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Richard Luger

Personal Details

First Name:Richard
Middle Name:
Last Name:Luger
Suffix:
RePEc Short-ID:plu79
[This author has chosen not to make the email address public]

Affiliation

Département finance, assurance et immobilier
Faculté des sciences de l'administration
Université Laval

Québec, Canada
http://www5.fsa.ulaval.ca/sgc/faculte/departementsecole/financeassurance/cache/bypass

: (418) 656-2180
(418)656-2624
(418) 656-2180
RePEc:edi:dflavca (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Jean-Marie Dufour & Richard Luger, 2017. "Identification-robust moment-based tests for Markov-switching in autoregressive models," Cahiers de recherche 1701, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques.
  2. Sermin Gungor & Richard Luger, 2014. "Bootstrap Tests of Mean-Variance Efficiency with Multiple Portfolio Groupings," Staff Working Papers 14-51, Bank of Canada.
  3. Sermin Gungor & Richard Luger, 2013. "Multivariate Tests of Mean-Variance Efficiency and Spanning with a Large Number of Assets and Time-Varying Covariances," Staff Working Papers 13-16, Bank of Canada.
  4. Luis García-Álvarez & Richard Luger, 2011. "Dynamic Correlations, Estimation Risk, and Porfolio Management During the Financial Crisis," Working Papers wp2011_1103, CEMFI, revised Sep 2011.
  5. Sermin Gungor & Richard Luger, 2010. "Bank Testing Linear Factor Pricing Models with Large Cross-Sections: A Distribution-Free Approach," Staff Working Papers 10-36, Bank of Canada.
  6. René Garcia & Richard Luger, 2009. "Risk Aversion, Intertemporal Substitution, and the Term Structure of Interest Rates," CIRANO Working Papers 2009s-20, CIRANO.
  7. René Garcia & Richard Luger, 2005. "The Canadian Macroeconomy and the Yield Curve: An Equilibrium-Based Approach," Staff Working Papers 05-36, Bank of Canada.
  8. Richard Luger, 2004. "Exact Tests of Equal Forecast Accuracy with an Application to the Term Structure of Interest Rates," Staff 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. 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.
  11. Rene Garcia & Richard Luger & Eric Renault, 2004. "Option Prices, Preferences, and State Variables," Emory Economics 0418, Department of Economics, Emory University (Atlanta).
  12. 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.
  13. 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.
  14. 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.
  15. 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.
  16. Luger, Richard, 2001. "Exact Non-Parametric Tests for a Random Walk with Unknown Drift under Conditional Heteroscedasticity," Staff Working Papers 01-2, Bank of Canada.

Articles

  1. Sermin Gungor & Richard Luger, 2016. "Multivariate Tests of Mean-Variance Efficiency and Spanning With a Large Number of Assets and Time-Varying Covariances," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(2), pages 161-175, April.
  2. Gungor, Sermin & Luger, Richard, 2015. "Bootstrap Tests Of Mean-Variance Efficiency With Multiple Portfolio Groupings," L'Actualité Economique, Société Canadienne de Science Economique, vol. 91(1-2), pages 35-65, Mars-Juin.
  3. Liu, Xiaochun & Luger, Richard, 2015. "Unfolded GARCH models," Journal of Economic Dynamics and Control, Elsevier, vol. 58(C), pages 186-217.
  4. 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.
  5. 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.
  6. 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, September.
  7. Richard Luger, 2011. "Book Review: Introducing Monte Carlo Methods with R," Econometric Reviews, Taylor & Francis Journals, vol. 30(4), pages 469-474, August.
  8. Luger, Richard, 2010. "An omnibus test for heteroskedasticity," Economics Letters, Elsevier, vol. 106(1), pages 22-24, January.
  9. Liu, Yan & Luger, Richard, 2009. "Efficient estimation of copula-GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2284-2297, April.
  10. 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.
  11. 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.
  12. 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, January.
  13. Luger, Richard, 2006. "Exact permutation tests for non-nested non-linear regression models," Journal of Econometrics, Elsevier, vol. 133(2), pages 513-529, August.
  14. 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.
  15. 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.
  16. 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.
  17. Luger, Richard, 2001. "A modified CUSUM test for orthogonal structural changes," Economics Letters, Elsevier, vol. 73(3), pages 301-306, December.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Sermin Gungor & Richard Luger, 2014. "Bootstrap Tests of Mean-Variance Efficiency with Multiple Portfolio Groupings," Staff Working Papers 14-51, Bank of Canada.

