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René Garcia
(Rene Garcia)

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.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Garcia, Rene, 1998. "Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(3), pages 763-788, August.

    Mentioned in:

    1. Randomization Tests for Regime Switching
      by Francis Diebold in No Hesitations on 2017-01-30 19:34:00

Wikipedia or ReplicationWiki mentions

(Only mentions on Wikipedia that link back to a page on a RePEc service)
  1. 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.

    Mentioned in:

    1. Risk aversion, intertemporal substitution, and the term structure of interest rates (Journal of Applied Econometrics 2012) in ReplicationWiki ()
  2. Bonomo, Marco & Garcia, Rene, 1994. "Can a Well-Fitted Equilibrium Asset-Pricing Model Produce Mean Reversion?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 9(1), pages 19-29, Jan.-Marc.

    Mentioned in:

    1. Can a well-fitted equilibrium asset-pricing model produce mean reversion? (Journal of Applied Econometrics 1994) in ReplicationWiki ()

Working papers

  1. Caio Almeida & Kim Ardison & René Garcia, 2020. "Nonparametric Assessment of Hedge Fund Performance," Post-Print hal-02550789, HAL.

    Cited by:

    1. Milad Nozari, 2021. "Information content of the risk-free rate for the pricing kernel bound," Journal of Asset Management, Palgrave Macmillan, vol. 22(4), pages 267-276, July.
    2. Jin Yuan & Xianghui Yuan, 2023. "A Comprehensive Method for Ranking Mutual Fund Performance," SAGE Open, , vol. 13(2), pages 21582440231, May.
    3. Fletcher, Jonathan, 2021. "Evaluating the performance of U.S. international equity closed-end funds," Journal of Multinational Financial Management, Elsevier, vol. 60(C).

  2. Carlos Heitor Campania & René Garcia, 2019. "Approximate analytical solutions for consumption/investment problems under recursive utility and finite horizon," Post-Print hal-02894663, HAL.

    Cited by:

    1. Goncalo dos Reis & Vadim Platonov, 2020. "Forward utility and market adjustments in relative investment-consumption games of many players," Papers 2012.01235, arXiv.org, revised Mar 2022.
    2. Kraft, Holger & Munk, Claus & Weiss, Farina, 2022. "Bequest motives in consumption-portfolio decisions with recursive utility," Journal of Banking & Finance, Elsevier, vol. 138(C).
    3. Marcelo Lewin & Carlos Heitor Campani, 2023. "Constrained portfolio strategies in a regime-switching economy," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 37(1), pages 27-59, March.
    4. Marine Carrasco & N'Golo Koné, 2023. "Test for Trading Costs Effect in a Portfolio Selection Problem with Recursive Utility," CIRANO Working Papers 2023s-03, CIRANO.

  3. René Garcia & Caio Almeida & Kym Ardison & Jose Vicente, 2016. "Nonparametric Tail Risk, Stock Returns and the Macroeconomy," CIRANO Working Papers 2016s-20, CIRANO.

    Cited by:

    1. Freire, Gustavo, 2021. "Tail risk and investors’ concerns: Evidence from Brazil," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    2. Baruník, Jozef & Bevilacqua, Mattia & Tunaru, Radu, 2022. "Asymmetric network connectedness of fears," LSE Research Online Documents on Economics 108199, London School of Economics and Political Science, LSE Library.
    3. Afees A. Salisu & Christian Pierdzioch & Rangan Gupta & Renee van Eyden, 2021. "Climate Risks and U.S. Stock-Market Tail Risks: A Forecasting Experiment Using over a Century of Data," Working Papers 202165, University of Pretoria, Department of Economics.
    4. Fatemeh Mojtahedi & Seyed Mojtaba Mojaverian & Daniel Felix Ahelegbey & Paolo Giudici, 2020. "Tail Risk Transmission: A Study of Iran Food Industry," DEM Working Papers Series 189, University of Pavia, Department of Economics and Management.
    5. Leal, Laura Simonsen & Almeida, Caio, 2017. "An SDF Approach to Hedge Funds' Tail Risk:Evidence from Brazilian Funds," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 37(1), May.
    6. Ahelegbey, Daniel Felix & Giudici, Paolo & Mojtahedi, Fatemeh, 2021. "Tail risk measurement in crypto-asset markets," International Review of Financial Analysis, Elsevier, vol. 73(C).
    7. Prodosh Simlai, 2021. "Accrual mispricing, value-at-risk, and expected stock returns," Review of Quantitative Finance and Accounting, Springer, vol. 57(4), pages 1487-1517, November.
    8. Daniel Felix Ahelegbey, 2022. "Statistical Modelling of Downside Risk Spillovers," FinTech, MDPI, vol. 1(2), pages 1-10, April.
    9. Qian, Lihua & Zeng, Qing & Lu, Xinjie & Ma, Feng, 2022. "Global tail risk and oil return predictability," Finance Research Letters, Elsevier, vol. 47(PB).
    10. Salisu, Afees A. & Pierdzioch, Christian & Gupta, Rangan & Gabauer, David, 2022. "Forecasting stock-market tail risk and connectedness in advanced economies over a century: The role of gold-to-silver and gold-to-platinum price ratios," International Review of Financial Analysis, Elsevier, vol. 83(C).
    11. Gupta, Rangan & Sheng, Xin & Pierdzioch, Christian & Ji, Qiang, 2021. "Disaggregated oil shocks and stock-market tail risks: Evidence from a panel of 48 economics," Research in International Business and Finance, Elsevier, vol. 58(C).
    12. Todorov, Viktor, 2022. "Nonparametric jump variation measures from options," Journal of Econometrics, Elsevier, vol. 230(2), pages 255-280.
    13. Almeida, Caio & Ardison, Kym & Garcia, René, 2020. "Nonparametric assessment of hedge fund performance," Journal of Econometrics, Elsevier, vol. 214(2), pages 349-378.
    14. Scaillet, Olivier & Trojani, Fabio & Camponovo, Lorenzo, 2016. "Comments on : Nonparametric Tail Risk, Stock Returns and the Macroeconomy," Working Papers unige:84999, University of Geneva, Geneva School of Economics and Management.
    15. Cao, Ji & Rieger, Marc Oliver & Zhao, Lei, 2023. "Safety first, loss probability, and the cross section of expected stock returns," Journal of Economic Behavior & Organization, Elsevier, vol. 211(C), pages 345-369.
    16. K. Victor Chow & Wanjun Jiang & Bingxin Li & Jingrui Li, 2020. "Decomposing the VIX: Implications for the predictability of stock returns," The Financial Review, Eastern Finance Association, vol. 55(4), pages 645-668, November.
    17. Bevilacqua, Mattia & Tunaru, Radu, 2021. "The SKEW index: Extracting what has been left," Journal of Financial Stability, Elsevier, vol. 53(C).
    18. Mora-Valencia, Andrés & Rodríguez-Raga, Santiago & Vanegas, Esteban, 2021. "Skew index: Descriptive analysis, predictive power, and short-term forecast," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
    19. Bevilacqua, Mattia & Tunaru, Radu, 2021. "The SKEW index: extracting what has been left," LSE Research Online Documents on Economics 108198, London School of Economics and Political Science, LSE Library.
    20. Post, Thierry & Karabatı, Selçuk & Arvanitis, Stelios, 2018. "Portfolio optimization based on stochastic dominance and empirical likelihood," Journal of Econometrics, Elsevier, vol. 206(1), pages 167-186.
    21. Schneider, Paul, 2019. "An anatomy of the market return," Journal of Financial Economics, Elsevier, vol. 132(2), pages 325-350.

  4. Jean-Sébastien Fontaine & René Garcia & Sermin Gungor, 2015. "Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns," Staff Working Papers 15-12, Bank of Canada.

    Cited by:

    1. Yuriy Kitsul & Marcelo Ochoa, 2016. "Funding Liquidity Risk and the Cross-section of MBS Returns," Finance and Economics Discussion Series 2016-052, Board of Governors of the Federal Reserve System (U.S.).
    2. Moinas, Sophie & Nguyen, Minh & Valente, Giorgio, 2017. "Funding Constraints and Market Illiquidity in the European Treasury Bond Market," TSE Working Papers 17-814, Toulouse School of Economics (TSE).
    3. Bank for International Settlements, 2016. "Regulatory change and monetary policy," CGFS Papers, Bank for International Settlements, number 55, december.
    4. Victoria Dobrynskaya, 2015. "Upside and Downside Risks in Momentum Returns," HSE Working papers WP BRP 50/FE/2015, National Research University Higher School of Economics.
    5. Frömmel, Michael & Han, Xing & Li, Youwei & Vigne, Samuel A., 2022. "Low liquidity beta anomaly in China," Emerging Markets Review, Elsevier, vol. 50(C).
    6. Godfrey Marozva & Margaret Rutendo Magwedere, 2021. "Nexus Between Stock Returns, Funding Liquidity and COVID-19," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 71(3-4), pages 86-100, July-Dece.
    7. Ajay Kumar Mishra & Bhavik Parikh & Ronald W. Spahr, 2021. "Contemporaneous linkages: Funding liquidity and stock market spirals," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5912-5929, October.

  5. Vivian Malta & Rene Garcia & Carlos Carvalho & Marco Bonomo, 2015. "Persistent Monetary Non-neutrality in an Estimated Model with Menu Costs and Partially Costly Information," 2015 Meeting Papers 1339, Society for Economic Dynamics.

    Cited by:

    1. Sara Fisher Ellison & Christopher Snyder & Hongkai Zhang, 2018. "Costs of Managerial Attention and Activity as a Source of Sticky Prices: Structural Estimates from an Online Market," NBER Working Papers 24680, National Bureau of Economic Research, Inc.

  6. René Garcia & Daniel Mantilla-Garcia & Lionel Martellini, 2013. "A Model-Free Measure of Aggregate Idiosyncratic Volatility and the Prediction of Market Returns," CIRANO Working Papers 2013s-01, CIRANO.

    Cited by:

    1. Yuming Li & Jing Yang, 2018. "House Price Dynamics and Excess Risk," International Real Estate Review, Global Social Science Institute, vol. 21(2), pages 251-274.
    2. Esther Eiling & Raymond Kan & Ali Sharifkhani, 2018. "Sectoral Labor Reallocation and Return Predictability," Working Papers 2018-006, Human Capital and Economic Opportunity Working Group.
    3. Maio, Paulo, 2016. "Cross-sectional return dispersion and the equity premium," Journal of Financial Markets, Elsevier, vol. 29(C), pages 87-109.
    4. Dai, Yingtong & Harris, Richard D.F., 2023. "Average tail risk and aggregate stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 82(C).
    5. Hadhri, Sinda & Ftiti, Zied, 2019. "Asset allocation and investment opportunities in emerging stock markets: Evidence from return asymmetry-based analysis," Journal of International Money and Finance, Elsevier, vol. 93(C), pages 187-200.
    6. Stelios Bekiros & Syed Jawad Hussain Shahzad & Jose Arreola-Hernandez & Mobeen Ur Rehman, 2018. "Directional predictability and time-varying spillovers between stock markets and economic cycles," Post-Print hal-01996787, HAL.
    7. Futeri Jazeilya Md Fadzil & John G. O’Hara & Wing Lon Ng, 2017. "Cross-sectional volatility index as a proxy for the VIX in an Asian market," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1364011-136, January.
    8. Matousek, Roman & Panopoulou, Ekaterini & Papachristopoulou, Andromachi, 2020. "Policy uncertainty and the capital shortfall of global financial firms," Journal of Corporate Finance, Elsevier, vol. 62(C).
    9. Pae, Yuntaek & Bae, Sung C. & Lee, Namhoon, 2018. "Idiosyncratic volatility and cash flow volatility: New evidence from S&P 500," International Review of Financial Analysis, Elsevier, vol. 56(C), pages 127-135.
    10. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, June.
    11. Riza Demirer & Rangan Gupta & Zhihui Lv & Wing-Keung Wong, 2018. "Equity Return Dispersion and Stock Market Volatility: Evidence from Multivariate Linear and Nonlinear Causality Tests," Working Papers 201846, University of Pretoria, Department of Economics.
    12. Kolari, James W. & Huang, Jianhua Z. & Butt, Hilal Anwar & Liao, Huiling, 2022. "International tests of the ZCAPM asset pricing model," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
    13. Jondeau, Eric & Zhang, Qunzi & Zhu, Xiaoneng, 2019. "Average skewness matters," Journal of Financial Economics, Elsevier, vol. 134(1), pages 29-47.
    14. Eric Jondeau & Xuewu Wang & Zhipeng Yan & Qunzi Zhang, 2020. "Skewness and index futures return," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(11), pages 1648-1664, November.
    15. Chung, Kee H. & Wang, Junbo & Wu, Chunchi, 2019. "Volatility and the cross-section of corporate bond returns," Journal of Financial Economics, Elsevier, vol. 133(2), pages 397-417.
    16. Mohammad Alomari & David. M. Power & Nongnuch Tantisantiwong, 2018. "Determinants of equity return correlations: a case study of the Amman Stock Exchange," Review of Quantitative Finance and Accounting, Springer, vol. 50(1), pages 33-66, January.
    17. Fabio Pizzutilo, 2017. "Measuring the under-diversification of socially responsible investments," Applied Economics Letters, Taylor & Francis Journals, vol. 24(14), pages 1005-1018, August.
    18. Cheng, Mengyao, 2022. "Legislative gridlock and stock return dispersion around roll-call votes," Journal of Banking & Finance, Elsevier, vol. 138(C).
    19. Konstantinos Vergos & Benjamin Wanger, 2019. "Evaluating interdependencies in African markets A VECM approach," Bulletin of Applied Economics, Risk Market Journals, vol. 6(1), pages 65-85.
    20. Angelidis, Timotheos & Sakkas, Athanasios & Tessaromatis, Nikolaos, 2015. "Stock market dispersion, the business cycle and expected factor returns," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 265-279.
    21. Miffre, Joëlle & Brooks, Chris & Li, Xiafei, 2013. "Idiosyncratic volatility and the pricing of poorly-diversified portfolios," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 78-85.
    22. Ilan Cooper & Liang Ma & Paulo Maio, 2022. "What Does the Cross‐Section Tell About Itself? Explaining Equity Risk Premia with Stock Return Moments," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(1), pages 73-118, February.
    23. Aytaç, Beysül & Coqueret, Guillaume & Mandou, Cyrille, 2018. "Herding behavior among wine investors," Economic Modelling, Elsevier, vol. 68(C), pages 318-328.
    24. Parsley, David & Popper, Helen, 2020. "Return comovement," Journal of Banking & Finance, Elsevier, vol. 112(C).
    25. Eriksen, Jonas N., 2019. "Cross-sectional return dispersion and currency momentum," Journal of Empirical Finance, Elsevier, vol. 53(C), pages 91-108.
    26. Mantilla-Garcia, Daniel & Malagon, Juliana & Aldana-Galindo, Julian R., 2022. "Can the portfolio excess growth rate explain the predictive power of idiosyncratic volatility?," Finance Research Letters, Elsevier, vol. 47(PA).

  7. Rene Garcia & Carlos Carvalho & Marco Bonomo, 2013. "Time- and State-Dependent Pricing: A Unified Framework," 2013 Meeting Papers 759, Society for Economic Dynamics.

    Cited by:

    1. Guido Ascari & Timo Haber, 2019. "Sticky prices and the transmission mechanism of monetary policy: A minimal test of New Keynesian models," Economics Series Working Papers 869, University of Oxford, Department of Economics.

  8. Marcel Boyer & M. Martin Boyer & René Garcia, 2011. "Alleviating Coordination Problems and Regulatory Constraints through Financial Risk Management," CIRANO Working Papers 2011s-48, CIRANO.

