
by Bonomo, M. & Garcia, R. 
Are the Effects of Monetary Policy Asymmetric?
by René Garcia & Huntley Schaller 
Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes.
by Marcel Rindisbacher & Jérôme Detemple & René Garcia 
Modelling Risk Premiums in Equity and Foreign Exchange Markets
by René Garcia & Maral Kichian 
Consumption and Equilibrium Asset Pricing: an Empirical Assessment.
by Bonomo, M. & Garcia, R. 
Tests of conditional asset pricing models in the Brazilian stock market,
by Marco Antonio Bonomo & Rene Garcia 
Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation.
by Garcia, Rene & Lusardi, Annamaria & Ng, Serena 
The macroeconomic effects of infrequent information with adjustment costs
by Bonomo, Marco Antônio Cesar & Garcia, René 
The Value of Real and Financial Risk Management
by Marcel Boyer & M. Martin Boyer & René Garcia 
Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes
by Jérôme Detemple & René Garcia & Marcel Rindisbacher 
L'effet redistributif de l'inflation de 1969 a 1975 sur les menages canadiens. (With English summary.)
by Marcel Boyer & Rene Garcia 
The Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with HigherOrder Moments
by Fousseni ChabiYo & René Garcia & Eric Renault 
Can WellFitted Equilibrium Asset Pricing Model Produce Mean Reversion?
by Bonomo, m. & Garcia, r. 
The Canadian macroeconomy and the yield curve: an equilibriumbased approach
by René Garcia & Richard Luger 
Disentangling risk aversion and intertemporal substitution through a reference level
by Garcia, Rene & Renault, Eric & Semenov, Andrei 
Structural change and asset pricing in emerging markets
by Garcia, Rene & Ghysels, Eric 
Asymmetric Smiles, Leverage Effects and Structural Parameters
by René Garcia & Richard Luger & Eric Renault 
Asymmetric Smiles, Leverage Effects and Structural Parameters.
by Garcia, R. & Luger, R. & Renault, E. 
Can a WellFitted Equilibrium AssetPricing Model Produce Mean Reversion?
by Bonomo, Marco & Garcia, Rene 
Tests of Conditional Asset Pricing Models in the Brazilian Stock Market
by BONOMO, Marco & GARCIA, René 
Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models
by René Garcia 
The Macroeconomic Effects of Infrequent Information with Adjustment Costs
by BONOMO, Marco & GARCIA, René 
Incorporating SecondOrder Functional Knowledge for Better Option Pricing
by François Bélisle & Yoshua Bengio & Charles Dugas & René Garcia & Claude Nadeau 
Empirical Assessment of an Intertemporal Option Pricing Model with Latent variables
by GARCIA, René & LUGER, Richard & RENAULT, Éric 
Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note : Nouvelle version Février 2002)
by René Garcia & Richard Luger & Eric Renault 
Disappointment Aversion as a Solution to the Equity Premium and the Risk Free Rate Puzzles.
by Garcia, R. & Bonomo, M. 
Econometric methods for derivative securities and risk management
by Garcia, R. & Ghysels, E. & Renault, E. 
Tests of conditional asset pricing models in the brazilian stock market
by Bonomo, Marco Antônio Cesar & Garcia, René 
Comment
by Garcia, Rene & Meddahi, Nour 
Dependence Structure and Extreme Comovements in International Equity and Bond Markets
by René Garcia & Georges Tsafack 
Tests of conditional asset pricing models in the Brazilian stock market
by Garcia, Rene & Bonomo, Marco 
Assessing and Valuing the NonLinear Structure of Hedge Fund Returns
by Antonio Diez de los Rios & René Garcia 
Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation.
by Garcia, R. & Lusardi, A. & Ng, S. 
Indexation, staggering and disinflation
by Bonomo, Marco & Garcia, Rene 
Latent Variable Models for Stochastic Discount
by René Garcia & Eric Renault 
Uses of first line emergency services in Cuba
by De Vos, Pol & Vanlerberghe, Veerle & Rodriguez, Armando & Garcia, Rene & Bonet, Mariano & Van der Stuyft, Patrick 
On the Dynamic Specification of International Asset Pricing Models.
by Kichian, M. & Garcia, R. & Ghysels, E. 
Empirical assessment of an intertemporal option pricing model with latent variables
by Garcia, Rene & Luger, Richard & Renault, Eric 
Asymptotic Null Contribution of the Likelihood Ratio Test in Markov Switching Models.
by Garcia, R. 
