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Publications

27 results

CS

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

Jean-Sébastien Fontaine, René Garcia and Sermin Gungor

CS

Nonparametric Tail Risk, Stock Returns and the Macroeconomy

Caio Almeida, Kym Ardison, René Garcia and Jose Vicente

Risk Management and Financial risks
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A Model-Free Measure of Aggregate Idiosyncratic Volatility and the Prediction of Market Returns

René Garcia, Daniel Mantilla-Garcia and Lionel Martellini

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Alleviating Coordination Problems and Regulatory Constraints through Financial Risk Management

M. Martin Boyer, Marcel Boyer and René Garcia

Risk Management and Financial risks
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Measuring High-Frequency Causality Between Returns, Realized Volatility and Implied Volatility

Jean-Marie Dufour, René Garcia and Abderrahim Taamouti

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

René Garcia and Richard Luger

Simulation
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The Value of Real and Financial Risk Management

M. Martin Boyer, Marcel Boyer and René Garcia

Risk Management and Financial risks
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The Econometrics of Option Pricing

René Garcia, Eric Ghysels and Éric Renault

Econometrics and Simulation
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Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes

Jérôme Detemple, René Garcia and Marcel Rindisbacher

Elections and Democratic Processes, Simulation and Digital Transformation
CS

Disentangling Risk Aversion and Intertemporal Substitution Through a Reference Level

René Garcia, Éric Renault and Andrei Semenov

Risk Management
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Incorporating Second-Order Functional Knowledge for Better Option Pricing

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

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Asymmetric Smiles, Leverage Effects and Structural Parameters

René Garcia, Richard Luger and Éric Renault

Simulation
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A Monte-Carlo Method for Optimal Portfolios

Jérôme Detemple, René Garcia and Marcel Rindisbacher

Simulation
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Latent Variable Models for Stochastic Discount Factors

René Garcia and Éric Renault

Econometrics and Simulation
RP

Les modèles de prévisions économiques

John W. Galbraith and René Garcia

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Risk Aversion, Intertemporal Substitution, and Option Pricing

René Garcia and Éric Renault

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

René Garcia and Éric Renault

Simulation
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Structural Change and Asset Pricing in Emerging Markets

René Garcia and Eric Ghysels

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On the Dynamic Specification of International Asset Pricing Models

René Garcia, Eric Ghysels and Maral Kichian

International Development, Strategy and International Economy and Simulation
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An Analysis of the Real Interest Rate Under Regime Shifts

René Garcia and Pierre Perron

CS

Are the Effects of Monetary Policy Asymmetric?

René Garcia and Huntley Schaller

Social Policies
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Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models

René Garcia

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

Marco Bonomo and René Garcia

Competition, Risk Management and Simulation

Les modèles de prévisions économiques

CIRANO Directory

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Events

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