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Richard Luger

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This is information that was supplied by Richard Luger in registering through RePEc. If you are Richard Luger , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Richard
Middle Name:
Last Name: Luger
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RePEc Short-ID: plu79

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Affiliation

(50%) Department of Risk Management and Insurance
J. Mack Robinson College of Business
Georgia State University
Location: Atlanta, Georgia (United States)
Homepage: http://www.rmi.gsu.edu/
Email:
Phone: (404) 651-2725
Fax: (404) 651-4219
Postal: P.O. Box 4036, Atlanta, GA 30302-4036
Handle: RePEc:edi:drmgsus (more details at EDIRC)
(50%) Department of Economics
Andrew Young School of Policy Studies
Georgia State University
Location: Atlanta, Georgia (United States)
Homepage: http://aysps.gsu.edu/econ
Email:
Phone: (404) 651-3990
Fax: (404) 651-3996
Postal: Atlanta, GA 30303-3083
Handle: RePEc:edi:degsuus (more details at EDIRC)

Works

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Working papers

  1. Sermin Gungor & Richard Luger, 2013. "Multivariate Tests of Mean-Variance Efficiency and Spanning with a Large Number of Assets and Time-Varying Covariances," Working Papers 13-16, Bank of Canada.
  2. Luis García-Álvarez & Richard Luger, 2011. "Dynamic Correlations, Estimation Risk, And Porfolio Management During The Financial Crisis," Working Papers wp2011_1103, CEMFI.
  3. Sermin Gungor & Richard Luger, 2010. "Bank Testing Linear Factor Pricing Models with Large Cross-Sections: A Distribution-Free Approach," Working Papers 10-36, Bank of Canada.
  4. René Garcia & Richard Luger, 2009. "Risk Aversion, Intertemporal Substitution, and the Term Structure of Interest Rates," CIRANO Working Papers 2009s-20, CIRANO.
  5. René Garcia & Richard Luger, 2005. "The Canadian Macroeconomy and the Yield Curve: An Equilibrium-Based Approach," Working Papers 05-36, Bank of Canada.
  6. Florian PELGRIN & Alain GUAY & Richard LUGER, 2004. "The New Keynesian Phillips Curve: An empirical assessment," Econometric Society 2004 North American Summer Meetings 418, Econometric Society.
  7. Rene Garcia & Richard Luger & Eric Renault, 2004. "Option Prices, Preferences, and State Variables," Emory Economics 0418, Department of Economics, Emory University (Atlanta).
  8. Richard Luger, 2004. "Exact Tests of Equal Forecast Accuracy with an Application to the Term Structure of Interest Rates," Working Papers 04-2, Bank of Canada.
  9. Richard Luger, 2004. "Exact Permutation Tests for Non-nested Non-linear Regression Models," Emory Economics 0419, Department of Economics, Emory University (Atlanta).
  10. Garcia, R. & Luger, R. & Renault, E., 2001. "Asymmetric Smiles, Leverage Effects and Structural Parameters," Cahiers de recherche 2001-09, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  11. René Garcia & Richard Luger & Éric Renault, 2001. "Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note : New version February 2002) / Empirical Assessment of an Intertemporal Option Pricing Model with Latent Varia," CIRANO Working Papers 2001s-02, CIRANO.
  12. Maral Kichian and Richard Luger, Bank of Canada, 2001. "On Inflation and the Persistence of shocks to Output," Computing in Economics and Finance 2001 184, Society for Computational Economics.
  13. Luger, Richard, 2001. "Exact Non-Parametric Tests for a Random Walk with Unknown Drift under Conditional Heteroscedasticity," Working Papers 01-2, Bank of Canada.
  14. GARCIA,René & LUGER, Richard & RENAULT, Éric, 2001. "Empirical Assessment of an Intertemporal Option Pricing Model with Latent variables," Cahiers de recherche 2001-10, Universite de Montreal, Departement de sciences economiques.

Articles

  1. Sermin Gungor & Richard Luger, 2013. "Testing Linear Factor Pricing Models With Large Cross Sections: A Distribution-Free Approach," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 31(1), pages 66-77, January.
  2. René Garcia & Richard Luger, 2012. "Risk aversion, intertemporal substitution, and the term structure of interest rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(6), pages 1013-1036, 09.
  3. Luger, Richard, 2012. "Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3198-3211.
  4. Richard Luger, 2011. "Book Review: Introducing Monte Carlo Methods with R," Econometric Reviews, Taylor & Francis Journals, vol. 30(4), pages 469-474.
  5. Luger, Richard, 2010. "An omnibus test for heteroskedasticity," Economics Letters, Elsevier, vol. 106(1), pages 22-24, January.
  6. Gungor, Sermin & Luger, Richard, 2009. "Exact distribution-free tests of mean-variance efficiency," Journal of Empirical Finance, Elsevier, vol. 16(5), pages 816-829, December.
  7. Liu, Yan & Luger, Richard, 2009. "Efficient estimation of copula-GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2284-2297, April.
  8. René Garcia & Richard Luger, 2007. "The Canadian macroeconomy and the yield curve: an equilibrium-based approach," Canadian Journal of Economics, Canadian Economics Association, vol. 40(2), pages 561-583, May.
  9. Richard Luger, 2006. "Median-unbiased Estimation and Exact Inference Methods for First-order Autoregressive Models with Conditional Heteroscedasticity of Unknown Form," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(1), pages 119-128, 01.
  10. Luger, Richard, 2006. "Exact permutation tests for non-nested non-linear regression models," Journal of Econometrics, Elsevier, vol. 133(2), pages 513-529, August.
  11. René Garcia & Richard Luger & Éric Renault, 2005. "Viewpoint: Option prices, preferences, and state variables," Canadian Journal of Economics, Canadian Economics Association, vol. 38(1), pages 1-27, February.
  12. Garcia, Rene & Luger, Richard & Renault, Eric, 2003. "Empirical assessment of an intertemporal option pricing model with latent variables," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 49-83.
  13. Luger, Richard, 2003. "Exact non-parametric tests for a random walk with unknown drift under conditional heteroscedasticity," Journal of Econometrics, Elsevier, vol. 115(2), pages 259-276, August.
  14. Luger, Richard, 2001. "A modified CUSUM test for orthogonal structural changes," Economics Letters, Elsevier, vol. 73(3), pages 301-306, December.

NEP Fields

10 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BAN: Banking (1) 2011-01-03
  2. NEP-CBA: Central Banking (1) 2009-05-30
  3. NEP-CMP: Computational Economics (1) 2004-01-18
  4. NEP-ECM: Econometrics (5) 2001-07-17 2004-01-25 2004-12-02 2011-01-03 2013-06-16. Author is listed
  5. NEP-ETS: Econometric Time Series (2) 2001-07-17 2004-01-18
  6. NEP-IFN: International Finance (1) 2001-07-17
  7. NEP-MAC: Macroeconomics (4) 2002-01-05 2004-10-30 2005-12-01 2009-05-30. Author is listed
  8. NEP-MON: Monetary Economics (3) 2004-10-30 2005-12-01 2009-05-30. Author is listed
  9. NEP-RMG: Risk Management (2) 2004-01-18 2011-11-14
  10. NEP-UPT: Utility Models & Prospect Theory (1) 2009-05-30

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