Latent Variable Models for Stochastic Discount Factors
by René Garcia & Eric Renault 
Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables
by René Garcia & Richard Luger & Eric Renault 
Optimal Rules under Adjustment Cost and Infrequent Information
by Rene Garcia & Marco Bonomo 
An analysis of Real Interest Rate Under Regime Shifts.
by Garcia, R. & Perron, P. 
An Analysis of the Real Interest Rate Under Regime Shifts
by René Garcia & Pierre Perron 
Infrequent information, optimal time and state dependent rules, and aggregate effects.
by Marco Antonio Bonomo & Rene Garcia 
On the Dynamic Specification of International Asset Pricing Models
by René Garcia & Eric Ghysels & Maral Kichian 
Are the Effects of Monetary Policy Asymmetric?
by RenÈ Garcia 
Tests of Conditional Asset Pricing Models in the Brazilian Stock Market
by Marco Bonomo & René Garcia 
Disappointment Aversion as a Solution to the Equity Premium and the RiskFree Rate Puzzles
by Marco Bonomo & René Garcia 
Can WellFitted Equilibrium Asset Pricing Model Produce Mean Reversion?
by Bonomo, m. & Garcia, r. 
Excess Sensitivity and Asymmetries in Consumption: an Empirical Investigation.
by Garcia, R. & Lusardi, A. & Ng, S. 
Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models.
by Garcia, Rene 
An analysis of Real Interest Rate Under Regime Shifts.
by Garcia, R. & Perron, P. 
Risk Aversion, Intertemporal Substitution, and Option Pricing
by René Garcia & Eric Renault 
La théorie économique de l’information : exposé synthétique de la littérature
by Garcia, René 
Information asymétrique, contraintes de liquidité et investissement
by Bascuñán, Mauricio & Garcia, René & Poitevin, Michel 
Modèles d’évaluation des actifs financiers dans les marchés boursiers en émergence : identification des facteurs de risque et tests de changement structurel
by Garcia, René 
A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models
by René Garcia & Èric Renault 
Measuring causality between volatility and returns with highfrequency data
by Taamouti, Abderrahim & García, René & Dufour, JeanMarie 
The Alleviation of Coordination Problems through Financial Risk Management
by BOYER, Marcel & BOYER, Martin M. & GARCIA, René 
Estimation of stable distributions by indirect inference
by GARCIA, René & RENAULT, Eric & VEREDAS, David 
Statedependent pricing under infrequent information: a unified framework
by Marco Bonomo & Carlos Carvalho & Rene Garcia 
Generalized Disappointment Aversion, Long Run Volatility Risk and Asset Prices
by Bonomo, Marco & Garcia, René & Meddahi, Nour & Tédongap, Roméo 
Generalized Disappointment Aversion, Long Run Volatility Risk and Asset Prices
by Bonomo, Marco & Garcia, René & Meddahi, Nour & Tédongap, Roméo 
The JFEC Invited Lecture at the 2009 SoFiE Conference
by René Garcia, Eric Ghysels and Eric Renault 
Generalized Disappointment Aversion, Longrun Volatility Risk, and Asset Prices
by Marco Bonomo & René Garcia & Nour Meddahi & Roméo Tédongap 
Estimation of stable distributions by indirect inference
by Garcia, René & Renault, Eric & Veredas, David 
Estimation of objective and riskneutral distributions based on moments of integrated volatility
by Garcia, René & Lewis, MarcAndré & Pastorello, Sergio & Renault, Éric 
Measuring HighFrequency Causality Between Returns, Realized Volatility and Implied Volatility
by JeanMarie Dufour & René Garcia & Abderrahim Taamouti 
Alleviating Coordination Problems and Regulatory Constraints through Financial Risk Management
by Marcel Boyer & M. Martin Boyer & René Garcia 
Dependence structure and extreme comovements in international equity and bond markets
by Garcia, René & Tsafack, Georges 
The option CAPM and the performance of hedge funds
by Antonio Diez de los Rios & René Garcia 
Assessing and valuing the nonlinear structure of hedge fund returns
by Antonio Diez De Los Rios & René Garcia 
Asymptotic Properties of Monte Carlo Estimators of Derivatives
by Jérôme Detemple & René Garcia & Marcel Rindisbacher 