    Cited by:

    1. Dirk Höring & Helmut Gründl & Sebastian Schlütter, 2016. "Impediments to Communication in Financial Institutions: Implications for the Risk Management Organization," The Geneva Papers on Risk and Insurance Theory, Springer;International Association for the Study of Insurance Economics (The Geneva Association), vol. 41(2), pages 193-224, September.
    2. Dirk Höring & Helmut Gründl & Sebastian Schlütter, 2016. "Impediments to Communication in Financial Institutions: Implications for the Risk Management Organization," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 41(2), pages 193-224, September.

  9. Jean-Marie Dufour & René Garcia & Abderrahim Taamouti, 2011. "Measuring High-Frequency Causality Between Returns, Realized Volatility and Implied Volatility," CIRANO Working Papers 2011s-27, CIRANO.

    Cited by:

    1. Aboura, Sofiane & Chevallier, Julien, 2018. "Tail risk and the return-volatility relation," Research in International Business and Finance, Elsevier, vol. 46(C), pages 16-29.
    2. Campos, I. & Cortazar, G. & Reyes, T., 2017. "Modeling and predicting oil VIX: Internet search volume versus traditional mariables," Energy Economics, Elsevier, vol. 66(C), pages 194-204.
    3. French, Jordan, 2017. "Asset pricing with investor sentiment: On the use of investor group behavior to forecast ASEAN markets," Research in International Business and Finance, Elsevier, vol. 42(C), pages 124-148.
    4. Gurleen Sahota & Balwinder Singh, 2016. "The Empirical Investigation of Causal Relationship between Intraday Return and Volume in Indian Stock Market," Vision, , vol. 20(3), pages 199-210, September.

  10. Rene Garcia & Eric Renault & David Veredas, 2011. "Estimation of stable distributions with indirect inference," ULB Institutional Repository 2013/136186, ULB -- Universite Libre de Bruxelles.

    Cited by:

    1. Marco Bee, 2018. "Estimating the wrapped stable distribution via indirect inference," DEM Working Papers 2018/11, Department of Economics and Management.
    2. Mike G. Tsionas & Nicholas Apergis, 2023. "Another look at contagion across United States and European financial markets: Evidence from the credit default swaps markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 1137-1155, January.
    3. Marco Bee & Julien Hambuckers & Luca Trapin, 2018. "Estimating Value-at-Risk for the g-and-h distribution: an indirect inference approach," DEM Working Papers 2018/08, Department of Economics and Management.
    4. Calzolari, Giorgio & Halbleib, Roxana & Parrini, Alessandro, 2014. "Estimating GARCH-type models with symmetric stable innovations: Indirect inference versus maximum likelihood," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 158-171.
    5. Calzolari, Giorgio & Halbleib, Roxana, 2018. "Estimating stable latent factor models by indirect inference," Journal of Econometrics, Elsevier, vol. 205(1), pages 280-301.
    6. Stelios Arvanitis, 2013. "On the Existence of Strongly Consistent Indirect Estimators When the Binding Function Is Compact Valued," Journal of Mathematics, Hindawi, vol. 2013, pages 1-14, November.
    7. Marco Bee, 2022. "The truncated g-and-h distribution: estimation and application to loss modeling," Computational Statistics, Springer, vol. 37(4), pages 1771-1794, September.
    8. Matteo Barigozzi & Roxana Halbleib & David Veredas, 2012. "Which model to match?," Working Papers 1229, Banco de España.
    9. Alperovych, Yan & Cumming, Douglas & Czellar, Veronika & Groh, Alexander, 2021. "M&A rumors about unlisted firms," Journal of Financial Economics, Elsevier, vol. 142(3), pages 1324-1339.

  11. Marco Bonomo & Carlos Carvalho & Rene Garcia, 2010. "State-dependent pricing under infrequent information: a unified framework," Staff Reports 455, Federal Reserve Bank of New York.

    Cited by:

    1. Etienne Gagnon & David López-Salido & Nicolas Vincent, 2012. "Individual Price Adjustment along the Extensive Margin," NBER Chapters, in: NBER Macroeconomics Annual 2012, Volume 27, pages 235-281, National Bureau of Economic Research, Inc.
    2. Nilsen, Øivind A. & Pettersen, Per Marius & Bratlie, Joakim, 2018. "Time-Dependency in Producers’ Price Adjustments: Evidence from Micro Panel Data," Discussion Paper Series in Economics 12/2018, Norwegian School of Economics, Department of Economics.
    3. Alberto Cavallo & Roberto Rigobon, 2011. "The Distribution of the Size of Price Changes," NBER Working Papers 16760, National Bureau of Economic Research, Inc.
    4. Demery, David, 2012. "State-dependent pricing and the non-neutrality of money," Journal of Macroeconomics, Elsevier, vol. 34(4), pages 933-944.
    5. Fernando Alvarez & Francesco Lippi & Luigi Paciello, 2013. "Monetary Shocks with Observation and menu Costs," EIEF Working Papers Series 1310, Einaudi Institute for Economics and Finance (EIEF), revised May 2013.
    6. Carlos Carvalho & Fernanda Nechio, 2008. "Aggregation and the PPP puzzle in a sticky-price model," Staff Reports 351, Federal Reserve Bank of New York.
    7. Marco Bonomo & Arnildo da Silva Correa & Marcelo Cunha Medeiros, 2013. "Estimating Strategic Complementarity in a State-Dependent Pricing Model," Working Papers Series 341, Central Bank of Brazil, Research Department.
    8. Fernando Alvarez & Francesco Lippi & Luigi Paciello, 2014. "Monetary Shocks in Models with Inattentive Producers," NBER Working Papers 20817, National Bureau of Economic Research, Inc.
    9. F. Alvarez & F. Lippi & L. Paciello, 2010. "Optimal price setting with observation and menu costs," 2010 Meeting Papers 478, Society for Economic Dynamics.
    10. Schenkelberg, Heike, 2011. "Why are Prices Sticky? Evidence from Business Survey Data," Discussion Papers in Economics 12158, University of Munich, Department of Economics.
    11. Chauveau, Th. & Subbotin, A., 2013. "Price dynamics in a market with heterogeneous investment horizons and boundedly rational traders," Journal of Economic Dynamics and Control, Elsevier, vol. 37(5), pages 1040-1065.

  12. Bonomo, Marco & Garcia, René & Meddahi, Nour & Tédongap, Roméo, 2010. "Generalized Disappointment Aversion, Long Run Volatility Risk and Asset Prices," IDEI Working Papers 636, Institut d'Économie Industrielle (IDEI), Toulouse.

    Cited by:

    1. Marianne Andries & Valentin Haddad, 2017. "Information Aversion," NBER Working Papers 23958, National Bureau of Economic Research, Inc.
    2. Andrew Ang & Allan Timmermann, 2011. "Regime Changes and Financial Markets," NBER Working Papers 17182, National Bureau of Economic Research, Inc.
    3. Carlos Heitor Campania & René Garcia, 2019. "Approximate analytical solutions for consumption/investment problems under recursive utility and finite horizon," Post-Print hal-02894663, HAL.
    4. Larry Epstein & Emmanuel Farhi & Tomasz Stralezcki, 2013. "How Much Would You Pay to Resolve Long-Run Risk?," Working Paper 106061, Harvard University OpenScholar.
    5. Zongxia Liang & Sheng Wang & Jianming Xia & Fengyi Yuan, 2024. "Dynamic portfolio selection under generalized disappointment aversion," Papers 2401.08323, arXiv.org, revised Mar 2024.
    6. Farago, Adam & Tédongap, Roméo, 2018. "Downside risks and the cross-section of asset returns," Journal of Financial Economics, Elsevier, vol. 129(1), pages 69-86.
    7. Cheng, Ai-Ru & Jahan-Parvar, Mohammad R., 2014. "Risk–return trade-off in the pacific basin equity markets," Emerging Markets Review, Elsevier, vol. 18(C), pages 123-140.
    8. Stanislav Khrapov, 2012. "Risk Premia: Short and Long-term," Working Papers w0169, Center for Economic and Financial Research (CEFIR).
    9. Ina Simonovska & Espen Henriksen, 2013. "Time-Varying Risk Premia and Capital Flows to Developing Countries," 2013 Meeting Papers 1258, Society for Economic Dynamics.
    10. Julian Thimme & Clemens Völkert, 2015. "High order smooth ambiguity preferences and asset prices," Review of Financial Economics, John Wiley & Sons, vol. 27(1), pages 1-15, November.
    11. Liu, Hening & Miao, Jianjun, 2015. "Growth uncertainty, generalized disappointment aversion and production-based asset pricing," Journal of Monetary Economics, Elsevier, vol. 69(C), pages 70-89.
    12. Josie I Chen & Kenju Kamei, 2017. "Disapproval Aversion or Inflated Inequity Acceptance? The Impact of Expressing Emotions in Ultimatum Bargaining," Working Papers 2017_10, Durham University Business School.
    13. Caio Almeida & René Garcia, 2017. "Economic Implications of Nonlinear Pricing Kernels," Management Science, INFORMS, vol. 63(10), pages 3361-3380, October.
    14. Poitras, Geoffrey & Heaney, John, 2015. "Classical Ergodicity and Modern Portfolio Theory," MPRA Paper 113952, University Library of Munich, Germany.
    15. Thimme, Julian & Völkert, Clemens, 2015. "High order smooth ambiguity preferences and asset prices," Review of Financial Economics, Elsevier, vol. 27(C), pages 1-15.
    16. Sitthiyot, Thitithep, 2015. "Macroeconomic and Financial Management in an Uncertain World: What Can We Learn from Complexity Science?," MPRA Paper 73753, University Library of Munich, Germany, revised 11 Dec 2015.
    17. Luca De Gennaro Aquino & Xuedong He & Moris Simon Strub & Yuting Yang, 2024. "Reference-dependent asset pricing with a stochastic consumption-dividend ratio," Papers 2401.12856, arXiv.org.
    18. Jianjian Jin, 2013. "Jump-Diffusion Long-Run Risks Models, Variance Risk Premium and Volatility Dynamics," Staff Working Papers 13-12, Bank of Canada.
    19. Monfort, A. & Pegoraro, F., 2012. "Asset Pricing with Second-Order Esscher Transforms," Working papers 397, Banque de France.
    20. Bouaddi, Mohammed & Larocque, Denis & Normandin, Michel, 2015. "Equity premia and state-dependent risks," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 393-409.
    21. Bonomo, Marco & Garcia, René & Meddahi, Nour & Tédongap, Roméo, 2015. "The long and the short of the risk-return trade-off," Journal of Econometrics, Elsevier, vol. 187(2), pages 580-592.
    22. Jahan-Parvar, Mohammad R. & Mohammadi, Hassan, 2013. "Risk and return in the Tehran stock exchange," The Quarterly Review of Economics and Finance, Elsevier, vol. 53(3), pages 238-256.
    23. Li, Kaifeng & Xia, Bobo & Guo, Zhaoxuan, 2021. "A consumption-based asset pricing model with disappointment aversion and uncertainty shocks," Economic Modelling, Elsevier, vol. 94(C), pages 235-243.
    24. Julian Thimme, 2017. "Intertemporal Substitution In Consumption: A Literature Review," Journal of Economic Surveys, Wiley Blackwell, vol. 31(1), pages 226-257, February.
    25. Pagel, Michaela, 2012. "Expectations-Based Reference-Dependent Preferences and Asset Pricing," MPRA Paper 47933, University Library of Munich, Germany.
    26. Kontosakos, Vasileios E. & Hwang, Soosung & Kallinterakis, Vasileios & Pantelous, Athanasios A., 2024. "Long-term dynamic asset allocation under asymmetric risk preferences," European Journal of Operational Research, Elsevier, vol. 312(2), pages 765-782.
    27. Emi Nakamura & Dmitriy Sergeyev & Jón Steinsson, 2012. "Growth-Rate and Uncertainty Shocks in Consumption: Cross-Country Evidence," NBER Working Papers 18128, National Bureau of Economic Research, Inc.
    28. Marianne Andries, 2012. "Consumption-based Asset Pricing Loss Aversion," 2012 Meeting Papers 571, Society for Economic Dynamics.
    29. Patrick Augustin & Roméo Tédongap, 2021. "Disappointment Aversion, Term Structure, and Predictability Puzzles in Bond Markets," Management Science, INFORMS, vol. 67(10), pages 6266-6293, October.
    30. Michael Nwogugu, 2020. "Regret Theory And Asset Pricing Anomalies In Incomplete Markets With Dynamic Un-Aggregated Preferences," Papers 2005.01709, arXiv.org.
    31. David le Bris & William N. Goetzmann & Sébastien Pouget, 2014. "Testing Asset Pricing Theory on Six Hundred Years of Stock Returns: Prices and Dividends for the Bazacle Company from 1372 to 1946," NBER Working Papers 20199, National Bureau of Economic Research, Inc.
    32. Jianjian Jin, 2015. "Jump-Diffusion Long-Run Risks Models, Variance Risk Premium, and Volatility Dynamics," Review of Finance, European Finance Association, vol. 19(3), pages 1223-1279.
    33. Berrada, Tony & Detemple, Jérôme & Rindisbacher, Marcel, 2018. "Asset pricing with beliefs-dependent risk aversion and learning," Journal of Financial Economics, Elsevier, vol. 128(3), pages 504-534.
    34. Dahlquist, Magnus & Tédongap, Roméo & Farago, Adam, 2015. "Asymmetries and Portfolio Choice," CEPR Discussion Papers 10706, C.E.P.R. Discussion Papers.

  13. Jean-Sébastien Fontaine & René Garcia, 2009. "Bond Liquidity Premia," Staff Working Papers 09-28, Bank of Canada.

    Cited by:

    1. Stefania D'Amico & Roger Fan & Yuriy Kitsul, 2013. "The Scarcity Value of Treasury Collateral: Repo Market Effects of Security-Specific Supply and Demand Factors," Working Paper Series WP-2013-22, Federal Reserve Bank of Chicago.
    2. Caldeira, João F. & Moura, Guilherme V. & Santos, André A.P., 2016. "Bond portfolio optimization using dynamic factor models," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 128-158.
    3. Alain Monfort & Jean-Paul Renne, 2010. "Default, Liquidity and Crises : An Econometric Framework," Working Papers 2010-46, Center for Research in Economics and Statistics.
    4. Chiu, Junmao & Lien, Donald & Tsai, Wei-Che, 2023. "Global financial crisis, funding constraints, and liquidity of VIX futures," Pacific-Basin Finance Journal, Elsevier, vol. 80(C).
    5. Goliński, Adam, 2021. "Monetary policy at the zero lower bound: Information in the Federal Reserve’s balance sheet," European Economic Review, Elsevier, vol. 131(C).
    6. Anna Cieslak & Pavol Povala, 2016. "Information in the Term Structure of Yield Curve Volatility," Journal of Finance, American Finance Association, vol. 71(3), pages 1393-1436, June.
    7. Schuster, Philipp & Trapp, Monika & Uhrig-Homburg, Marliese, 2013. "A heterogeneous agents equilibrium model for the term structure of bond market liquidity," CFR Working Papers 13-05 [rev.], University of Cologne, Centre for Financial Research (CFR).
    8. Benedikt Ballensiefen & Angelo Ranaldo, 2019. "Safe Asset Carry Trade," Working Papers on Finance 1909, University of St. Gallen, School of Finance, revised Oct 2019.
    9. Yuriy Kitsul & Marcelo Ochoa, 2016. "Funding Liquidity Risk and the Cross-section of MBS Returns," Finance and Economics Discussion Series 2016-052, Board of Governors of the Federal Reserve System (U.S.).
    10. Pieterse-Bloem, M., 2011. "The effect of Emu on bond market integration and investor portfolio allocations," Other publications TiSEM 3c6ce80d-9260-424a-b889-b, Tilburg University, School of Economics and Management.
    11. José Valentim Machado Vicente & Flávia Mourão Graminho, 2014. "Decompondo a Inflação Implícita," Working Papers Series 359, Central Bank of Brazil, Research Department.
    12. Doojin Ryu & Jinyoung Yu, 2022. "Sentiment‐dependent impact of funding liquidity shocks on futures market liquidity," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(1), pages 61-76, January.
    13. Gurdip Bakshi & Xiaohui Gao & Alberto G. Rossi, 2019. "Understanding the Sources of Risk Underlying the Cross Section of Commodity Returns," Management Science, INFORMS, vol. 65(2), pages 619-641, February.
    14. Joseph P. Byrne & Shuo Cao. & Dimitris Korobilis., 2015. "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," Working Papers 2015_08, Business School - Economics, University of Glasgow.
    15. Martin M. Andreasen & Jens H.E. Christensen & Glenn D. Rudebusch, 2017. "Term Structure Analysis with Big Data," CREATES Research Papers 2017-31, Department of Economics and Business Economics, Aarhus University.
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    17. Gromb, Denis & Vayanos, Dimitri, 2018. "The dynamics of financially constrained arbitrage," LSE Research Online Documents on Economics 84081, London School of Economics and Political Science, LSE Library.
    18. Ryu, Doojin & Webb, Robert I. & Yu, Jinyoung, 2022. "Funding liquidity shocks and market liquidity providers," Finance Research Letters, Elsevier, vol. 47(PB).
    19. Antonio Díaz & Francisco Jareño & Eliseo Navarro, 2022. "Yield curve data choice and potential moral hazard: An empirical exercise on pricing callable bonds," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 2124-2145, April.
    20. Avouyi-Dovi, S. & Idier, J., 2011. "The impact of unconventional monetary policy on the market for collateral: The case of the French bond market," Working papers 339, Banque de France.
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    22. Paul Hubert & Becky Maule, 2016. "Policy and Macro Signals as Inputs to Inflation Expectation Formation," Sciences Po publications 2016-02, Sciences Po.
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    24. Rosen Valchev, 2015. "Exchange Rates and UIP Violations at Short and Long Horizons," 2015 Meeting Papers 1446, Society for Economic Dynamics.
    25. Lieven Baele & Geert Bekaert & Koen Inghelbrecht & Min Wei, 2020. "Flights to Safety," The Review of Financial Studies, Society for Financial Studies, vol. 33(2), pages 689-746.
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    41. Viral V. Acharya & Yakov Amihud & Sreedhar T. Bharath, 2010. "Liquidity Risk of Corporate Bond Returns: A Conditional Approach," NBER Working Papers 16394, National Bureau of Economic Research, Inc.
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    44. Fang, Jieyan & Kempf, Alexander & Trapp, Monika, 2014. "Fund Manager Allocation," Journal of Financial Economics, Elsevier, vol. 111(3), pages 661-674.
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    46. Peter Christoffersen & Kris Jacobs & Xisong Jin & Hugues Langlois, 2013. "Dynamic Diversification in Corporate Credit," CREATES Research Papers 2013-46, Department of Economics and Business Economics, Aarhus University.
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    48. Chao, Shih-Wei, 2016. "Do economic variables improve bond return volatility forecasts?," International Review of Economics & Finance, Elsevier, vol. 46(C), pages 10-26.
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    50. Martin M. Andreasen & Jens H. E. Christensen & Simon Riddell, 2020. "The TIPS Liquidity Premium," Working Paper Series 2017-11, Federal Reserve Bank of San Francisco.
    51. Narayan Bulusu & Sermin Gungor, 2018. "Government of Canada Securities in the Cash, Repo and Securities Lending Markets," Discussion Papers 18-4, Bank of Canada.
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    55. Andreasen, Martin M. & Christensen, Jens H.E. & Rudebusch, Glenn D., 2019. "Term Structure Analysis with Big Data: One-Step Estimation Using Bond Prices," Journal of Econometrics, Elsevier, vol. 212(1), pages 26-46.
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    64. Groba, Jonatan & Serrano, Pedro & Lafuente Luengo, Juan Ángel, 2014. "On the compensation for illiquidity in sovereign credit markets," DEE - Working Papers. Business Economics. WB wb142911, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    65. Driessen, Joost & Nijman, Theodore E. & Simon, Zorka, 2022. "A simple approach to estimate long-term interest rates," SAFE Working Paper Series 238, Leibniz Institute for Financial Research SAFE, revised 2022.
    66. Dudek, Jérémy, 2013. "Illiquidité, contagion et risque systémique," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/13236 edited by Le Fol, Gaëlle.
    67. Caio Almeida & Axel Simonsen & José Valentim Vicente, 2012. "Forecasting Bond Yields with Segmented Term Structure Models," Working Papers Series 288, Central Bank of Brazil, Research Department.
    68. Driessen, Joost & Nijman, Theo E. & Simon, Zorka, 2017. "The missing piece of the puzzle: Liquidity premiums in inflation-indexed markets," SAFE Working Paper Series 183, Leibniz Institute for Financial Research SAFE.
    69. Kees E. Bouwman & Elvira Sojli & Wing Wah Tham, 2012. "Aggregate Stock Market Illiquidity and Bond Risk Premia," Tinbergen Institute Discussion Papers 12-140/IV/DSF46, Tinbergen Institute.
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    73. Peter Christoffersen & Christian Dorion & Kris Jacobs & Lotfi Karoui, 2014. "Nonlinear Kalman Filtering in Affine Term Structure Models," Management Science, INFORMS, vol. 60(9), pages 2248-2268, September.
    74. Fang, Jieyan & Kempf, Alexander & Trapp, Monika, 2012. "Fund manager allocation," CFR Working Papers 10-04 [rev.], University of Cologne, Centre for Financial Research (CFR).
    75. Su, Zhi & Lyu, Tongtong & Yin, Libo, 2022. "Are conditional illiquidity risks priced in China? A cross-sectional test," International Review of Financial Analysis, Elsevier, vol. 81(C).
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    77. Jonathan Goldberg & Yoshio Nozawa, 2021. "Liquidity Supply in the Corporate Bond Market," Journal of Finance, American Finance Association, vol. 76(2), pages 755-796, April.
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    79. Guimaraes, Rodrigo & Pinter, Gabor & Wijnandts, Jean-Charles, 2023. "The liquidity state-dependence of monetary policy transmission," Bank of England working papers 1045, Bank of England.
    80. William Arrata & Benoit Nguyen & Imene Rahmouni-Rousseau & Miklos Vari, 2018. "The Scarcity Effect of Quantitative Easing on Repo Rates: Evidence from the Euro Area," IMF Working Papers 2018/258, International Monetary Fund.
    81. Schuster, Philipp & Trapp, Monika & Uhrig-Homburg, Marliese, 2013. "A heterogeneous agents equilibrium model for the term structure of bond market liquidity," CFR Working Papers 13-05, University of Cologne, Centre for Financial Research (CFR).
    82. Aytek Malkhozov & Philippe Mueller & Andrea Vedolin & Gyuri Venter, 2017. "International Illiquidity," International Finance Discussion Papers 1201, Board of Governors of the Federal Reserve System (U.S.).
    83. Stefania D’Amico & N Aaron Pancost, 2022. "Special Repo Rates and the Cross-Section of Bond Prices: The Role of the Special Collateral Risk Premium [Pr icing the term structure with linear regressions]," Review of Finance, European Finance Association, vol. 26(1), pages 117-162.
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    85. Kaminska, Iryna & Liu, Zhuoshi & Relleen, Jon & Vangelista, Elisabetta, 2018. "What do the prices of UK inflation-linked securities say on inflation expectations, risk premia and liquidity risks?," Journal of Banking & Finance, Elsevier, vol. 88(C), pages 76-96.
    86. Jean-Sébastien Fontaine & René Garcia & Sermin Gungor, 2016. "Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns," CIRANO Working Papers 2016s-21, CIRANO.
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    93. Jean‐Sébastien Fontaine & Guillaume Nolin, 2019. "Measuring Limits Of Arbitrage In Fixed‐Income Markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 42(3), pages 525-552, September.
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    Cited by:

    1. Mierau, Jochen O. & Mink, Mark, 2013. "Are stock market crises contagious? The role of crisis definitions," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4765-4776.
    2. Xinyu Yuan & Jiechen Tang & Wing-Keung Wong & Songsak Sriboonchitta, 2020. "Modeling Co-Movement among Different Agricultural Commodity Markets: A Copula-GARCH Approach," Sustainability, MDPI, vol. 12(1), pages 1-17, January.
    3. Baumöhl, Eduard & Kočenda, Evžen & Lyócsa, Štefan & Výrost, Tomáš, 2018. "Networks of volatility spillovers among stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 1555-1574.
    4. Matej Opatrny, 2021. "The impact of the Brexit vote on UK financial markets: a synthetic control method approach," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 48(2), pages 559-587, May.
    5. Małgorzata Doman & Ryszard Doman, 2013. "Dynamic linkages between stock markets: the effects of crises and globalization," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 12(2), pages 87-112, August.
    6. Stanislaus Maier-Paape & Andreas Platen, 2016. "Lead–Lag Relationship Using a Stop-and-Reverse-MinMax Process," Risks, MDPI, vol. 4(3), pages 1-20, July.
    7. Silvo Dajčman, 2013. "Interdependence Between Some Major European Stock Markets - A Wavelet Lead/Lag Analysis," Prague Economic Papers, Prague University of Economics and Business, vol. 2013(1), pages 28-49.
    8. Fei, Fei & Fuertes, Ana-Maria & Kalotychou, Elena, 2017. "Dependence in credit default swap and equity markets: Dynamic copula with Markov-switching," International Journal of Forecasting, Elsevier, vol. 33(3), pages 662-678.
    9. Jozef Baruník & Evžen Kocenda & Lukáš Vácha, 2015. "Asymmetric Connectedness on the U.S. Stock Market: Bad and Good Volatility Spillover," CESifo Working Paper Series 5305, CESifo.
    10. Xu, Weiju & Ma, Feng & Chen, Wang & Zhang, Bing, 2019. "Asymmetric volatility spillovers between oil and stock markets: Evidence from China and the United States," Energy Economics, Elsevier, vol. 80(C), pages 310-320.
    11. Kumar, Satish & Tiwari, Aviral Kumar & Raheem, Ibrahim Dolapo & Hille, Erik, 2021. "Time-varying dependence structure between oil and agricultural commodity markets: A dependence-switching CoVaR copula approach," Resources Policy, Elsevier, vol. 72(C).
    12. Chang, Kuang-Liang, 2023. "The low-magnitude and high-magnitude asymmetries in tail dependence structures in international equity markets and the role of bilateral exchange rate," Journal of International Money and Finance, Elsevier, vol. 133(C).
    13. Zhichao Zhang & Li Ding & Fan Zhang & Zhuang Zhang, 2015. "Optimal Currency Composition for China's Foreign Reserves: A Copula Approach," The World Economy, Wiley Blackwell, vol. 38(12), pages 1947-1965, December.
    14. Sleire, Anders D. & Støve, Bård & Otneim, Håkon & Berentsen, Geir Drage & Tjøstheim, Dag & Haugen, Sverre Hauso, 2022. "Portfolio allocation under asymmetric dependence in asset returns using local Gaussian correlations," Finance Research Letters, Elsevier, vol. 46(PB).
    15. Low, Rand Kwong Yew & Alcock, Jamie & Faff, Robert & Brailsford, Timothy, 2013. "Canonical vine copulas in the context of modern portfolio management: Are they worth it?," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3085-3099.
    16. Nguyen, Cuong & Bhatti, M. Ishaq & Komorníková, Magda & Komorník, Jozef, 2016. "Gold price and stock markets nexus under mixed-copulas," Economic Modelling, Elsevier, vol. 58(C), pages 283-292.
    17. Baur, Dirk G., 2013. "The structure and degree of dependence: A quantile regression approach," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 786-798.
    18. Jamal Bouoiyour & Refk Selmi & Shawkat Hammoudeh & Mark E Wohar, 2019. "What are the categories of geopolitical risks that could drive oil prices higher? Acts or threats?," Post-Print hal-02409062, HAL.
    19. Zhang, Yuanyuan & Chan, Stephen & Chu, Jeffrey & Nadarajah, Saralees, 2019. "Stylised facts for high frequency cryptocurrency data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 513(C), pages 598-612.
    20. Oleg Sokolinskiy & Dick van Dijk, 2011. "Forecasting Volatility with Copula-Based Time Series Models," Tinbergen Institute Discussion Papers 11-125/4, Tinbergen Institute.
    21. Aepli, Matthias D. & Füss, Roland & Henriksen, Tom Erik S. & Paraschiv, Florentina, 2017. "Modeling the multivariate dynamic dependence structure of commodity futures portfolios," Journal of Commodity Markets, Elsevier, vol. 6(C), pages 66-87.
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  15. 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. Elminejad, Ali & Havranek, Tomas & Irsova, Zuzana, 2022. "Relative Risk Aversion: A Meta-Analysis," EconStor Preprints 260586, ZBW - Leibniz Information Centre for Economics.
    2. Gregory 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.
    3. 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.

  16. Dufour, Jean-Marie & García, René & Taamouti, Abderrahim, 2008. "Measuring causality between volatility and returns with high-frequency data," UC3M Working papers. Economics we084422, Universidad Carlos III de Madrid. Departamento de Economía.

    Cited by:

    1. Amira, Khaled & Taamouti, Abderrahim & Tsafack, Georges, 2009. "What Drives International Equity Correlations? Volatility or Market Direction?," UC3M Working papers. Economics we094122, Universidad Carlos III de Madrid. Departamento de Economía.
    2. Taoufik Bouezmarni & Jeroen Rombouts & Abderrahim Taamouti, 2009. "A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality," CIRANO Working Papers 2009s-28, CIRANO.

  17. Antonio Diez de los Rios & René Garcia, 2006. "Assessing and Valuing the Non-Linear Structure of Hedge Fund Returns," Staff Working Papers 06-31, Bank of Canada.

    Cited by:

    1. Karagiorgis, Ariston & Drakos, Konstantinos, 2022. "The Skewness-Kurtosis plane for non-Gaussian systems: The case of hedge fund returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    2. Roumpis, Efthymios & Syriopoulos, Theodore, 2014. "Dynamics and risk factors in hedge funds returns: Implications for portfolio construction and performance evaluation," The Journal of Economic Asymmetries, Elsevier, vol. 11(C), pages 58-77.
    3. Javier Mencía, 2010. "Testing non-linear dependence in the hedge fund industry," Working Papers 1007, Banco de España.
    4. Havranek, Tomas & Yang, Fan & Irsova, Zuzana & Novak, Jiri, 2022. "Hedge Fund Performance: A Quantitative Survey," CEPR Discussion Papers 17417, C.E.P.R. Discussion Papers.
    5. Szabolcs Blazsek & Anna Downarowicz, 2013. "Forecasting hedge fund volatility: a Markov regime-switching approach," The European Journal of Finance, Taylor & Francis Journals, vol. 19(4), pages 243-275, April.
    6. G. Hübner & M. Lambert & N. Papageorgiou, 2015. "Higher†moment Risk Exposures in Hedge Funds," European Financial Management, European Financial Management Association, vol. 21(2), pages 236-264, March.
    7. Darolles, Serge & Gourieroux, Christian, 2010. "Conditionally fitted Sharpe performance with an application to hedge fund rating," Journal of Banking & Finance, Elsevier, vol. 34(3), pages 578-593, March.
    8. Chabi-Yo, Fousseni & Huggenberger, Markus & Weigert, Florian, 2022. "Multivariate crash risk," Journal of Financial Economics, Elsevier, vol. 145(1), pages 129-153.
    9. Antonio Diez de los Rios & René Garcia, 2011. "The option CAPM and the performance of hedge funds," Review of Derivatives Research, Springer, vol. 14(2), pages 137-167, July.
    10. Andrew W. Lo & Mila Getmansky & Peter A. Lee, 2015. "Hedge Funds: A Dynamic Industry in Transition," Annual Review of Financial Economics, Annual Reviews, vol. 7(1), pages 483-577, December.
    11. Serge Darolles & Christian Gouriéroux, 2013. "The Effects of Management and Provision Accounts on Hedge Fund Returns - Part I : The High Water Mark Scheme," Working Papers 2013-22, Center for Research in Economics and Statistics.
    12. Roncalli, Thierry & Weisang, Guillaume, 2008. "Tracking problems, hedge fund replication and alternative beta," MPRA Paper 37358, University Library of Munich, Germany.