    Cited by:

  2. Sermin Gungor & Richard Luger, 2013. "Multivariate Tests of Mean-Variance Efficiency and Spanning with a Large Number of Assets and Time-Varying Covariances," Staff Working Papers 13-16, Bank of Canada.

    Cited by:

    1. Seung C. Ahn & Alex R. Horenstein, 2017. "Asset Pricing and Excess Returns over the Market Return," Working Papers 2017-12, University of Miami, Department of Economics.

  3. Luis García-Álvarez & Richard Luger, 2011. "Dynamic Correlations, Estimation Risk, and Porfolio Management During the Financial Crisis," Working Papers wp2011_1103, CEMFI, revised Sep 2011.

    Cited by:

    1. R. REYTIER & A. Blanes & Q. Gaucher & S. Thiam & P. Debled, 2015. "Behavior of Covariance Matrices with Equi-Correlation Approach," Proceedings of International Academic Conferences 2805027, International Institute of Social and Economic Sciences.
    2. Miralles-Marcelo, José Luis & Miralles-Quirós, María del Mar & Miralles-Quirós, José Luis, 2015. "Improving international diversification benefits for US investors," The North American Journal of Economics and Finance, Elsevier, vol. 32(C), pages 64-76.

  4. René Garcia & Richard Luger, 2009. "Risk Aversion, Intertemporal Substitution, and the Term Structure of Interest Rates," CIRANO Working Papers 2009s-20, CIRANO.

    Cited by:

    1. Gregory H. Bauer & Antonio Diez de los Rios, 2012. "An International Dynamic Term Structure Model with Economic Restrictions and Unspanned Risks," Staff Working Papers 12-5, Bank of Canada.
    2. Jardet, C. & Monfort, A. & Pegoraro, F., 2009. "No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth," Working papers 234, Banque de France.

  5. René Garcia & Richard Luger, 2005. "The Canadian Macroeconomy and the Yield Curve: An Equilibrium-Based Approach," Staff Working Papers 05-36, Bank of Canada.

    Cited by:

    1. Huynh, Kim P. & Petrunia, Robert J. & Voia, Marcel, 2012. "Duration of new firms: The role of startup financial conditions, industry and aggregate factors," Structural Change and Economic Dynamics, Elsevier, vol. 23(4), pages 354-362.
    2. Lange, Ronald H., 2014. "The small open macroeconomy and the yield curve: A state-space representation," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 1-21.
    3. Fousseni Chabi-Yo & Jun Yang, 2007. "A No-Arbitrage Analysis of Macroeconomic Determinants of Term Structures and the Exchange Rate," Staff Working Papers 07-21, Bank of Canada.
    4. Bruno Feunou & Jean-Sébastien Fontaine, 2012. "Forecasting Inflation and the Inflation Risk Premiums Using Nominal Yields," Staff Working Papers 12-37, Bank of Canada.
    5. Matteo Modena, 2008. "An Empirical Analysis of the Curvature Factor of the Term Structure of Interest Rates," Working Papers 2008_35, Business School - Economics, University of Glasgow.
    6. Lange, Ronald H., 2013. "The Canadian macroeconomy and the yield curve: A dynamic latent factor approach," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 261-274.
    7. Lange, Ronald H., 2015. "International long-term yields and monetary policy in a small open economy: The case of Canada," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 292-310.

  6. Richard Luger, 2004. "Exact Tests of Equal Forecast Accuracy with an Application to the Term Structure of Interest Rates," Staff Working Papers 04-2, Bank of Canada.

    Cited by:

    1. Pär Österholm, 2008. "Can forecasting performance be improved by considering the steady state? An application to Swedish inflation and interest rate," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(1), pages 41-51.
    2. Amendola, Alessandra & Candila, Vincenzo & Scognamillo, Antonio, 2015. "On the influence of the U.S. monetary policy on the crude oil price volatility," 2015 Fourth Congress, June 11-12, 2015, Ancona, Italy 207860, Italian Association of Agricultural and Applied Economics (AIEAA).
    3. Heinisch, Katja, 2016. "A real-time analysis on the importance of hard and soft data for nowcasting German GDP," Annual Conference 2016 (Augsburg): Demographic Change 145864, Verein für Socialpolitik / German Economic Association.
    4. Heinisch, Katja & Scheufele, Rolf, 2017. "Should forecasters use real-time data to evaluate leading indicator models for GDP prediction? German evidence," IWH Discussion Papers 5/2017, Halle Institute for Economic Research (IWH).
    5. Ryan Ratcliff, 2010. "Predicting nominal exchange rate movements using skewness information from options prices," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(1), pages 75-92.