Proper Conditioning for Coherent VaR in Portfolio Management
by René Garcia & Éric Renault & Georges Tsafack 
Bond Liquidity Premia
by JeanSébastien Fontaine & René Garcia 
Assessing misspecified asset pricing models with empirical likelihood estimators
by Almeida, Caio & Garcia, René 
Risk aversion, intertemporal substitution, and the term structure of interest rates
by René Garcia & Richard Luger 
A ModelFree Measure of Aggregate Idiosyncratic Volatility and the Prediction of Market Returns
by René Garcia & Daniel MantillaGarcia & Lionel Martellini 
Estimation of stable distributions with indirect inference
by Rene Garcia & Eric Renault & David Veredas 
Measuring HighFrequency Causality Between Returns, Realized Volatility, and Implied Volatility
by JeanMarie Dufour & René Garcia & Abderrahim Taamouti 
A ModelFree Measure of Aggregate Idiosyncratic Volatility and the Prediction of Market Returns
by Garcia, RenÃ & MantillaGarcÃa, Daniel & Martellini, Lionel 
Persistent Monetary Nonneutrality in an Estimated Model with Menu Costs and Partially Costly Information
by Vivian Malta & Rene Garcia & Carlos Carvalho & Marco Bonomo 
Funding Liquidity, Market Liquidity and the CrossSection of Stock Returns
by JeanSébastien Fontaine & René Garcia & Sermin Gungor 
Time and StateDependent Pricing: A Unified Framework
by Rene Garcia & Carlos Carvalho & Marco Bonomo 
Funding Liquidity, Market Liquidity and the CrossSection of Stock Returns
by JeanSébastien Fontaine & René Garcia & Sermin Gungor 
Nonparametric Tail Risk, Stock Returns and the Macroeconomy
by René Garcia & Caio Almeida & Kym Ardison & Jose Vicente 
The long and the short of the riskreturn tradeoff
by Bonomo, Marco & Garcia, René & Meddahi, Nour & Tédongap, Roméo 
Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy
by Caio Almeida & Kym Ardison & René Garcia & Jose Vicente 
Erratum to Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy
by Caio Almeida & Kym Ardison & René Garcia & Jose Vicente 
Nonparametric Tail Risk, Stock Returns, and the Macroeconomy
by Caio Almeida & Kym Ardison & René Garcia & Jose Vicente 
Alleviating Coordination Problems and Regulatory Constraints Through Financial Risk Management
by Marcel Boyer & M. Martin Boyer & René Garcia 
Nonparametric Assessment of Hedge Fund Performance
by Almeida, Caio & Ardison, Kim & Garcia, René 
Prime de risque et prix du risque sur les actions
by René Garcia & Nour Meddahi 
Approximate analytical solutions for consumption/investment problems under recursive utility and finite horizon
by Campani, Carlos Heitor & Garcia, René 
Viewpoint: Option prices, preferences, and state variables
by René Garcia & Richard Luger & Éric Renault 
The macroeconomic effects of infrequent information with adjustment costs
by Marco Bonomo & René Garcia 
Nonparametric Assessment of Hedge Fund Performance
by Caio Almeida & Kim Ardison & René Garcia 
The Canadian macroeconomy and the yield curve: an equilibrium‐based approach
by René Garcia & Richard Luger 
Nonparametric assessment of hedge fund performance
by Almeida, Caio & Ardison, Kym & Garcia, René 
Economic Implications of Nonlinear Pricing Kernels
by Caio Almeida & René Garcia 
Approximate analytical solutions for consumption/investment problems under recursive utility and finite horizon
by Carlos Heitor Campania & René Garcia 
Predictive Modeling, Volatility, and Risk Management in Financial Markets: In Memory of Peter F. Christoffersen (Part I)
by Francis X. Diebold & René Garcia & Kris Jacobs 
Optimal portfolio strategies in the presence of regimes in asset returns
by Campani, Carlos Heitor & Garcia, René & Lewin, Marcelo 
Predictive Modeling, Volatility, and Risk Management in Financial Markets: In Memory of Peter F. Christoffersen (Part I)
by Francis X. Diebold & René Garcia & Kris Jacobs 
Risk Premium and Risk Price in the Equity MarketRisk
by René Garcia & Nour Meddahi
editor of:

Journal of Financial Econometrics
edited by RenÈ Garcia & Eric Renault