  18. GARCIA, René & RENAULT, Eric & VEREDAS, David, 2006. "Estimation of stable distributions by indirect inference," LIDAM Discussion Papers CORE 2006112, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

    Cited by:

    1. Arvanitis Stelios & Demos Antonis, 2018. "On the Validity of Edgeworth Expansions and Moment Approximations for Three Indirect Inference Estimators," Journal of Econometric Methods, De Gruyter, vol. 7(1), pages 1-38, January.
    2. Yuhao Liu & Petar M. Djurić & Young Shin Kim & Svetlozar T. Rachev & James Glimm, 2021. "Systemic Risk Modeling with Lévy Copulas," JRFM, MDPI, vol. 14(6), pages 1-20, June.
    3. Tsionas, Mike, 2012. "Simple techniques for likelihood analysis of univariate and multivariate stable distributions: with extensions to multivariate stochastic volatility and dynamic factor models," MPRA Paper 40966, University Library of Munich, Germany, revised 20 Aug 2012.
    4. Drew Creal & Siem Jan Koopman & André Lucas & Marcin Zamojski, 2015. "Generalized Autoregressive Method of Moments," Tinbergen Institute Discussion Papers 15-138/III, Tinbergen Institute, revised 06 Jul 2018.
    5. Marco Bee, 2018. "Estimating the wrapped stable distribution via indirect inference," DEM Working Papers 2018/11, Department of Economics and Management.
    6. Adam Misiorek & Rafal Weron, 2010. "Heavy-tailed distributions in VaR calculations," HSC Research Reports HSC/10/05, Hugo Steinhaus Center, Wroclaw University of Technology.
    7. Christian Gourieroux & Peter C. B. Phillips & Jun Yu, 2006. "Indirect Inference for Dynamic Panel Models," Cowles Foundation Discussion Papers 1550, Cowles Foundation for Research in Economics, Yale University.
    8. Mike G. Tsionas & Nicholas Apergis, 2023. "Another look at contagion across United States and European financial markets: Evidence from the credit default swaps markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 1137-1155, January.
    9. Chaussé, Pierre, 2010. "Computing Generalized Method of Moments and Generalized Empirical Likelihood with R," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 34(i11).
    10. Rachidi Kotchoni, 2012. "Applications of the Characteristic Function Based Continuum GMM in Finance," Post-Print hal-00867795, HAL.
    11. Borak, Szymon & Misiorek, Adam & Weron, Rafal, 2010. "Models for Heavy-tailed Asset Returns," MPRA Paper 25494, University Library of Munich, Germany.
    12. Prosper Dovonon & Alastair R. Hall, 2017. "The Asymptotic Properties of GMM and Indirect Inference Under Second-Order Identification," Economics Discussion Paper Series 1705, Economics, The University of Manchester.
    13. Dovonon, Prosper & Hall, Alastair R., 2018. "The asymptotic properties of GMM and indirect inference under second-order identification," Journal of Econometrics, Elsevier, vol. 205(1), pages 76-111.
    14. Marco Bee & Julien Hambuckers & Luca Trapin, 2018. "Estimating Value-at-Risk for the g-and-h distribution: an indirect inference approach," DEM Working Papers 2018/08, Department of Economics and Management.
    15. Arel-Bundock, Vincent, 2013. "A solution to the weak instrument bias in 2SLS estimation: Indirect inference with stochastic approximation," Economics Letters, Elsevier, vol. 120(3), pages 495-498.
    16. Calzolari, Giorgio & Halbleib, Roxana & Parrini, Alessandro, 2014. "Estimating GARCH-type models with symmetric stable innovations: Indirect inference versus maximum likelihood," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 158-171.
    17. LOMBARDI, Marco & VEREDAS, David, 2007. "Indirect estimation of elliptical stable distributions," LIDAM Discussion Papers CORE 2007018, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    18. Pierre Chaussé, 2011. "Generalized empirical likelihood for a continuum of moment conditions," Working Papers 1104, University of Waterloo, Department of Economics, revised Oct 2011.
    19. Lambert, Philippe & Laurent, Sébastien & Veredas, David, 2012. "Testing conditional asymmetry: A residual-based approach," Journal of Economic Dynamics and Control, Elsevier, vol. 36(8), pages 1229-1247.
    20. Stelios Arvanitis & Antonis Demos, 2014. "A Class of Indirect Inference Estimators: Higher Order Asymptotics and Approximate Bias Correction (Revised)," DEOS Working Papers 1411, Athens University of Economics and Business, revised 23 Sep 2014.
    21. Di Iorio, Francesca & Calzolari, Giorgio, 2006. "Discontinuities in indirect estimation: An application to EAR models," Computational Statistics & Data Analysis, Elsevier, vol. 50(8), pages 2124-2136, April.
    22. Calzolari, Giorgio & Halbleib, Roxana, 2018. "Estimating stable latent factor models by indirect inference," Journal of Econometrics, Elsevier, vol. 205(1), pages 280-301.
    23. Stelios Arvanitis, 2013. "On the Existence of Strongly Consistent Indirect Estimators When the Binding Function Is Compact Valued," Journal of Mathematics, Hindawi, vol. 2013, pages 1-14, November.
    24. Marco Bee, 2022. "The truncated g-and-h distribution: estimation and application to loss modeling," Computational Statistics, Springer, vol. 37(4), pages 1771-1794, September.
    25. Marc S. Paolella, 2016. "Stable-GARCH Models for Financial Returns: Fast Estimation and Tests for Stability," Econometrics, MDPI, vol. 4(2), pages 1-28, May.
    26. Ronald Gallant, A. & Tauchen, George, 2018. "Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale," Journal of Econometrics, Elsevier, vol. 205(1), pages 140-155.
    27. Matteo Barigozzi & Roxana Halbleib & David Veredas, 2012. "Which model to match?," Working Papers 1229, Banco de España.
    28. Garcia, René & Renault, Eric & Veredas, David, 2011. "Estimation of stable distributions by indirect inference," Journal of Econometrics, Elsevier, vol. 161(2), pages 325-337, April.
    29. Matteo Bonato, 2012. "Modeling fat tails in stock returns: a multivariate stable-GARCH approach," Computational Statistics, Springer, vol. 27(3), pages 499-521, September.
    30. Alperovych, Yan & Cumming, Douglas & Czellar, Veronika & Groh, Alexander, 2021. "M&A rumors about unlisted firms," Journal of Financial Economics, Elsevier, vol. 142(3), pages 1324-1339.
    31. Parrini, Alessandro, 2012. "Indirect estimation of GARCH models with alpha-stable innovations," MPRA Paper 38544, University Library of Munich, Germany.
    32. Dominicy, Yves & Veredas, David, 2013. "The method of simulated quantiles," Journal of Econometrics, Elsevier, vol. 172(2), pages 235-247.

  19. Marcel Boyer & M. Martin Boyer & René Garcia, 2005. "The Value of Real and Financial Risk Management," CIRANO Working Papers 2005s-38, CIRANO.

    Cited by:

    1. Höring, Dirk & Gründl, Helmut, 2011. "Risk management's place in an organisation: A tradeoff between independence and co-ordination," ICIR Working Paper Series 05/11, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
    2. Martin Boyer, M. & Gobert, Karine, 2009. "The impact of switching costs on vendor financing," Finance Research Letters, Elsevier, vol. 6(4), pages 236-241, December.
    3. Krzysztof Waśniewski, 2015. "Discretionary freedom of choice and risk in alternative capital markets," European Journal of Law and Economics, Springer, vol. 39(3), pages 573-605, June.
    4. Zhuwei Li & Yucheng Wang & Lijie Yu & Hui An, 2016. "Relationship between initiative risk management and firm value: evidence from Chinese financial listed companies," Applied Economics, Taylor & Francis Journals, vol. 48(8), pages 658-668, February.

  20. 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. René Garcia & Richard Luger, 2005. "The Canadian Macroeconomy and the Yield Curve: An Equilibrium-Based Approach," Staff Working Papers 05-36, Bank of Canada.
    2. Mustapha Olalekan Ojo & Luís Aguiar-Conraria & Maria Joana Soares, 2017. "A time-frequency analysis of the Canadian macroeconomy and the yield curve," NIPE Working Papers 12/2017, NIPE - Universidade do Minho.
    3. Bruno Feunou & Jean-Sébastien Fontaine, 2012. "Forecasting Inflation and the Inflation Risk Premiums Using Nominal Yields," Staff Working Papers 12-37, Bank of Canada.
    4. 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.
    5. Lange, Ronald Henry, 2018. "The term structure of liquidity premia and the macroeconomy in Canada: A dynamic latent-factor approach," International Review of Economics & Finance, Elsevier, vol. 57(C), pages 164-182.
    6. 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.
    7. 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.
    8. 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.
    9. 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.
    10. 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.

  21. Rene Garcia & Marco Bonomo, 2004. "Optimal Rules under Adjustment Cost and Infrequent Information," Econometric Society 2004 Latin American Meetings 135, Econometric Society.

    Cited by:

    1. F. Alvarez & F. Lippi & L. Paciello, 2010. "Optimal price setting with observation and menu costs," 2010 Meeting Papers 478, Society for Economic Dynamics.

  22. René Garcia & Eric Ghysels & Eric Renault, 2004. "The Econometrics of Option Pricing," CIRANO Working Papers 2004s-04, CIRANO.

    Cited by:

    1. Kristensen, Dennis, 2004. "A semiparametric single-factor model of the term structure," LSE Research Online Documents on Economics 24741, London School of Economics and Political Science, LSE Library.
    2. Jeroen V.K. Rombouts & Lars Stentoft, 2009. "Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models," CREATES Research Papers 2009-07, Department of Economics and Business Economics, Aarhus University.
    3. Thomas Busch, 2008. "Testing the martingale restriction for option implied densities," Review of Derivatives Research, Springer, vol. 11(1), pages 61-81, March.
    4. 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.
    5. Ole E. Barndorff-Nielsen & Neil Shephard, 2005. "Variation, jumps, market frictions and high frequency data in financial econometrics," Economics Papers 2005-W16, Economics Group, Nuffield College, University of Oxford.
    6. Henri Bertholon & Alain Monfort & Fulvio Pegoraro, 2007. "Econometric Asset Pricing Modelling," Working Papers 2007-18, Center for Research in Economics and Statistics.
    7. Ole E. Barndorff-Nielsen & Neil Shephard, 2004. "Econometrics of testing for jumps in financial economics using bipower variationÂ," OFRC Working Papers Series 2004fe01, Oxford Financial Research Centre.
    8. Ming Yuan, 2009. "State price density estimation via nonparametric mixtures," Papers 0910.1430, arXiv.org.
    9. Andrea Pascucci & Paolo Foschi, 2005. "Calibration of the Hobson&Rogers model: empirical tests," Finance 0509020, University Library of Munich, Germany.
    10. Eva Ferreira & Mónica Gago & Angel León & Gonzalo Rubio, 2005. "An empirical comparison of the performance of alternative option pricing models," Investigaciones Economicas, Fundación SEPI, vol. 29(3), pages 483-523, September.
    11. Bertholon, H. & Monfort, A. & Pegoraro, F., 2007. "Pricing and Inference with Mixtures of Conditionally Normal Processes," Working papers 188, Banque de France.
    12. Ole E. Barndorff-Nielsen & Neil Shephard, 2003. "Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes," Economics Papers 2003-W12, Economics Group, Nuffield College, University of Oxford.
    13. Mark Broadie & Jerome B. Detemple, 2004. "ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications," Management Science, INFORMS, vol. 50(9), pages 1145-1177, September.
    14. Neil Shephard, 2005. "Stochastic Volatility," Economics Papers 2005-W17, Economics Group, Nuffield College, University of Oxford.
    15. 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.
    16. Vázquez, Miguel & Sánchez-Úbeda, Eugenio F. & Berzosa, Ana & Barquín, Julián, 2008. "Short-term evolution of forward curves and volatility in illiquid power market," MPRA Paper 8932, University Library of Munich, Germany, revised May 2008.
    17. Rubio Irigoyen, Gonzalo & Ferreira García, María Eva & Gago, Mónica & León, Angel, 2002. "An empirical comparison of the performance of alternative option pricing models," DFAEII Working Papers 1988-088X, University of the Basque Country - Department of Foundations of Economic Analysis II.
    18. Cyrus Ramezani & Yong Zeng, 2007. "Maximum likelihood estimation of the double exponential jump-diffusion process," Annals of Finance, Springer, vol. 3(4), pages 487-507, October.
    19. Kristensen, Dennis, 2004. "Estimation of partial differential equations with applications in finance," LSE Research Online Documents on Economics 24738, London School of Economics and Political Science, LSE Library.
    20. Nikolai Dokuchaev, 2011. "Option Pricing Via Maximization Over Uncertainty And Correction Of Volatility Smile," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 14(04), pages 507-524.

  23. Jérôme Detemple & René Garcia & Marcel Rindisbacher, 2003. "Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes," CIRANO Working Papers 2003s-11, CIRANO.

    Cited by:

    1. Jérôme Detemple, 2014. "Portfolio Selection: A Review," Journal of Optimization Theory and Applications, Springer, vol. 161(1), pages 1-21, April.
    2. Eric Ghysels & Jean-Pierre Florens & Mikhail Chernov & Marine Carrasco, 2003. "Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions," CIRANO Working Papers 2003s-02, CIRANO.
    3. Chenxu Li & Olivier Scaillet & Yiwen Shen, 2020. "Wealth Effect on Portfolio Allocation in Incomplete Markets," Papers 2004.10096, arXiv.org, revised Aug 2021.
    4. Giesecke, K. & Schwenkler, G., 2019. "Simulated likelihood estimators for discretely observed jump–diffusions," Journal of Econometrics, Elsevier, vol. 213(2), pages 297-320.
    5. Kristensen, Dennis & Shin, Yongseok, 2012. "Estimation of dynamic models with nonparametric simulated maximum likelihood," Journal of Econometrics, Elsevier, vol. 167(1), pages 76-94.
    6. Carrasco, Marine & Chernov, Mikhail & Florens, Jean-Pierre & Ghysels, Eric, 2007. "Efficient estimation of general dynamic models with a continuum of moment conditions," Journal of Econometrics, Elsevier, vol. 140(2), pages 529-573, October.
    7. Mikhail Chernov & A. Ronald Gallant & Eric Ghysels & George Tauchen, 2002. "Alternative Models for Stock Price Dynamics," CIRANO Working Papers 2002s-58, CIRANO.
    8. Detemple, Jerome & Rindisbacher, Marcel, 2007. "Monte Carlo methods for derivatives of options with discontinuous payoffs," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3393-3417, April.
    9. Pablo Castañeda, 2007. "Long Term Risk Assessment in a Defined Contribution Pension System," Working Papers 20, Superintendencia de Pensiones, revised Oct 2007.
    10. Guay, François & Schwenkler, Gustavo, 2021. "Efficient estimation and filtering for multivariate jump–diffusions," Journal of Econometrics, Elsevier, vol. 223(1), pages 251-275.
    11. Jérôme Detemple & René Garcia & Marcel Rindisbacher, 2005. "Asymptotic Properties of Monte Carlo Estimators of Derivatives," Management Science, INFORMS, vol. 51(11), pages 1657-1675, November.
    12. Thijs Kamma & Antoon Pelsser, 2019. "Near-Optimal Dynamic Asset Allocation in Financial Markets with Trading Constraints," Papers 1906.12317, arXiv.org, revised Oct 2019.
    13. Li, Chenxu & Scaillet, Olivier & Shen, Yiwen, 2020. "Decomposition of optimal dynamic portfolio choice with wealth-dependent utilities in incomplete markets," Working Papers unige:138414, University of Geneva, Geneva School of Economics and Management.
    14. Alfonsi, Aurélien, 2013. "Strong order one convergence of a drift implicit Euler scheme: Application to the CIR process," Statistics & Probability Letters, Elsevier, vol. 83(2), pages 602-607.