  7. Richard Luger, 2004. "Exact Permutation Tests for Non-nested Non-linear Regression Models," Emory Economics 0419, Department of Economics, Emory University (Atlanta).

    Cited by:

    1. Achim Zeileis & Torsten Hothorn, 2013. "A toolbox of permutation tests for structural change," Statistical Papers, Springer, vol. 54(4), pages 931-954, November.

  8. 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.

    Cited by:

    1. Fabio Rumler, 2005. "Estimates of the Open Economy New Keynesian Phillips Curve for Euro Area Countries," Working Papers 102, Oesterreichische Nationalbank (Austrian Central Bank).
    2. Agenor, Pierre-Richard & Bayraktar, Nihal, 2003. "Contracting models of the Phillips curve - empirical estimates for Middle-income countries," Policy Research Working Paper Series 3139, The World Bank.
    3. Imbs, Jean & Jondeau, Eric & Pelgrin, Florian, 2007. "Aggregating Phillips Curves," CEPR Discussion Papers 6184, C.E.P.R. Discussion Papers.
    4. Janko Gorter, 2005. "Subjective Expectations and New Keynesian Phillips Curves in Europe," DNB Working Papers 049, Netherlands Central Bank, Research Department.
    5. Frode Brevik & Manfred Gärtner, 2005. "Partisan Theory and the New Keynesian and Sticky-Information Phillips Curves," University of St. Gallen Department of Economics working paper series 2005 2005-25, Department of Economics, University of St. Gallen.
    6. Thorvardur Tjörvi Ólafsson, 2006. "The New Keynesian Phillips Curve: In Search of Improvements and Adaptation to the Open Economy," Economics wp31_tjorvi, Department of Economics, Central bank of Iceland.
    7. Gbaguidi, David, 2012. "La courbe de Phillips : temps d’arbitrage et/ou arbitrage de temps," L'Actualité Economique, Société Canadienne de Science Economique, vol. 88(1), pages 87-119, mars.
    8. Mohamed Boutahar & David Gbaguidi, 2009. "Which Econometric Specification to Characterize the U.S. Inflation Rate Process?," Computational Economics, Springer;Society for Computational Economics, vol. 34(2), pages 145-172, September.

  9. 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.

    Cited by:

    1. Stylianos Perrakis & Jens Carsten Jackwerth & George Constantinides, 2005. "Mispricing of S&P 500 Index Options," Working Papers wp05-07, Warwick Business School, Finance Group.
    2. 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.
    3. Chalamandaris, Georgios & Tsekrekos, Andrianos E., 2010. "Predictable dynamics in implied volatility surfaces from OTC currency options," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1175-1188, June.
    4. Backus, David & Chernov, Mikhail & Martin, Ian, 2009. "Disasters implied by equity index options," CEPR Discussion Papers 7416, C.E.P.R. Discussion Papers.
    5. Laurent-Emmanuel Calvet & Adlai J. Fisher, 2008. "Multifrequency jump-diffusions: An equilibrium approach," Post-Print hal-00459681, HAL.
    6. Rene Garcia & Richard Luger & Eric Renault, 2004. "Option Prices, Preferences, and State Variables," Emory Economics 0418, Department of Economics, Emory University (Atlanta).
    7. René Garcia & Richard Luger & Éric Renault, 2001. "Asymmetric Smiles, Leverage Effects and Structural Parameters," CIRANO Working Papers 2001s-01, CIRANO.
    8. H. Bertholon & A. Monfort & F. Pegoraro, 2008. "Econometric Asset Pricing Modelling," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 6(4), pages 407-458, Fall.
    9. Sergio Pastorello & Valentin Patilea & Éric Renault, 2003. "Iterative and Recursive Estimation in Structural Non-Adaptive Models," CIRANO Working Papers 2003s-08, CIRANO.
    10. Sílvia Gonçalves & Massimo Guidolin, 2006. "Predictable Dynamics in the S&P 500 Index Options Implied Volatility Surface," The Journal of Business, University of Chicago Press, vol. 79(3), pages 1591-1636, May.
    11. Johanna Etner, 2006. "A Note on the Relation between Risk Aversion, Intertemporal Substitution and Timing of the Resolution of Uncertainty," Annals of Economics and Finance, Society for AEF, vol. 7(2), pages 251-256, November.
    12. Daglish, Toby & Maheu, John & McCurdy, Tom, 2008. "A Financial Metric for Comparing Volatility Models: Do Better Models Make Money?," Working Paper Series 4009, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.
    13. René Garcia & Richard Luger, 2009. "Risk Aversion, Intertemporal Substitution, and the Term Structure of Interest Rates," CIRANO Working Papers 2009s-20, CIRANO.
    14. Badescu, Alexandru M. & Kulperger, Reg J., 2008. "GARCH option pricing: A semiparametric approach," Insurance: Mathematics and Economics, Elsevier, vol. 43(1), pages 69-84, August.
    15. René Garcia & Eric Ghysels & Éric Renault, 2004. "The Econometrics of Option Pricing," CIRANO Working Papers 2004s-04, CIRANO.
    16. David Backus & Mikhail Chernov & Stanley Zin, 2011. "Sources of Entropy in Representative Agent Models," Working Papers 11-21, New York University, Leonard N. Stern School of Business, Department of Economics.
    17. Georgios Chalamandaris & Andrianos Tsekrekos, 2013. "Explanatory Factors and Causality in the Dynamics of Volatility Surfaces Implied from OTC Asian–Pacific Currency Options," Computational Economics, Springer;Society for Computational Economics, vol. 41(3), pages 327-358, March.
    18. Sergei Koulayev & Marc Rysman & Scott Schuh & Joanna Stavins, 2015. "Explaining adoption and use of payment instruments by U.S. consumers," Boston University - Department of Economics - Working Papers Series wp2015-004, Boston University - Department of Economics.
    19. Bildirici, Melike & Ersin, Özgür, 2012. "Nonlinear volatility models in economics: smooth transition and neural network augmented GARCH, APGARCH, FIGARCH and FIAPGARCH models," MPRA Paper 40330, University Library of Munich, Germany, revised May 2012.
    20. Anindya Biswas & Biswajit Mandal, 2016. "Estimating Preference Parameters From Stock Returns Using Simulated Method Of Moments," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 11(01), pages 1-13, March.
    21. Bjørn Eraker & Ivan Shaliastovich, 2008. "An Equilibrium Guide To Designing Affine Pricing Models," Mathematical Finance, Wiley Blackwell, vol. 18(4), pages 519-543.
    22. Néstor Gándelman & Rubén Hernández-Murillo, 2011. "What do happiness and health satisfaction data tell us about relative risk aversion?," Working Papers 2011-039, Federal Reserve Bank of St. Louis.
    23. Peters, R. & van der Weide, R., 2012. "Volatility: Expectations and Realizations," CeNDEF Working Papers 12-04, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
    24. Gandelman, Nestor & Hernandez-Murillo, Ruben, 2014. "Risk Aversion at the Country Level," Working Papers 2014-5, Federal Reserve Bank of St. Louis.
    25. Szabolcs Blazsek & Anna Downarowicz, 2008. "Regime switching models of hedge fund returns," Faculty Working Papers 12/08, School of Economics and Business Administration, University of Navarra.
    26. Christoffersen, Peter & Jacobs, Kris, 2004. "The importance of the loss function in option valuation," Journal of Financial Economics, Elsevier, vol. 72(2), pages 291-318, May.
    27. James D. Hamilton, 2016. "Macroeconomic Regimes and Regime Shifts," NBER Working Papers 21863, National Bureau of Economic Research, Inc.
    28. Bertholon, H. & Monfort, A. & Pegoraro, F., 2007. "Pricing and Inference with Mixtures of Conditionally Normal Processes," Working papers 188, Banque de France.
    29. Araújo, Fabio & Issler, João Victor, 2011. "A stochastic discount factor approach to asset pricing using panel data asymptotics," FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE) 717, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
    30. Le, Van & Zurbruegg, Ralf, 2014. "Forecasting option smile dynamics," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 32-45.
    31. Constantinides, George M. & Jackwerth, Jens Carsten & Perrakis, Stylianos, 2007. "Option Pricing: Real and Risk-Neutral Distributions," MPRA Paper 11637, University Library of Munich, Germany.
    32. Carol Alexandra & Emese Lazar, 2005. "The Continuous Limit of GARCH Processess," ICMA Centre Discussion Papers in Finance icma-dp2004-09, Henley Business School, Reading University, revised Jul 2004.
    33. Luca Benzoni & Pierre Collin-Dufresne & Robert S. Goldstein, 2010. "Explaining asset pricing puzzles associated with the 1987 market crash," Working Paper Series WP-2010-10, Federal Reserve Bank of Chicago.
    34. Fabozzi, Frank J. & Leccadito, Arturo & Tunaru, Radu S., 2014. "Extracting market information from equity options with exponential Lévy processes," Journal of Economic Dynamics and Control, Elsevier, vol. 38(C), pages 125-141.
    35. Chourdakis, Kyriakos & Dendramis, Yiannis & Tzavalis, Elias, 2014. "Are regime-shift sources of risk priced in the market?," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 151-170.
    36. Aivazian, Sergey & Bereznyatskiy, Alexander & Brodsky, Boris & Darkhovsky, Boris, 2015. "Statistical analysis of variable-structure models," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 39(3), pages 84-105.
    37. Shaliastovich, Ivan, 2015. "Learning, confidence, and option prices," Journal of Econometrics, Elsevier, vol. 187(1), pages 18-42.
    38. Maria Grith & Wolfgang Karl Härdle & Volker Krätschmer, 2013. "Reference Dependent Preferences and the EPK Puzzle," SFB 649 Discussion Papers SFB649DP2013-023, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.

