secure
 rene.garcia@cirano.qc.ca
514-343-611p28490

Biography

René Garcia is a graduate of ESSEC and received his doctorate in economics from Princeton University. After several years at EDHEC Business School (2007-2016) as a Chair professor in Finance, he accepted a position in the Economics Department at the Université de Montréal where he taught econometrics and finance from 1991 till 2007. He was also the holder of the Hydro-Québec chair in integrated risk management and financial mathematics as well as the recipient of a research fellowship from the Bank of Canada. He is the co-founder, together with Eric Renault, of the Journal of Financial Econometrics, published by Oxford University Press, and was its editor-in-chief from January 2003 till June 2012. His research interests in finance revolve around the valuation of financial assets, portfolio management, and risk management. In econometrics, he is interested in nonlinear models, in particular regime-switching models. René has published his research in leading international journals.
[ - ]
[ + ]

Publications by René Garcia

28 publications
CS
April 25, 2016

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

Jean-Sébastien Fontaine, René Garcia and Sermin Gungor

CS
April 25, 2016

Nonparametric Tail Risk, Stock Returns and the Macroeconomy

René Garcia, Caio Almeida, Kym Ardison and Jose Vicente

Risk Management and Financial risks
CS
January 1, 2013

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

René Garcia, Daniel Mantilla-Garcia and Lionel Martellini

CS
May 1, 2011

Alleviating Coordination Problems and Regulatory Constraints through Financial Risk Management

Marcel Boyer, M. Martin Boyer and René Garcia

Risk Management and Financial risks
CS
February 1, 2011

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

Jean-Marie Dufour, René Garcia and Abderrahim Taamouti

Risk Management
CS
May 1, 2009

Risk Aversion, Intertemporal Substitution, and the Term Structure of Interest Rates

René Garcia and Richard Luger

Simulation

Other information

Autres informations
CV complet / Complete CV     PDF version (anglais seulement)

Autres articles

  • Estimation of Objective and Risk-neutral Distributions based on Moments of Integrated Volatility      Garcia, R., Lewis, M.-A., Renault, ., PDF version

  • Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables      Garcia, R., Luger, R., Renault, É      PDF Version
  • Asymmetric Smiles, Leverage Effects and Structural Parameters       Garcia, R., Luger, R., Renault, É.       PDF version       PS version

  • Pricing and Hedging Derivative Securities with Neural Networks and a Homogeneity Hint      Garcia, R., Gençay, R.       PDF Version (Journal of Econometrics, 94 (2000), 93-115)

  • Latent Variable Models for Stochastic Discount Factors      Garcia, R., Renault, É.      PDF Version (Forthcoming in Handbook of Mathematical Finance, Cambridge University Press)
Website Security Test