  24. René Garcia & Eric Renault & Andrei Semenov, 2003. "Disentangling Risk Aversion and Intertemporal Substitution Through a Reference Level," CIRANO Working Papers 2003s-12, CIRANO.

    Cited by:

    1. Campbell, John Y. & Giglio, Stefano & Polk, Christopher & Turley, Robert, 2018. "An intertemporal CAPM with stochastic volatility," Journal of Financial Economics, Elsevier, vol. 128(2), pages 207-233.
    2. Schrimpf, Andreas & Grammig, Joachim G., 2007. "Asset Pricing with a Reference Level of Consumption: New Evidence from the Cross-Section of Stock Returns," ZEW Discussion Papers 06-032 [rev.], ZEW - Leibniz Centre for European Economic Research.
    3. Sönksen, Jantje & Grammig, Joachim, 2021. "Empirical asset pricing with multi-period disaster risk: A simulation-based approach," Journal of Econometrics, Elsevier, vol. 222(1), pages 805-832.
    4. Henri Bertholon & Alain Monfort & Fulvio Pegoraro, 2007. "Econometric Asset Pricing Modelling," Working Papers 2007-18, Center for Research in Economics and Statistics.
    5. Hansen, Lars Peter, 2013. "Risk Pricing over Alternative Investment Horizons," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1571-1611, Elsevier.
    6. Elminejad, Ali & Havranek, Tomas & Irsova, Zuzana, 2022. "Relative Risk Aversion: A Meta-Analysis," EconStor Preprints 260586, ZBW - Leibniz Information Centre for Economics.
    7. Roche, Hervé, 2011. "Asset prices in an exchange economy when agents have heterogeneous homothetic recursive preferences and no risk free bond is available," Journal of Economic Dynamics and Control, Elsevier, vol. 35(1), pages 80-96, January.
    8. 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, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    9. Monfort, A. & Pegoraro, F., 2012. "Asset Pricing with Second-Order Esscher Transforms," Working papers 397, Banque de France.
    10. Basu, Parantap & Semenov, Andrei & Wada, Kenji, 2009. "Uninsurable Risk and Financial Market Puzzles," MPRA Paper 23351, University Library of Munich, Germany.
    11. Andrei Semenov, 2003. "An Empirical Assessment of a Consumption CAPM with a Reference Level under Incomplete Consumption Insurance," Working Papers 2003_5, York University, Department of Economics.
    12. Michael Nwogugu, 2020. "Regret Theory And Asset Pricing Anomalies In Incomplete Markets With Dynamic Un-Aggregated Preferences," Papers 2005.01709, arXiv.org.
    13. Badescu, Alex & Elliott, Robert J. & Siu, Tak Kuen, 2009. "Esscher transforms and consumption-based models," Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 337-347, December.
    14. Echevarría, Cruz A., 2012. "Income tax progressivity, physical capital, aggregate uncertainty and long-run growth in an OLG economy," Journal of Macroeconomics, Elsevier, vol. 34(4), pages 955-974.

  25. François Bélisle & Yoshua Bengio & Charles Dugas & René Garcia & Claude Nadeau, 2002. "Incorporating Second-Order Functional Knowledge for Better Option Pricing," CIRANO Working Papers 2002s-46, CIRANO.

    Cited by:

    1. Julia Bennell & Charles Sutcliffe, 2004. "Black–Scholes versus artificial neural networks in pricing FTSE 100 options," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 12(4), pages 243-260, October.

  26. René Garcia & Richard Luger & Eric Renault, 2001. "Asymmetric Smiles, Leverage Effects and Structural Parameters," CIRANO Working Papers 2001s-01, CIRANO.

    Cited by:

    1. 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.
    2. 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.
    3. 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.
    4. 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.
    5. 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.
    6. Ali Alami & Eric Renault, 2001. "Risque de modèle de volatilité," CIRANO Working Papers 2001s-06, CIRANO.
    7. Bertholon, H. & Monfort, A. & Pegoraro, F., 2007. "Pricing and Inference with Mixtures of Conditionally Normal Processes," Working papers 188, Banque de France.
    8. Meddahi, N., 2001. "An Eigenfunction Approach for Volatility Modeling," Cahiers de recherche 2001-29, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    9. 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.
    10. 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. 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.
    12. Daglish, Toby & Maheu, John & McCurdy, Tom, 2008. "A Financial Metric for Comparing Volatility Models: Do Better Models Make Money?," Working Paper Series 19110, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.
    13. GARCIA, René & RENAULT, Éric, 2000. "Latent Variable Models for Stochastic Discount Factors," Cahiers de recherche 2000-01, Universite de Montreal, Departement de sciences economiques.
    14. René Garcia & Richard Luger & Eric Renault, 2001. "Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note : Nouvelle version Février 2002)," CIRANO Working Papers 2001s-02, CIRANO.

  27. Jérôme Detemple & René Garcia & Marcel Rindisbacher, 2000. "A Monte-Carlo Method for Optimal Portfolios," CIRANO Working Papers 2000s-05, CIRANO.

    Cited by:

    1. Yacine Aït-Sahalia & Michael W. Brandt, 2008. "Consumption and Portfolio Choice with Option-Implied State Prices," NBER Working Papers 13854, National Bureau of Economic Research, Inc.
    2. Jin, Xing & Zhang, Kun, 2013. "Dynamic optimal portfolio choice in a jump-diffusion model with investment constraints," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1733-1746.
    3. Suleyman Basak & Georgy Chabakauri, 2011. "Dynamic Hedging in Incomplete Markets: A Simple Solution," FMG Discussion Papers dp680, Financial Markets Group.
    4. Lorenzo Garlappi & Georgios Skoulakis, 2009. "Numerical Solutions to Dynamic Portfolio Problems: The Case for Value Function Iteration using Taylor Approximation," Computational Economics, Springer;Society for Computational Economics, vol. 33(2), pages 193-207, March.
    5. Simon Ellersgaard, 2019. "On the Numerical Solution of Mertonian Control Problems: A Survey of the Markov Chain Approximation Method for the Working Economist," Computational Economics, Springer;Society for Computational Economics, vol. 54(3), pages 1179-1211, October.
    6. Redouane Elkamhia & Denitsa Stefanova, 2011. "Dynamic Correlation or Tail Dependence Hedging for Portfolio Selection," Tinbergen Institute Discussion Papers 11-028/2/DSF10, Tinbergen Institute.
    7. Carlos Heitor Campania & René Garcia, 2019. "Approximate analytical solutions for consumption/investment problems under recursive utility and finite horizon," Post-Print hal-02894663, HAL.
    8. Zvi Bodie & Jonathan Treussard & Paul S. Willen, 2007. "The theory of life-cycle saving and investing," Public Policy Discussion Paper 07-3, Federal Reserve Bank of Boston.
    9. Takao Kobayashi & Akihiko Takahashi & Norio Tokioka, 2003. "Dynamic Optimality of Yield Curve Strategies," International Review of Finance, International Review of Finance Ltd., vol. 4(1‐2), pages 49-78, March.
    10. Hong, Yi & Jin, Xing, 2018. "Semi-analytical solutions for dynamic portfolio choice in jump-diffusion models and the optimal bond-stock mix," European Journal of Operational Research, Elsevier, vol. 265(1), pages 389-398.
    11. Ngoc-Khanh Tran & Richard J. Zeckhauser, 2011. "The Behavior of Savings and Asset Prices When Preferences and Beliefs are Heterogeneous," NBER Working Papers 17199, National Bureau of Economic Research, Inc.
    12. Kasper Larsen & Oleksii Mostovyi & Gordan Žitković, 2018. "An expansion in the model space in the context of utility maximization," Finance and Stochastics, Springer, vol. 22(2), pages 297-326, April.
    13. Franc{c}ois Legendre & Djibril Togola, 2015. "Explicit solution to dynamic portfolio choice problem : The continuous-time detour," Papers 1504.03079, arXiv.org.
    14. Honda, Toshiki, 2003. "Optimal portfolio choice for unobservable and regime-switching mean returns," Journal of Economic Dynamics and Control, Elsevier, vol. 28(1), pages 45-78, October.
    15. Kai Li & Jun Liu, 2016. "Reversing Momentum: The Optimal Dynamic Momentum Strategy," Research Paper Series 370, Quantitative Finance Research Centre, University of Technology, Sydney.
    16. Antonio Cosma & Stefano Galluccio & Paola Pederzoli & O. Scaillet, 2012. "Valuing American Options Using Fast Recursive Projections," Swiss Finance Institute Research Paper Series 12-26, Swiss Finance Institute.
    17. Eduardo S. Schwartz & Claudio Tebaldi, 2006. "Illiquid Assets and Optimal Portfolio Choice," NBER Working Papers 12633, National Bureau of Economic Research, Inc.
    18. de Palma, André & Prigent, Jean-Luc, 2008. "Utilitarianism and fairness in portfolio positioning," Journal of Banking & Finance, Elsevier, vol. 32(8), pages 1648-1660, August.
    19. Andrew Papanicolaou, 2018. "Backward SDEs for Control with Partial Information," Papers 1807.08222, arXiv.org.
    20. Massimo Guidolin & Allan Timmermann, 2008. "International asset allocation under regime switching, skew, and kurtosis preferences," The Review of Financial Studies, Society for Financial Studies, vol. 21(2), pages 889-935, April.
    21. Abraham Lioui, 2005. "Stochastic dividend yields and derivatives pricing in complete markets," Review of Derivatives Research, Springer, vol. 8(3), pages 151-175, December.
    22. Jérôme Detemple, 2014. "Portfolio Selection: A Review," Journal of Optimization Theory and Applications, Springer, vol. 161(1), pages 1-21, April.
    23. Guidolin, Massimo & Hyde, Stuart, 2008. "Equity portfolio diversification under time-varying predictability: Evidence from Ireland, the US, and the UK," Journal of Multinational Financial Management, Elsevier, vol. 18(4), pages 293-312, October.
    24. Ehling, Paul & Heyerdahl-Larsen, Christian, 2015. "Complete and incomplete financial markets in multi-good economies," Journal of Economic Theory, Elsevier, vol. 160(C), pages 438-462.
    25. Hening Liu, 2011. "Dynamic portfolio choice under ambiguity and regime switching mean returns," Post-Print hal-00781344, HAL.
    26. Michael W. Brandt & Amit Goyal & Pedro Santa-Clara & Jonathan Storud, 2004. "A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability," NBER Working Papers 10934, National Bureau of Economic Research, Inc.
    27. Castañeda, Pablo & Devoto, Benjamín, 2016. "On the structural estimation of an optimal portfolio rule," Finance Research Letters, Elsevier, vol. 16(C), pages 290-300.
    28. Castañeda, Pablo & Reus, Lorenzo, 2019. "Suboptimal investment behavior and welfare costs: A simulation based approach," Finance Research Letters, Elsevier, vol. 30(C), pages 170-180.
    29. Chih-Nan Chen & Chien-Hsiu Lin, 2022. "Optimal carry trade portfolio choice under regime shifts," Review of Quantitative Finance and Accounting, Springer, vol. 59(2), pages 483-506, August.
    30. André de Palma & Jean-Luc Prigent, 2009. "Standardized versus customized portfolio: a compensating variation approach," Post-Print hal-03679717, HAL.
    31. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2010. "1/N and long run optimal portfolios: results for mixed asset menus," Working Papers 2010-003, Federal Reserve Bank of St. Louis.
    32. Mkaouar, Farid & Prigent, Jean-Luc & Abid, Ilyes, 2017. "Long-term investment with stochastic interest and inflation rates: The need for inflation-indexed bonds," Economic Modelling, Elsevier, vol. 67(C), pages 228-247.
    33. Martin B. Haugh & Leonid Kogan & Jiang Wang, 2006. "Evaluating Portfolio Policies: A Duality Approach," Operations Research, INFORMS, vol. 54(3), pages 405-418, June.
    34. Björn Bick & Holger Kraft & Claus Munk, 2013. "Solving Constrained Consumption-Investment Problems by Simulation of Artificial Market Strategies," Management Science, INFORMS, vol. 59(2), pages 485-503, June.
    35. Chenxu Li & Olivier Scaillet & Yiwen Shen, 2020. "Wealth Effect on Portfolio Allocation in Incomplete Markets," Papers 2004.10096, arXiv.org, revised Aug 2021.
    36. Pablo Castañeda & Heinz Rudolph, 2010. "Portfolio Choice, Minimum Return Guarantees, and Competition in DC Pension Systems," Working Papers 39, Superintendencia de Pensiones, revised Feb 2010.
    37. Daglish, Toby, 2008. "The Effect of Asset Price Jumps on Consumption and Investment Decisions," Working Paper Series 19107, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.
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    75. Charles-Olivier Amédée-Manesme & Fabrice Barthélémy & Philippe Bertrand & Jean-Luc Prigent, 2019. "Mixed-asset portfolio allocation under mean-reverting asset returns," Annals of Operations Research, Springer, vol. 281(1), pages 65-98, October.
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    79. Cvitanic, Jaksa & Goukasian, Levon & Zapatero, Fernando, 2003. "Monte Carlo computation of optimal portfolios in complete markets," Journal of Economic Dynamics and Control, Elsevier, vol. 27(6), pages 971-986, April.
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    81. Larsen, Linda Sandris, 2010. "Optimal investment strategies in an international economy with stochastic interest rates," International Review of Economics & Finance, Elsevier, vol. 19(1), pages 145-165, January.
    82. Guidolin, Massimo & Hyde, Stuart, 2012. "Can VAR models capture regime shifts in asset returns? A long-horizon strategic asset allocation perspective," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 695-716.
    83. Lioui, Abraham & Tarelli, Andrea, 2020. "Factor Investing for the Long Run," Journal of Economic Dynamics and Control, Elsevier, vol. 117(C).
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    85. Basak, Suleyman & Chabakauri, Georgy, 2009. "Dynamic Mean-Variance Asset Allocation," CEPR Discussion Papers 7256, C.E.P.R. Discussion Papers.
    86. Antonio Cosma & Stefano Galluccio & Paola Pederzoli & O. Scaillet, 2016. "Early Exercise Decision in American Options with Dividends, Stochastic Volatility and Jumps," Swiss Finance Institute Research Paper Series 16-73, Swiss Finance Institute.
    87. Li, Chenxu & Scaillet, Olivier & Shen, Yiwen, 2020. "Decomposition of optimal dynamic portfolio choice with wealth-dependent utilities in incomplete markets," Working Papers unige:138414, University of Geneva, Geneva School of Economics and Management.
    88. Asger Lunde & Allan Timmermann, 2005. "Completion time structures of stock price movements," Annals of Finance, Springer, vol. 1(3), pages 293-326, August.
    89. Detemple, Jérôme & Rindisbacher, Marcel, 2008. "Dynamic asset liability management with tolerance for limited shortfalls," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 281-294, December.
    90. Larsen, Linda Sandris & Munk, Claus, 2012. "The costs of suboptimal dynamic asset allocation: General results and applications to interest rate risk, stock volatility risk, and growth/value tilts," Journal of Economic Dynamics and Control, Elsevier, vol. 36(2), pages 266-293.
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    94. Rytchkov, Oleg, 2016. "Time-Varying Margin Requirements and Optimal Portfolio Choice," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 51(2), pages 655-683, April.
    95. Marcel Rindisbacher & Jérôme Detemple & René Garcia, 2004. "Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes," Econometric Society 2004 North American Winter Meetings 483, Econometric Society.
    96. Huang, Huaxiong & Milevsky, Moshe A., 2008. "Portfolio choice and mortality-contingent claims: The general HARA case," Journal of Banking & Finance, Elsevier, vol. 32(11), pages 2444-2452, November.
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    103. Boyle, Phelim & Imai, Junichi & Tan, Ken Seng, 2008. "Computation of optimal portfolios using simulation-based dimension reduction," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 327-338, December.
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  28. René Garcia & Eric Renault, 2000. "Latent Variable Models for Stochastic Discount," Working Papers 2000-19, Center for Research in Economics and Statistics.