  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.

    Cited by:

    1. Rene Garcia & Richard Luger & Eric Renault, 2004. "Option Prices, Preferences, and State Variables," Emory Economics 0418, Department of Economics, Emory University (Atlanta).
    2. Fousseni Chabi-Yo & René Garcia & Eric Renault, 2005. "State Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle," Staff Working Papers 05-9, Bank of Canada.
    3. Nour Meddahi, 2001. "An Eigenfunction Approach for Volatility Modeling," CIRANO Working Papers 2001s-70, CIRANO.
    4. 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.
    5. Daglish, Toby & Maheu, John & McCurdy, Tom, 2008. "A Financial Metric for Comparing Volatility Models: Do Better Models Make Money?," Working Paper Series 4009, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.
    6. Almut E. D. Veraart, 2008. "Impact of time–inhomogeneous jumps and leverage type effects on returns and realised variances," CREATES Research Papers 2008-57, Department of Economics and Business Economics, Aarhus University.
    7. Alexander David & Pietro Veronesi, 1998. "Option Prices with Uncertain Fundamentals: Theory and Evidence on the Dynamics of Implied Volatilities," CRSP working papers 485, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
    8. Anindya Biswas & Biswajit Mandal, 2016. "Estimating Preference Parameters From Stock Returns Using Simulated Method Of Moments," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 11(01), pages 1-13, March.
    9. Ali Alami & Éric Renault, 2001. "Risque de modèle de volatilité," CIRANO Working Papers 2001s-06, CIRANO.
    10. Bertholon, H. & Monfort, A. & Pegoraro, F., 2007. "Pricing and Inference with Mixtures of Conditionally Normal Processes," Working papers 188, Banque de France.
    11. Luca Benzoni & Pierre Collin-Dufresne & Robert S. Goldstein, 2010. "Explaining asset pricing puzzles associated with the 1987 market crash," Working Paper Series WP-2010-10, Federal Reserve Bank of Chicago.
    12. GARCIA, René & RENAULT, Éric, 2000. "Latent Variable Models for Stochastic Discount Factors," Cahiers de recherche 2000-01, Universite de Montreal, Departement de sciences economiques.
    13. 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.
    14. Frederik Lundtofte, 2010. "Implied volatility and risk aversion in a simple model with uncertain growth," Economics Bulletin, AccessEcon, vol. 30(1), pages 182-191.

  11. Luger, Richard, 2001. "Exact Non-Parametric Tests for a Random Walk with Unknown Drift under Conditional Heteroscedasticity," Staff Working Papers 01-2, Bank of Canada.

    Cited by:

    1. Mobarek, Asma & Fiorante, Angelo, 2014. "The prospects of BRIC countries: Testing weak-form market efficiency," Research in International Business and Finance, Elsevier, vol. 30(C), pages 217-232.
    2. Hung, Jui-Cheng, 2009. "Deregulation and liberalization of the Chinese stock market and the improvement of market efficiency," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(3), pages 843-857, August.
    3. Seok Young Hong & Oliver Linton & Hui Jun Zhang, 2014. "Multivariate variance ratio statistics," CeMMAP working papers CWP29/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    4. Amélie Charles & Olivier Darné, 2009. "Variance-Ratio Tests Of Random Walk: An Overview," Journal of Economic Surveys, Wiley Blackwell, vol. 23(3), pages 503-527, July.
    5. Marc Hallin & Ramon Van den Akker & Bas J.M. Werker, 2011. "A class of simple distribution-free rank-based unit root tests," Post-Print hal-00834424, HAL.
    6. Ntim, Collins G. & English, John & Nwachukwu, Jacinta & Wang, Yan, 2015. "On the efficiency of the global gold markets," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 218-236.
    7. Belaire-Franch, Jorge & Opong, Kwaku K., 2005. "Some evidence of random walk behavior of Euro exchange rates using ranks and signs," Journal of Banking & Finance, Elsevier, vol. 29(7), pages 1631-1643, July.
    8. Seok Young Hong & Oliver Linton & Hui Jun Zhang, 2015. "An investigation into multivariate variance ratio statistics and their application to stock market predictability," CeMMAP working papers CWP13/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    9. Paulo M. M. Rodrigues & Antonio Rubia, 2004. "On the Small Sample Properties of Dickey Fuller and Maximum Likelihood Unit Root Tests on Discrete-Sampled Short-Term Interest Rates," Econometrics 0405004, EconWPA.
    10. Marc Hallin & Ramon van den Akker & Bas Werker, 2009. "A class of Simple Semiparametrically Efficient Rank-Based Unit Root Tests," Working Papers ECARES 2009_001, ULB -- Universite Libre de Bruxelles.
    11. Jorge Belaire-Franch & Kwaku Opong, 2013. "A Time Series Analysis of U.K. Construction and Real Estate Indices," The Journal of Real Estate Finance and Economics, Springer, vol. 46(3), pages 516-542, April.
    12. Shyh-wei Chen, 2009. "Random walks in asian foreign exchange markets:evidence from new multiple variance ratio tests," Economics Bulletin, AccessEcon, vol. 29(2), pages 1296-1307.
    13. David McMillan & Pako Thupayagale, 2011. "Measuring volatility persistence and long memory in the presence of structural breaks: Evidence from African stock markets," Managerial Finance, Emerald Group Publishing, vol. 37(3), pages 219-241, February.
    14. Hallin, M. & van den Akker, R. & Werker, B.J.M., 2011. "A Class of Simple Distribution-free Rank-based Unit Root Tests (Revision of DP 2010-72)," Discussion Paper 2011-002, Tilburg University, Center for Economic Research.
    15. 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.
    16. Arjoon, Vaalmikki, 2016. "Microstructures, financial reforms and informational efficiency in an emerging market," Research in International Business and Finance, Elsevier, vol. 36(C), pages 112-126.
    17. Collins G. Ntim & Kwaku K. Opong & Jo Danbolt & Frank Senyo Dewotor, 2011. "Testing the weak-form efficiency in African stock markets," Managerial Finance, Emerald Group Publishing, vol. 37(3), pages 195-218, February.

Articles

  1. Sermin Gungor & Richard Luger, 2016. "Multivariate Tests of Mean-Variance Efficiency and Spanning With a Large Number of Assets and Time-Varying Covariances," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(2), pages 161-175, April. See citations under working paper version above.
  2. Gungor, Sermin & Luger, Richard, 2015. "Bootstrap Tests Of Mean-Variance Efficiency With Multiple Portfolio Groupings," L'Actualité Economique, Société Canadienne de Science Economique, vol. 91(1-2), pages 35-65, Mars-Juin.
    See citations under working paper version above.
  3. Liu, Xiaochun & Luger, Richard, 2015. "Unfolded GARCH models," Journal of Economic Dynamics and Control, Elsevier, vol. 58(C), pages 186-217.

    Cited by:

    1. Liu, Xiaochun, 2017. "Unfolded risk-return trade-offs and links to Macroeconomic Dynamics," Journal of Banking & Finance, Elsevier, vol. 82(C), pages 1-19.
    2. Anatolyev, Stanislav & Gospodinov, Nikolay, 2015. "Multivariate return decomposition: theory and implications," FRB Atlanta Working Paper 2015-7, Federal Reserve Bank of Atlanta.
    3. Liu, Xiaochun, 2017. "An integrated macro-financial risk-based approach to the stressed capital requirement," Review of Financial Economics, Elsevier, vol. 34(C), pages 86-98.
    4. Liu, Xiaochun, 2017. "Can macroeconomic dynamics explain the time variation of risk–return trade-offs in the U.S. financial market?," The Quarterly Review of Economics and Finance, Elsevier, vol. 66(C), pages 275-293.

  4. 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.

    Cited by:

    1. Sermin Gungor & Richard Luger, 2013. "Multivariate Tests of Mean-Variance Efficiency and Spanning with a Large Number of Assets and Time-Varying Covariances," Staff Working Papers 13-16, Bank of Canada.
    2. Jianqing Fan & Yuan Ke & Yuan Liao, 2016. "Robust Factor Models with Explanatory Proxies," Papers 1603.07041, arXiv.org.
    3. Pesaran, M. Hashem & Yamagata, Takashi, 2012. "Testing CAPM with a Large Number of Assets," IZA Discussion Papers 6469, Institute for the Study of Labor (IZA).
    4. Pesaran, M. H. & Yamagata, T., 2012. "Testing CAPM with a Large Number of Assets (Updated 28th March 2012)," Cambridge Working Papers in Economics 1210, Faculty of Economics, University of Cambridge.
    5. Mardy Chiah & Daniel Chai & Angel Zhong & Song Li, 2016. "A Better Model? An Empirical Investigation of the Fama–French Five-factor Model in Australia," International Review of Finance, International Review of Finance Ltd., vol. 16(4), pages 595-638, December.
    6. Sermin Gungor & Richard Luger, 2014. "Bootstrap Tests of Mean-Variance Efficiency with Multiple Portfolio Groupings," Staff Working Papers 14-51, Bank of Canada.
    7. Daniele Bianchi & Massimo Guidolin & Francesco Ravazzolo, 2013. "Macroeconomic factors strike back: A Bayesian change-point model of time-varying risk exposures and premia in the U.S. cross-section," Working Paper 2013/19, Norges Bank.

  5. 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.

    Cited by:

    1. Fernanda Maria Müller & Fábio M Bayer, 2017. "Improved two-component tests in Beta-Skew-t-EGARCH models," Economics Bulletin, AccessEcon, vol. 37(4), pages 2364-2373.
    2. Spierdijk, Laura, 2016. "Confidence intervals for ARMA–GARCH Value-at-Risk: The case of heavy tails and skewness," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 545-559.
    3. Ghoudi, Kilani & Rémillard, Bruno, 2014. "Comparison of specification tests for GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 291-300.
    4. Liu, Xiaochun & Luger, Richard, 2015. "Unfolded GARCH models," Journal of Economic Dynamics and Control, Elsevier, vol. 58(C), pages 186-217.

  6. 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, September. See citations under working paper version above.
  7. Liu, Yan & Luger, Richard, 2009. "Efficient estimation of copula-GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2284-2297, April.

    Cited by:

    1. Bodnar, Taras & Hautsch, Nikolaus, 2016. "Dynamic conditional correlation multiplicative error processes," Journal of Empirical Finance, Elsevier, vol. 36(C), pages 41-67.
    2. Brechmann, Eike C. & Hendrich, Katharina & Czado, Claudia, 2013. "Conditional copula simulation for systemic risk stress testing," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 722-732.
    3. David T. Frazierz & Éric Renault, 2016. "Efficient Two-Step Estimation via Targeting," CIRANO Working Papers 2016s-16, CIRANO.
    4. Weiß, Gregor N.F. & Scheffer, Marcus, 2015. "Mixture pair-copula-constructions," Journal of Banking & Finance, Elsevier, vol. 54(C), pages 175-191.
    5. Alp, Tansel & Demetrescu, Matei, 2010. "Joint forecasts of Dow Jones stocks under general multivariate loss function," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2360-2371, November.
    6. Zhang, Ran & Czado, Claudia & Min, Aleksey, 2011. "Efficient maximum likelihood estimation of copula based meta t-distributions," Computational Statistics & Data Analysis, Elsevier, vol. 55(3), pages 1196-1214, March.
    7. Almeida, Carlos & Czado, Claudia, 2012. "Efficient Bayesian inference for stochastic time-varying copula models," Computational Statistics & Data Analysis, Elsevier, vol. 56(6), pages 1511-1527.
    8. Brechmann, Eike C. & Joe, Harry, 2015. "Truncation of vine copulas using fit indices," Journal of Multivariate Analysis, Elsevier, vol. 138(C), pages 19-33.
    9. Frazier, David T. & Renault, Eric, 2017. "Efficient two-step estimation via targeting," Journal of Econometrics, Elsevier, vol. 201(2), pages 212-227.
    10. Brechmann Eike Christain & Czado Claudia, 2013. "Risk management with high-dimensional vine copulas: An analysis of the Euro Stoxx 50," Statistics & Risk Modeling, De Gruyter, vol. 30(4), pages 307-342, December.
    11. Paolella, Marc S. & Polak, Paweł, 2015. "ALRIGHT: Asymmetric LaRge-scale (I)GARCH with Hetero-Tails," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 282-297.
    12. Bodnar, Taras & Hautsch, Nikolaus, 2013. "Copula-based dynamic conditional correlation multiplicative error processes," CFS Working Paper Series 2013/19, Center for Financial Studies (CFS).
    13. Nikoloulopoulos, Aristidis K. & Joe, Harry & Li, Haijun, 2012. "Vine copulas with asymmetric tail dependence and applications to financial return data," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3659-3673.
    14. Arthur Charpentier, 2015. "Prévision avec des copules en finance," Working Papers hal-01151233, HAL.
    15. Gregor Weiß, 2013. "Copula-GARCH versus dynamic conditional correlation: an empirical study on VaR and ES forecasting accuracy," Review of Quantitative Finance and Accounting, Springer, vol. 41(2), pages 179-202, August.
    16. Silva Filho, Osvaldo Candido da & Ziegelmann, Flavio Augusto & Dueker, Michael J., 2012. "Modeling dependence dynamics through copulas with regime switching," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 346-356.
    17. Spanhel, Fabian & Kurz, Malte S., 2016. "The partial copula: Properties and associated dependence measures," Statistics & Probability Letters, Elsevier, vol. 119(C), pages 76-83.
    18. Ausin, M. Concepcion & Lopes, Hedibert F., 2010. "Time-varying joint distribution through copulas," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2383-2399, November.