    Cited by:

    1. René Garcia & Richard Luger & Eric Renault, 2001. "Asymmetric Smiles, Leverage Effects and Structural Parameters," CIRANO Working Papers 2001s-01, CIRANO.

  29. Bonomo, Marco Antônio Cesar & Garcia, René, 2000. "The macroeconomic effects of infrequent information with adjustment costs," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 384, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).

    Cited by:

    1. Etienne Gagnon & David López-Salido & Nicolas Vincent, 2012. "Individual Price Adjustment along the Extensive Margin," NBER Chapters, in: NBER Macroeconomics Annual 2012, Volume 27, pages 235-281, National Bureau of Economic Research, Inc.
    2. Bonomo, Marco, 2000. "Are One-Sided S,s Rules Useful Proxies For Optimal Pricing Rules?," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 20(1), May.
    3. Rene Garcia & Marco Bonomo, 2004. "Optimal Rules under Adjustment Cost and Infrequent Information," Econometric Society 2004 Latin American Meetings 135, Econometric Society.
    4. Alves, Sergio A Lago & Bugarin, Mirta N S, 2006. "The Role of Consumer's Risk Aversion on Price Rigidity," Computing in Economics and Finance 2006 128, Society for Computational Economics.
    5. Edward S. Knotek Ii, 2010. "A Tale of Two Rigidities: Sticky Prices in a Sticky-Information Environment," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(8), pages 1543-1564, December.
    6. Bonomo, Marco & Carvalho, Carlos, 2004. "Endogenous Time-Dependent Rules and Inflation Inertia," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 36(6), pages 1015-1041, December.

  30. René Garcia & Richard Luger & Eric Renault, 2000. "Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables," Working Papers 2000-56, Center for Research in Economics and Statistics.

    Cited by:

    1. Fearghal Kearney & Han Lin Shang & Lisa Sheenan, 2019. "Implied volatility surface predictability: the case of commodity markets," Papers 1909.11009, arXiv.org.
    2. 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.
    3. Godin, Frédéric & Trottier, Denis-Alexandre, 2021. "Option pricing in regime-switching frameworks with the Extended Girsanov Principle," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 116-129.
    4. René Garcia & Richard Luger & Eric Renault, 2001. "Asymmetric Smiles, Leverage Effects and Structural Parameters," CIRANO Working Papers 2001s-01, CIRANO.
    5. 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.
    6. Shang, Han Lin & Kearney, Fearghal, 2022. "Dynamic functional time-series forecasts of foreign exchange implied volatility surfaces," International Journal of Forecasting, Elsevier, vol. 38(3), pages 1025-1049.
    7. 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.
    8. 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.
    9. René Garcia & Richard Luger, 2005. "The Canadian Macroeconomy and the Yield Curve: An Equilibrium-Based Approach," Staff Working Papers 05-36, Bank of Canada.
    10. Steven Heston & Kris Jacobs & Hyung Joo Kim, 2023. "The Pricing Kernel in Options," Finance and Economics Discussion Series 2023-053, Board of Governors of the Federal Reserve System (U.S.).
    11. Henri Bertholon & Alain Monfort & Fulvio Pegoraro, 2007. "Econometric Asset Pricing Modelling," Working Papers 2007-18, Center for Research in Economics and Statistics.
    12. 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.
    13. 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.
    14. 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.
    15. 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.
    16. Calvet, Laurent E. & Fisher, Adlai J., 2008. "Multifrequency jump-diffusions: An equilibrium approach," Journal of Mathematical Economics, Elsevier, vol. 44(2), pages 207-226, January.
    17. 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.
    18. Bjørn Eraker & Ivan Shaliastovich, 2008. "An Equilibrium Guide To Designing Affine Pricing Models," Mathematical Finance, Wiley Blackwell, vol. 18(4), pages 519-543, October.
    19. Elminejad, Ali & Havranek, Tomas & Irsova, Zuzana, 2022. "Relative Risk Aversion: A Meta-Analysis," EconStor Preprints 260586, ZBW - Leibniz Information Centre for Economics.
    20. Nestor Gandelman & Ruben Hernandez-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.
    21. 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.
    22. Nestor Gandelman & Ruben Hernandez-Murillo, 2014. "Risk Aversion at the Country Level," Working Papers 2014-5, Federal Reserve Bank of St. Louis.
    23. 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.
    24. Sergei Koulayev & Marc Rysman & Scott Schuh & Joanna Stavins, 2016. "Explaining adoption and use of payment instruments by US consumers," RAND Journal of Economics, RAND Corporation, vol. 47(2), pages 293-325, May.
    25. Bertholon, H. & Monfort, A. & Pegoraro, F., 2007. "Pricing and Inference with Mixtures of Conditionally Normal Processes," Working papers 188, Banque de France.
    26. 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, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    27. Le, Van & Zurbruegg, Ralf, 2014. "Forecasting option smile dynamics," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 32-45.
    28. David Backus & Mikhail Chernov & Ian Martin, 2011. "Disasters Implied by Equity Index Options," Journal of Finance, American Finance Association, vol. 66(6), pages 1969-2012, December.
    29. Carol Alexandra & Emese Lazar, 2005. "The Continuous Limit of GARCH Processess," ICMA Centre Discussion Papers in Finance icma-dp2004-09, Henley Business School, University of Reading, revised Jul 2004.
    30. Godin, Frédéric & Lai, Van Son & Trottier, Denis-Alexandre, 2019. "Option pricing under regime-switching models: Novel approaches removing path-dependence," Insurance: Mathematics and Economics, Elsevier, vol. 87(C), pages 130-142.
    31. 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.
    32. 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.
    33. Shaliastovich, Ivan, 2015. "Learning, confidence, and option prices," Journal of Econometrics, Elsevier, vol. 187(1), pages 18-42.
    34. Horatio Cuesdeanu & Jens Carsten Jackwerth, 2018. "The pricing kernel puzzle: survey and outlook," Annals of Finance, Springer, vol. 14(3), pages 289-329, August.
    35. Constantinides, George M. & Jackwerth, Jens Carsten & Perrakis, Stylianos, 2005. "Option pricing: Real and risk-neutral distributions," CoFE Discussion Papers 05/06, University of Konstanz, Center of Finance and Econometrics (CoFE).
    36. Shengli Chen & Zili Zhang, 2019. "Forecasting Implied Volatility Smile Surface via Deep Learning and Attention Mechanism," Papers 1912.11059, arXiv.org.
    37. Frédéric Godiny & Van Son Lai & Denis-Alexandre Trottier, 2019. "Option Pricing Under Regime-Switching Models: Novel Approaches Removing Path-Dependence," Working Papers 2019-014, Department of Research, Ipag Business School.
    38. Sergio Pastorello & Valentin Patilea & Eric Renault, 2003. "Iterative and Recursive Estimation in Structural Non-Adaptive Models," CIRANO Working Papers 2003s-08, CIRANO.
    39. Daglish, Toby & Maheu, John & McCurdy, Tom, 2008. "A Financial Metric for Comparing Volatility Models: Do Better Models Make Money?," Working Paper Series 19110, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.
    40. René Garcia & Eric Ghysels & Eric Renault, 2004. "The Econometrics of Option Pricing," CIRANO Working Papers 2004s-04, CIRANO.
    41. George M. Constantinides & Jens Carsten Jackwerth & Stylianos Perrakis, 2008. "Mispricing of S&P 500 Index Options," NBER Working Papers 14544, National Bureau of Economic Research, Inc.
    42. 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.
    43. 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.
    44. James D. Hamilton, 2016. "Macroeconomic Regimes and Regime Shifts," NBER Working Papers 21863, National Bureau of Economic Research, Inc.
    45. Han, Hyojin & Khrapov, Stanislav & Renault, Eric, 2020. "The leverage effect puzzle revisited: Identification in discrete time," Journal of Econometrics, Elsevier, vol. 217(2), pages 230-258.
    46. Tao Li, 2013. "Investors' Heterogeneity and Implied Volatility Smiles," Management Science, INFORMS, vol. 59(10), pages 2392-2412, October.
    47. 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.
    48. Marianna Oliskevych & Iryna Lukianenko, 2020. "European unemployment nonlinear dynamics over the business cycles: Markov switching approach," Global Business and Economics Review, Inderscience Enterprises Ltd, vol. 22(4), pages 375-401.
    49. Aivazian, Sergey & Bereznyatskiy, Alexander & Brodsky, Boris & Darkhovsky, Boris, 2015. "Statistical analysis of variable-structure models," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 39(3), pages 84-105.
    50. Liao, Wen Ju & Sung, Hao-Chang, 2020. "Implied risk aversion and pricing kernel in the FTSE 100 index," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    51. 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.
    52. Cesteros, Santiago Rodrigo, 2018. "Sobre volatilidad macroeconómica y dolarización de la riqueza: el caso argentino [On macroeconomic volatility and wealth dollarization: the Argentine case]," MPRA Paper 88968, University Library of Munich, Germany.
    53. Wan-Ni Lai, 2014. "Comparison of methods to estimate option implied risk-neutral densities," Quantitative Finance, Taylor & Francis Journals, vol. 14(10), pages 1839-1855, October.

  31. René Garcia & Huntley Schaller, 1999. "Are the Effects of Monetary Policy Asymmetric?," Carleton Economic Papers 99-17, Carleton University, Department of Economics.

    Cited by:

    1. Michael T. Owyang & Jeremy Piger & Daniel Soques, 2022. "Contagious switching," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(2), pages 415-432, March.
    2. Fergus Cumming & Paul Hubert, 2019. "The role of households' borrowing constraints in the transmission of monetary policy," SciencePo Working papers Main hal-03403257, HAL.
    3. Munehisa Kasuya, 2005. "Regime-switching approach to monetary policy effects," Applied Economics, Taylor & Francis Journals, vol. 37(3), pages 307-326.
    4. Patrick A. Imam, 2015. "Shock from Graying: Is the Demographic Shift Weakening Monetary Policy Effectiveness," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 20(2), pages 138-154, March.
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  32. René Garcia & Eric Renault, 1999. "Latent Variable Models for Stochastic Discount Factors," CIRANO Working Papers 99s-47, CIRANO.

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    2. René Garcia & Eric Ghysels & Eric Renault, 2004. "The Econometrics of Option Pricing," CIRANO Working Papers 2004s-04, CIRANO.
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  33. René Garcia & Eric Renault, 1998. "Risk Aversion, Intertemporal Substitution, and Option Pricing," CIRANO Working Papers 98s-02, CIRANO.

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    2. 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.
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    12. René Garcia & Richard Luger & Eric Renault, 2001. "Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note : Nouvelle version Février 2002)," CIRANO Working Papers 2001s-02, CIRANO.

  34. René Garcia & Ramazan Gençay, 1998. "Pricing and Hedging Derivative Securities with Neural Networks and a Homogeneity Hint," CIRANO Working Papers 98s-35, CIRANO.

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    1. Jun, Doobae & Ku, Hyejin, 2015. "Static hedging of chained-type barrier options," The North American Journal of Economics and Finance, Elsevier, vol. 33(C), pages 317-327.
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    3. Benatia, David & Carrasco, Marine & Florens, Jean-Pierre, 2017. "Functional linear regression with functional response," Journal of Econometrics, Elsevier, vol. 201(2), pages 269-291.
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    5. Bondarenko, Oleg, 2003. "Estimation of risk-neutral densities using positive convolution approximation," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 85-112.
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    8. Qi, Min, 2001. "Predicting US recessions with leading indicators via neural network models," International Journal of Forecasting, Elsevier, vol. 17(3), pages 383-401.
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    10. Mark T. Leung & An‐Sing Chen & Ruben Mancha, 2009. "Making trading decisions for financial‐engineered derivatives: a novel ensemble of neural networks using information content," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 16(4), pages 257-277, October.
    11. Marc Chataigner & St'ephane Cr'epey & Matthew Dixon, 2020. "Deep Local Volatility," Papers 2007.10462, arXiv.org.
    12. Qi, Min & Wu, Yangru, 2003. "Nonlinear prediction of exchange rates with monetary fundamentals," Journal of Empirical Finance, Elsevier, vol. 10(5), pages 623-640, December.
    13. G.C. Lim & G.M. Martin & V.L. Martin, 2002. "Parametric Pricing of Higher Order Moments in S&P500 Options," Monash Econometrics and Business Statistics Working Papers 1/02, Monash University, Department of Econometrics and Business Statistics.
    14. Khurshid Kiani, 2011. "Fluctuations in Economic and Activity and Stabilization Policies in the CIS," Computational Economics, Springer;Society for Computational Economics, vol. 37(2), pages 193-220, February.
    15. Gunter Meissner & Noriko Kawano, 2001. "Capturing the volatility smile of options on high-tech stocks—A combined GARCH-neural network approach," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 25(3), pages 276-292, September.
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    17. Khurshid M. KIANI & Terry L. KASTENS, 2006. "Using Macro-Financial Variables To Forecast Recessions. An Analysis Of Canada, 1957-2002," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 6(3).
    18. Jing Yang & Nikola Gradojevic, 2006. "Non-linear, non-parametric, non-fundamental exchange rate forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(4), pages 227-245.
    19. Arifovic, Jasmina & Gençay, Ramazan, 2001. "Using genetic algorithms to select architecture of a feedforward artificial neural network," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 289(3), pages 574-594.
    20. GARCIA, René & RENAULT, Éric, 1998. "Risk Aversion, Intertemporal Substitution, and Option Pricing," Cahiers de recherche 9801, Universite de Montreal, Departement de sciences economiques.
    21. Raquel M. Gaspar & Sara D. Lopes & Bernardo Sequeira, 2020. "Neural Network pricing of American put options," Working Papers REM 2020/0122, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
    22. Yongxin Yang & Yu Zheng & Timothy M. Hospedales, 2016. "Gated Neural Networks for Option Pricing: Rationality by Design," Papers 1609.07472, arXiv.org, revised Mar 2020.
    23. Chen, Rui & Ren, Jinjuan, 2022. "Do AI-powered mutual funds perform better?," Finance Research Letters, Elsevier, vol. 47(PA).
    24. M. Ryan Haley & Todd B. Walker, 2010. "Alternative tilts for nonparametric option pricing," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 30(10), pages 983-1006, October.
    25. Panayiotis Andreou & Chris Charalambous & Spiros Martzoukos, 2006. "Robust Artificial Neural Networks for Pricing of European Options," Computational Economics, Springer;Society for Computational Economics, vol. 27(2), pages 329-351, May.
    26. Aneessa Firdaus Jumoorty & Ruben Thoplan & Jason Narsoo, 2023. "High frequency volatility forecasting: A new approach using a hybrid ANN‐MC‐GARCH model," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 4156-4175, October.
    27. Healy, Jerome V. & Dixon, Maurice & Read, Brian J. & Cai, Fang Fang, 2007. "Non-parametric extraction of implied asset price distributions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 382(1), pages 121-128.
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    29. Arindam Kundu & Sumit Kumar & Nutan Kumar Tomar, 2019. "Option Implied Risk-Neutral Density Estimation: A Robust and Flexible Method," Computational Economics, Springer;Society for Computational Economics, vol. 54(2), pages 705-728, August.
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    32. Nikola Gradojevic, 2021. "Brexit and foreign exchange market expectations: Could it have been predicted?," Annals of Operations Research, Springer, vol. 297(1), pages 167-189, February.
    33. Cao, Yi & Liu, Xiaoquan & Zhai, Jia, 2021. "Option valuation under no-arbitrage constraints with neural networks," European Journal of Operational Research, Elsevier, vol. 293(1), pages 361-374.
    34. Marc Chataigner & Stéphane Crépey & Matthew Dixon, 2020. "Deep Local Volatility," Post-Print hal-03910122, HAL.
    35. Shota Imaki & Kentaro Imajo & Katsuya Ito & Kentaro Minami & Kei Nakagawa, 2021. "No-Transaction Band Network: A Neural Network Architecture for Efficient Deep Hedging," Papers 2103.01775, arXiv.org.
    36. Gagliardini, Patrick & Ronchetti, Diego, 2013. "Semi-parametric estimation of American option prices," Journal of Econometrics, Elsevier, vol. 173(1), pages 57-82.
    37. Yanhui Shen, 2023. "American Option Pricing using Self-Attention GRU and Shapley Value Interpretation," Papers 2310.12500, arXiv.org.
    38. Johannes Ruf & Weiguan Wang, 2019. "Neural networks for option pricing and hedging: a literature review," Papers 1911.05620, arXiv.org, revised May 2020.
    39. Ramazan Gencay & Nikola Gradojevic, 2009. "Crash of '87 - Was it Expected? Aggregate Market Fears and Long Range Dependence," Working Paper series 28_09, Rimini Centre for Economic Analysis.
    40. Khurshid Kiani & Terry Kastens, 2008. "Testing Forecast Accuracy of Foreign Exchange Rates: Predictions from Feed Forward and Various Recurrent Neural Network Architectures," Computational Economics, Springer;Society for Computational Economics, vol. 32(4), pages 383-406, November.
    41. Marcos Vizcaíno-González & Juan Pineiro-Chousa & Jorge Sáinz-González, 2017. "Selecting explanatory factors of voting decisions by means of fsQCA and ANN," Quality & Quantity: International Journal of Methodology, Springer, vol. 51(5), pages 2049-2061, September.
    42. Anindya Goswami & Sharan Rajani & Atharva Tanksale, 2020. "Data-Driven Option Pricing using Single and Multi-Asset Supervised Learning," Papers 2008.00462, arXiv.org, revised Dec 2020.
    43. Yasuhiko Nakamura, 2008. "On Forecasting Recessions via Neural Nets," Economics Bulletin, AccessEcon, vol. 3(13), pages 1-15.
    44. Emmanuel Numapau Gyamfi & Kwabena A. Kyei, 2016. "Modeling Stock Market Returns under Self-exciting Threshold Autoregressive Model: Evidence from West Africa," International Journal of Economics and Financial Issues, Econjournals, vol. 6(3), pages 1194-1199.
    45. Fei Chen & Charles Sutcliffe, 2012. "Pricing And Hedging Short Sterling Options Using Neural Networks," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 19(2), pages 128-149, April.
    46. Nowman, K. Ben & Saltoglu, Burak, 2003. "Continuous time and nonparametric modelling of U.S. interest rate models," International Review of Financial Analysis, Elsevier, vol. 12(1), pages 25-34.
    47. Shuaiqiang Liu & Cornelis W. Oosterlee & Sander M. Bohte, 2019. "Pricing Options and Computing Implied Volatilities using Neural Networks," Risks, MDPI, vol. 7(1), pages 1-22, February.
    48. Francisco Ledesma-Rodríguez & Manuel Navarro-Ibáñez & Jorge Pérez-Rodríguez & Simón Sosvilla-Rivero, "undated". "Assessing the credibility of a target zone: Evidence from the EMS," Working Papers 2001-04, FEDEA.
    49. Renée Fry-McKibbin & Vance Martin & Chrismin Tang, 2013. "Financial Contagion and Asset Pricing," CAMA Working Papers 2013-61, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    50. Yatchew, Adonis & Hardle, Wolfgang, 2006. "Nonparametric state price density estimation using constrained least squares and the bootstrap," Journal of Econometrics, Elsevier, vol. 133(2), pages 579-599, August.
    51. Andreou, Panayiotis C. & Charalambous, Chris & Martzoukos, Spiros H., 2008. "Pricing and trading European options by combining artificial neural networks and parametric models with implied parameters," European Journal of Operational Research, Elsevier, vol. 185(3), pages 1415-1433, March.
    52. Thierry Warin & Aleksandar Stojkov, 2021. "Machine Learning in Finance: A Metadata-Based Systematic Review of the Literature," JRFM, MDPI, vol. 14(7), pages 1-31, July.
    53. Haven, Emmanuel & Liu, Xiaoquan & Ma, Chenghu & Shen, Liya, 2009. "Revealing the implied risk-neutral MGF from options: The wavelet method," Journal of Economic Dynamics and Control, Elsevier, vol. 33(3), pages 692-709, March.
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    55. Kiani, K.M., 2009. "Neural Networks to Detect Nonlinearities in Time Series: Analysis of Business Cycle in France and the United Kingdom," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 9(1).
    56. Marc Chataigner & Stéphane Crépey & Jiang Pu, 2020. "Nowcasting Networks," Post-Print hal-03910123, HAL.
    57. Qi, Min & Zhang, Guoqiang Peter, 2001. "An investigation of model selection criteria for neural network time series forecasting," European Journal of Operational Research, Elsevier, vol. 132(3), pages 666-680, August.
    58. Ryno du Plooy & Pierre J. Venter, 2021. "A Comparison of Artificial Neural Networks and Bootstrap Aggregating Ensembles in a Modern Financial Derivative Pricing Framework," JRFM, MDPI, vol. 14(6), pages 1-18, June.
    59. Bildirici, Melike & Alp, Aykaç, 2008. "The Relationship Between Wages and Productivity: TAR Unit Root and TAR Cointegration Approach," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 5(1), pages 93-110.
    60. Henrik Amilon, 2003. "A neural network versus Black-Scholes: a comparison of pricing and hedging performances," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 22(4), pages 317-335.
    61. Marc Chataigner & Stéphane Crépey & Matthew Dixon, 2020. "Deep Local Volatility," Risks, MDPI, vol. 8(3), pages 1-18, August.
    62. Khurshid M. Kiani, 2007. "Asymmetric Business Cycle Fluctuations and Contagion Effects in G7 Countries," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 6(3), pages 237-253, December.
    63. Yuji Yamada, 2012. "Properties of Optimal Smooth Functions in Additive Models for Hedging Multivariate Derivatives," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 19(2), pages 149-179, May.
    64. Liu, Xiaoquan & Cao, Yi & Ma, Chenghu & Shen, Liya, 2019. "Wavelet-based option pricing: An empirical study," European Journal of Operational Research, Elsevier, vol. 272(3), pages 1132-1142.
    65. Jaegi Jeon & Kyunghyun Park & Jeonggyu Huh, 2021. "Extensive networks would eliminate the demand for pricing formulas," Papers 2101.09064, arXiv.org.
    66. Qi, Min & Yang, Sha, 2003. "Forecasting consumer credit card adoption: what can we learn about the utility function?," International Journal of Forecasting, Elsevier, vol. 19(1), pages 71-85.
    67. René Garcia & Eric Ghysels & Eric Renault, 2004. "The Econometrics of Option Pricing," CIRANO Working Papers 2004s-04, CIRANO.
    68. Hammad Siddiqi & Sajid Anwar, 2020. "The Pricing Kernel Puzzle: A Real Phenomenon or a Statistical Artifact?," International Review of Finance, International Review of Finance Ltd., vol. 20(2), pages 485-491, June.
    69. Marc Chataigner & Stephane Crepey & Jiang Pu, 2020. "Nowcasting Networks," Papers 2011.13687, arXiv.org.
    70. Daniel Doyle & Chris Groendyke, 2018. "Using Neural Networks to Price and Hedge Variable Annuity Guarantees," Risks, MDPI, vol. 7(1), pages 1-19, December.
    71. Samuel N. Cohen & Derek Snow & Lukasz Szpruch, 2021. "Black-box model risk in finance," Papers 2102.04757, arXiv.org.
    72. Julia Bennell & Charles Sutcliffe, 2004. "Black–Scholes versus artificial neural networks in pricing FTSE 100 options," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 12(4), pages 243-260, October.
    73. Bernd Engelmann & Matthias Fengler & Morten Nalholm & Peter Schwendner, 2006. "Static versus dynamic hedges: an empirical comparison for barrier options," Review of Derivatives Research, Springer, vol. 9(3), pages 239-264, November.
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    79. Gradojevic, Nikola & Kukolj, Dragan & Adcock, Robert & Djakovic, Vladimir, 2023. "Forecasting Bitcoin with technical analysis: A not-so-random forest?," International Journal of Forecasting, Elsevier, vol. 39(1), pages 1-17.
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  35. René Garcia & Eric Renault, 1997. "A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models," CIRANO Working Papers 97s-13, CIRANO.

    Cited by:

    1. Maciej Augustyniak & Frédéric Godin & Clarence Simard, 2017. "Assessing the effectiveness of local and global quadratic hedging under GARCH models," Quantitative Finance, Taylor & Francis Journals, vol. 17(9), pages 1305-1318, September.
    2. GARCIA, René & RENAULT, Éric, 1998. "Risk Aversion, Intertemporal Substitution, and Option Pricing," Cahiers de recherche 9801, Universite de Montreal, Departement de sciences economiques.
    3. Matthias Fengler & Helmut Herwartz & Christian Werner, 2010. "A dynamic copula approach to recovering the index implied volatility skew," University of St. Gallen Department of Economics working paper series 2010 1132, Department of Economics, University of St. Gallen, revised Nov 2011.
    4. BAUWENS , Luc & LUBRANO, Michel, 2002. "Bayesian option pricing using asymmetric GARCH models," LIDAM Reprints CORE 1569, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    5. Fengler, Matthias R. & Hin, Lin-Yee, 2015. "Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints," Journal of Econometrics, Elsevier, vol. 184(2), pages 242-261.
    6. Jin-Chuan Duan & Peter H. Ritchken & Zhiqiang Sun, 2006. "Jump starting GARCH: pricing and hedging options with jumps in returns and volatilities," Working Papers (Old Series) 0619, Federal Reserve Bank of Cleveland.
    7. Peter Christoffersen & Kris Jacobs, 2002. "Which Volatility Model for Option Valuation?," CIRANO Working Papers 2002s-33, CIRANO.
    8. Jean Pierre Fernández Prada Saucedo & Gabriel Rodríguez, 2020. "Modeling the Volatility of Returns on Commodities: An Application and Empirical Comparison of GARCH and SV Models," Documentos de Trabajo / Working Papers 2020-484, Departamento de Economía - Pontificia Universidad Católica del Perú.
    9. Peter Christoffersen & Kris Jacobs, 2004. "Which GARCH Model for Option Valuation?," Management Science, INFORMS, vol. 50(9), pages 1204-1221, September.
    10. Bruno R'emillard & Sylvain Rubenthaler, 2012. "Optimal hedging in discrete time," Papers 1211.5035, arXiv.org.
    11. Maciej Augustyniak & Alexandru Badescu, 2021. "On the computation of hedging strategies in affine GARCH models," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(5), pages 710-735, May.

  36. Marco Bonomo & René Garcia, 1997. "Tests of Conditional Asset Pricing Models in the Brazilian Stock Market," CIRANO Working Papers 97s-20, CIRANO.

    Cited by:

    1. Cavalcante-Filho, Elias & Chague, Fernando & De-Losso, Rodrigo & Giovannetti, Bruno, 2022. "US risk premia under emerging markets constraints," Journal of Empirical Finance, Elsevier, vol. 67(C), pages 217-230.
    2. Garcia, Rene & Ghysels, Eric, 1998. "Structural change and asset pricing in emerging markets," Journal of International Money and Finance, Elsevier, vol. 17(3), pages 455-473, June.
    3. Eurilton Araújo & Ricardo D. Brito & Antônio Z. Sanvicente, 2020. "Long-term stock returns in Brazil: volatile equity returns for U.S.-like investors," Working Papers Series 525, Central Bank of Brazil, Research Department.
    4. Grandes, Martin & Panigo, Demian T. & Pasquini, Ricardo A., 2010. "On the estimation of the cost of equity in Latin America," Emerging Markets Review, Elsevier, vol. 11(4), pages 373-389, December.
    5. Carrasco Gutierrez, Carlos Enrique & Peixoto Messias, Iasmin Emillyn, 2022. "Macroeconomic factors and value and growth strategies: evidence from Brazil," MPRA Paper 114875, University Library of Munich, Germany.
    6. Octavio Portolano Machado & Adriana Bruscato Bortoluzzo & Sérgio Ricardo Martins & Antonio Zoratto Sanvicente, 2013. "Inter-temporal CAPM: an empirical test with Brazilian market data," Brazilian Review of Finance, Brazilian Society of Finance, vol. 11(2), pages 149-180.
    7. Tabak, Benjamin M. & Staub, Roberta B., 2007. "Assessing financial instability: The case of Brazil," Research in International Business and Finance, Elsevier, vol. 21(2), pages 188-202, June.
    8. Marcelo Savino Portugal & Angelo Marsiglia Fasolo, 2004. "Imperfect Rationality and Inflationary Inertia: A New Estimation of the Phillips Curve for Brazil," Econometric Society 2004 Latin American Meetings 5, Econometric Society.
    9. Rafique, Amir & Iqbal, Khurram & Zakaria, Muhammad & Mujtaba, Ghulam, 2019. "Investigating ICAPM with mean-reverting dynamic conditional correlation: Evidence from an emerging stock exchange," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 514-523.
    10. Andrade, Sandro C., 2009. "A model of asset pricing under country risk," Journal of International Money and Finance, Elsevier, vol. 28(4), pages 671-695, June.
    11. Garcia, René, 1998. "Modèles d’évaluation des actifs financiers dans les marchés boursiers en émergence : identification des facteurs de risque et tests de changement structurel," L'Actualité Economique, Société Canadienne de Science Economique, vol. 74(3), pages 467-484, septembre.
    12. Atakan Yalçın & Nuri Ersşahin, 2011. "Does the Conditional CAPM Work? Evidence from the Istanbul Stock Exchange," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 47(4), pages 28-48, July.

  37. René Garcia & Eric Ghysels, 1996. "Structural Change and Asset Pricing in Emerging Markets," CIRANO Working Papers 96s-34, CIRANO.