  8. 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.

    Cited by:

    1. Sermin Gungor & Richard Luger, 2013. "Multivariate Tests of Mean-Variance Efficiency and Spanning with a Large Number of Assets and Time-Varying Covariances," Staff Working Papers 13-16, Bank of Canada.
    2. Beaulieu, Marie-Claude & Dufour, Jean-Marie & Khalaf, Lynda, 2010. "Asset-pricing anomalies and spanning: Multivariate and multifactor tests with heavy-tailed distributions," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 763-782, September.
    3. Dufour, Jean-Marie & Khalaf, Lynda & Kichian, Maral, 2013. "Identification-robust analysis of DSGE and structural macroeconomic models," Journal of Monetary Economics, Elsevier, vol. 60(3), pages 340-350.
    4. Pesaran, M. Hashem & Yamagata, Takashi, 2012. "Testing CAPM with a Large Number of Assets," IZA Discussion Papers 6469, Institute for the Study of Labor (IZA).
    5. Pesaran, M. H. & Yamagata, T., 2012. "Testing CAPM with a Large Number of Assets (Updated 28th March 2012)," Cambridge Working Papers in Economics 1210, Faculty of Economics, University of Cambridge.

  9. 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.
    See citations under working paper version above.
  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.
    See citations under working paper version above.
  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.

    Cited by:

    1. Beare, Brendan K., 2011. "Measure preserving derivatives and the pricing kernel puzzle," Journal of Mathematical Economics, Elsevier, vol. 47(6), pages 689-697.

  12. 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. See citations under working paper version above.
  13. 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.
    See citations under working paper version above.
  14. Luger, Richard, 2001. "A modified CUSUM test for orthogonal structural changes," Economics Letters, Elsevier, vol. 73(3), pages 301-306, December.

    Cited by:

    1. Makram El-Shagi & Sebastian Giesen, 2013. "Testing for Structural Breaks at Unknown Time: A Steeplechase," Computational Economics, Springer;Society for Computational Economics, vol. 41(1), pages 101-123, January.
    2. JIANG, Peiyun & KUROZUMI, Eiji, 2017. "Power Properties of the Modified CUSUM Tests," Discussion Papers 2017-05, Graduate School of Economics, Hitotsubashi University.
    3. Godolphin, J.D., 2009. "New formulations for recursive residuals as a diagnostic tool in the fixed-effects linear model with design matrices of arbitrary rank," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2119-2128, April.

More information

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Statistics

Access and download statistics for all items

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 16 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (8) 2001-02-14 2001-07-17 2004-01-25 2004-12-02 2011-01-03 2013-06-16 2015-01-03 2017-01-15. Author is listed
  2. NEP-ETS: Econometric Time Series (5) 2001-07-17 2004-01-18 2017-01-15 2017-01-22 2017-01-29. Author is listed
  3. NEP-MAC: Macroeconomics (4) 2002-01-05 2004-10-30 2005-12-01 2009-05-30
  4. NEP-MON: Monetary Economics (3) 2004-10-30 2005-12-01 2009-05-30
  5. NEP-ORE: Operations Research (3) 2017-01-15 2017-01-22 2017-01-29
  6. NEP-FIN: Finance (2) 2001-02-14 2004-12-02
  7. NEP-RMG: Risk Management (2) 2004-01-18 2011-11-14
  8. NEP-BAN: Banking (1) 2011-01-03
  9. NEP-CBA: Central Banking (1) 2009-05-30
  10. NEP-CMP: Computational Economics (1) 2004-01-18
  11. NEP-FMK: Financial Markets (1) 2001-02-14
  12. NEP-IFN: International Finance (1) 2001-07-17
  13. NEP-UPT: Utility Models & Prospect Theory (1) 2009-05-30

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