    Cited by:

    1. Bekaert, Geert & Harvey, Campbell R., 2003. "Emerging markets finance," Journal of Empirical Finance, Elsevier, vol. 10(1-2), pages 3-56, February.
    2. Ghysels, E., 1995. "On Stable Factor Structurs in the Pricing of Risk," Cahiers de recherche 9525, Universite de Montreal, Departement de sciences economiques.
    3. Alexei Goriaev & Alexei Zabotkin, 2006. "Risks of investing in the Russian stock market: Lessons of the first decade," Working Papers w0077, New Economic School (NES).
    4. Sara Azher & Javed Iqbal, 2018. "Testing Conditional Asset Pricing in Pakistan: The Role of Value-at-risk and Illiquidity Factors," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 17(2_suppl), pages 259-281, August.
    5. BONOMO, Marco & GARCIA, René, 1997. "Tests of Conditional Asset Pricing Models in the Brazilian Stock Market," Cahiers de recherche 9715, Universite de Montreal, Departement de sciences economiques.
    6. Barr, David G. & Priestley, Richard, 2004. "Expected returns, risk and the integration of international bond markets," Journal of International Money and Finance, Elsevier, vol. 23(1), pages 71-97, February.
    7. Raphael Markellos & Terence Mills, 2003. "Asset pricing dynamics," The European Journal of Finance, Taylor & Francis Journals, vol. 9(6), pages 533-556.
    8. Alfred Mbairadjim Moussa & Jules Sadefo Kamdem & Arnold F. Shapiro & Michel Terraza, 2012. "Capital asset pricing model with fuzzy returns and hypothesis testing," Working Papers 12-33, LAMETA, Universtiy of Montpellier, revised Sep 2012.
    9. Jan, Yin-Ching & Chou, Peter Shyan-Rong & Hung, Mao-Wei, 2000. "Pacific Basin stock markets and international capital asset pricing," Global Finance Journal, Elsevier, vol. 11(1-2), pages 1-16.
    10. Abel, Ernest & Fletcher, Jonathan, 2004. "An empirical examination of UK emerging market unit trust performance," Emerging Markets Review, Elsevier, vol. 5(4), pages 389-408, December.
    11. Elena Andreou & Eric Ghysels, 2003. "Test for Breaks in the Conditional Co-Movements of Asset Returns," University of Cyprus Working Papers in Economics 3-2003, University of Cyprus Department of Economics.
    12. Bekaert, Geert & Harvey, Campbell R. & Lumsdaine, Robin L., 2002. "Dating the integration of world equity markets," Journal of Financial Economics, Elsevier, vol. 65(2), pages 203-247, August.
    13. Gulnur Muradoglu & Hakan Berument & Kivilcim Metin, 1999. "Financial Crisis and Changes in Determinants of Risk and Return: An Empirical Investigation of an Emerging Market (ISE)," Multinational Finance Journal, Multinational Finance Journal, vol. 3(4), pages 223-252, December.
    14. Kodongo, Odongo & Ojah, Kalu, 2014. "The conditional pricing of currency and inflation risks in Africa's equity markets," MPRA Paper 56100, University Library of Munich, Germany.
    15. Iqbal, Javed & Brooks, Robert & Galagedera, Don U.A., 2010. "Testing conditional asset pricing models: An emerging market perspective," Journal of International Money and Finance, Elsevier, vol. 29(5), pages 897-918, September.
    16. Kodjovi G. Assoe, 1998. "Regime-Switching in Emerging Stock Market Returns," Multinational Finance Journal, Multinational Finance Journal, vol. 2(2), pages 101-132, June.
    17. Mbairadjim Moussa, A. & Sadefo Kamdem, J. & Shapiro, A.F. & Terraza, M., 2014. "CAPM with fuzzy returns and hypothesis testing," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 40-57.
    18. Harry J. Turtle & Chengping Zhang, 2015. "Structural breaks and portfolio performance in global equity markets," Quantitative Finance, Taylor & Francis Journals, vol. 15(6), pages 909-922, June.
    19. Ramazan Genay & Faruk Seļuk & Brandon Whitcher, 2003. "Systematic risk and timescales," Quantitative Finance, Taylor & Francis Journals, vol. 3(2), pages 108-116.
    20. Shabir Ahmad Hakim & Zarinah Hamid & Ahamed Kameel Mydin Meera, 2016. "Capital Asset Pricing Model and Pricing of Islamic Financial Instruments نموذج تسعير الأصول الرأسمالية وتسعير الأدوات المالية الإسلامية," Journal of King Abdulaziz University: Islamic Economics, King Abdulaziz University, Islamic Economics Institute., vol. 29(1), pages 21-39, January.
    21. Hooker, Mark A., 2004. "Macroeconomic factors and emerging market equity returns: a Bayesian model selection approach," Emerging Markets Review, Elsevier, vol. 5(4), pages 379-387, December.
    22. Gencay, Ramazan & Selcuk, Faruk & Whitcher, Brandon, 2005. "Multiscale systematic risk," Journal of International Money and Finance, Elsevier, vol. 24(1), pages 55-70, February.
    23. Rua, António & Nunes, Luis C., 2012. "A wavelet-based assessment of market risk: The emerging markets case," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(1), pages 84-92.
    24. Odongo Kodongo & Kalu Ojah, 2018. "Conditional Pricing of Currency Risk in Africa's Equity Market," Working Papers 354, African Economic Research Consortium, Research Department.
    25. Aue, Alexander & Gabrys, Robertas & Horváth, Lajos & Kokoszka, Piotr, 2009. "Estimation of a change-point in the mean function of functional data," Journal of Multivariate Analysis, Elsevier, vol. 100(10), pages 2254-2269, November.
    26. Henry Aray, 2006. "The Latin American and Spanish Stock markets," ThE Papers 06/12, Department of Economic Theory and Economic History of the University of Granada..
    27. Boyer, Marcel & Cherkaoui, Mouna & Ghysels, Eric, 1997. "L’intégration des marchés émergents et la modélisation des rendements des actifs risqués," L'Actualité Economique, Société Canadienne de Science Economique, vol. 73(1), pages 311-330, mars-juin.
    28. Masih, Mansur & Alzahrani, Mohammed & Al-Titi, Omar, 2010. "Systematic risk and time scales: New evidence from an application of wavelet approach to the emerging Gulf stock markets," International Review of Financial Analysis, Elsevier, vol. 19(1), pages 10-18, January.
    29. Ho-Chuan Huang & Wan-hsiu Cheng, 2005. "Tests of the CAPM under structural changes," International Economic Journal, Taylor & Francis Journals, vol. 19(4), pages 523-541.
    30. Garcia, René, 1998. "Modèles d’évaluation des actifs financiers dans les marchés boursiers en émergence : identification des facteurs de risque et tests de changement structurel," L'Actualité Economique, Société Canadienne de Science Economique, vol. 74(3), pages 467-484, septembre.
    31. Atakan Yalçın & Nuri Ersşahin, 2011. "Does the Conditional CAPM Work? Evidence from the Istanbul Stock Exchange," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 47(4), pages 28-48, July.

  38. René Garcia & Eric Ghysels & Maral Kichian, 1995. "On the Dynamic Specification of International Asset Pricing Models," CIRANO Working Papers 95s-39, CIRANO.

    Cited by:

    1. Amigues, J-P & Favard, P. & Gaudet, G. & Moreaux, M, 1996. "On the Optimal Order of Natural Resource Use When the Capacity of the Inexhaustible Substitute is Limited," Cahiers de recherche 9628, Centre interuniversitaire de recherche en économie quantitative, CIREQ.

  39. René Garcia & Pierre Perron, 1995. "An Analysis of the Real Interest Rate Under Regime Shifts," CIRANO Working Papers 95s-05, CIRANO.

    Cited by:

    1. Driffill, John & Sola, Martin & Kenc, Turalay & Spagnolo, Fabio, 2004. "On Model Selection and Markov Switching: A Empirical Examination of Term Structure Models with Regime Shifts," CEPR Discussion Papers 4165, C.E.P.R. Discussion Papers.
    2. Michael T. Owyang & Jeremy Piger & Daniel Soques, 2022. "Contagious switching," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(2), pages 415-432, March.
    3. Walid Chkili & Duc Khuong Nguyen, 2014. "Exchange rate movements and stock market returns in a regime-switching environment: Evidence for BRICS countries," Working Papers 2014-388, Department of Research, Ipag Business School.
    4. Manuela Goretti, 2005. "The Brazilian Currency Turmoil of 2002: A Nonlinear Analysis," International Finance 0506001, University Library of Munich, Germany.
    5. Abi Morshed, Alaa & Andreou, E. & Boldea, Otilia, 2016. "Structural Break Tests Robust to Regression Misspecification," Discussion Paper 2016-019, Tilburg University, Center for Economic Research.
    6. Frank Atkins & Milanda Chan, 2004. "Trend breaks and the fisher hypothesis in canada and the United States," Applied Economics, Taylor & Francis Journals, vol. 36(17), pages 1907-1913.
    7. Rashid, Abdul & Kandemir, Ӧzge, 2016. "Variations in energy use and output growth dynamics: An assessment for intertemporal and contemporaneous relationship," Energy, Elsevier, vol. 102(C), pages 388-396.
    8. Gregory Galay & Henry Thille, 2021. "Pipeline capacity and the dynamics of Alberta crude oil price spreads," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 54(3), pages 1072-1102, November.
    9. Dave, Chetan & Dressler, Scott, 2007. "Market structure and business cycles: Do nominal rigidities influence the importance of real shocks?," MPRA Paper 1794, University Library of Munich, Germany.
    10. Pesaran, M.H. & Pettenuzzo, D. & Timmermann, A., 2006. "Learning, Structural Instability and Present Value Calculations," Cambridge Working Papers in Economics 0602, Faculty of Economics, University of Cambridge.
    11. Chihiro Shimizu & Kiyohiko G. Nishimura & Yasushi Asami, 2003. "Measuring the Cost of Imperfect Information in the Tokyo Housing Market," CIRJE F-Series CIRJE-F-238, CIRJE, Faculty of Economics, University of Tokyo.
    12. Christopher J. Neely & David E. Rapach, 2008. "Real interest rate persistence: evidence and implications," Review, Federal Reserve Bank of St. Louis, vol. 90(Nov), pages 609-642.
    13. Óscar Bajo Rubio & Carmen Díaz Roldán & Vicente Esteve, 2004. "Is the Fisher Effect Nonlinear? Some Evidence for Spain, 1963-2002," Economic Working Papers at Centro de Estudios Andaluces E2004/05, Centro de Estudios Andaluces.
    14. Ang, Andrew & Bekaert, Geert, 2002. "Regime Switches in Interest Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(2), pages 163-182, April.
    15. Mccloskey, Adam & Perron, Pierre, 2013. "Memory Parameter Estimation In The Presence Of Level Shifts And Deterministic Trends," Econometric Theory, Cambridge University Press, vol. 29(6), pages 1196-1237, December.
    16. Onour, Ibrahim, 2021. "The impact of the covid-19 pandemic on major Asian stock markets: evidence of decoupling effects," MPRA Paper 115994, University Library of Munich, Germany.
    17. Wajih Khallouli & Rene Sandretto, 2011. "Testing for “Contagion” of the Subprime Crisis on the Middle East And North African Stock Markets: A Markov Switching EGARCH Approach," Working Papers 609, Economic Research Forum, revised 08 Jan 2011.
    18. Geweke, John & Jiang, Yu, 2011. "Inference and prediction in a multiple-structural-break model," Journal of Econometrics, Elsevier, vol. 163(2), pages 172-185, August.
    19. WenShwo Fang & Stephen M. Miller & ChunShen Lee, 2007. "Cross-Country Evidence on Output Growth Volatility: Nonstationary Variance and GARCH Models," Working papers 2007-20, University of Connecticut, Department of Economics, revised Mar 2008.
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    1. Klaassen, F.J.G.M., 1999. "Long Swings in Exchange Rates : Are They Really in the Data?," Other publications TiSEM a54d23f3-13a8-458c-9f80-2, Tilburg University, School of Economics and Management.
    2. Sprumont, Y., 1995. "On the Game-Theoretic Structure of Public-Good Economies," Cahiers de recherche 9519, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    3. Marco antonio Bonomo & Rene Garcia, 1992. "Consumption and equilibrium asset pricing: An empirical assessment," Textos para discussão 284, Department of Economics PUC-Rio (Brazil).
    4. Amigues, J-P & Favard, P. & Gaudet, G. & Moreaux, M, 1996. "On the Optimal Order of Natural Resource Use When the Capacity of the Inexhaustible Substitute is Limited," Cahiers de recherche 9628, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    5. Edoardo Otranto & Giampiero Gallo, 2002. "A Nonparametric Bayesian Approach To Detect The Number Of Regimes In Markov Switching Models," Econometric Reviews, Taylor & Francis Journals, vol. 21(4), pages 477-496.
    6. I.Fatnassi & S.Chawechi & Z.Ftiti & A.Ben Maatoug, 2014. "Effects of Monetary Policy on the REIT Returns," Working Papers 2014-63, Department of Research, Ipag Business School.
    7. James Morley, 2000. "Is There a Positive Intertemporal Tradeoff Between Risk and Return After All?," Econometric Society World Congress 2000 Contributed Papers 0915, Econometric Society.
    8. Giampiero M. Gallo & Edoardo Otranto, 2014. "Forecasting Realized Volatility with Changes of Regimes," Econometrics Working Papers Archive 2014_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", revised Feb 2014.
    9. Pesaran, H.M. & Ruge-Murcia, F.J., 1995. "A Discrete-Time Version of Target Zone Models with Jumps," Cambridge Working Papers in Economics 9513, Faculty of Economics, University of Cambridge.
    10. Fatnassi, Ibrahim & Slim, Chaouachi & Ftiti, Zied & Ben Maatoug, Abderrazek, 2014. "Effects of monetary policy on the REIT returns: Evidence from the United Kingdom," Research in International Business and Finance, Elsevier, vol. 32(C), pages 15-26.

  43. Marco Bonomo & René Garcia, 1994. "Disappointment Aversion as a Solution to the Equity Premium and the Risk-Free Rate Puzzles," CIRANO Working Papers 94s-14, CIRANO.

    Cited by:

    1. René Garcia & Richard Luger & Eric Renault, 2001. "Asymmetric Smiles, Leverage Effects and Structural Parameters," CIRANO Working Papers 2001s-01, CIRANO.
    2. CAMPANALE, Claudio & CASTRO, Rui & CLEMENTI, Gian Luca, 2009. "Asset Pricing in a Production Economy with Chew-Dekel Preferences," Cahiers de recherche 10-2009, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    3. 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.
    4. Karim Abadir, 1999. "An introduction to hypergeometric functions for economists," Econometric Reviews, Taylor & Francis Journals, vol. 18(3), pages 287-330.
    5. Giovannetti, Bruno C., 2013. "Asset pricing under quantile utility maximization," Review of Financial Economics, Elsevier, vol. 22(4), pages 169-179.
    6. Marco antonio Bonomo & Rene Garcia, 1992. "Consumption and equilibrium asset pricing: An empirical assessment," Textos para discussão 284, Department of Economics PUC-Rio (Brazil).
    7. GARCIA, René & RENAULT, Éric, 1998. "Risk Aversion, Intertemporal Substitution, and Option Pricing," Cahiers de recherche 9801, Universite de Montreal, Departement de sciences economiques.
    8. Broer, Tobias & Kero, Afroditi, 2011. "Great Moderation or Great Mistake: Can rising confidence in low macro-risk explain the boom in asset prices?," CEPR Discussion Papers 8700, C.E.P.R. Discussion Papers.
    9. Rui Castro & Claudio Campanale & Gian Luca Clementi, 2007. "Asset Pricing in a General Equilibrium Production Economy with Chew-Dekel Risk Preferences," 2007 Meeting Papers 503, Society for Economic Dynamics.
    10. Bonomo, Marco & Garcia, René & Meddahi, Nour & Tédongap, Roméo, 2010. "Generalized Disappointment Aversion, Long Run Volatility Risk and Asset Prices," TSE Working Papers 10-187, Toulouse School of Economics (TSE).
    11. Bekaert, G.R.J. & Hodrick, R. & Marshall, D., 1997. "The implications of first-order risk aversion for asset market risk premiums," Other publications TiSEM 85c0b822-2525-4400-90af-1, Tilburg University, School of Economics and Management.
    12. V. I. Yukalov & D. Sornette & E. P. Yukalova, 2007. "Nonlinear Dynamical Model of Regime Switching Between Conventions and Business Cycles," Papers nlin/0701014, arXiv.org.
    13. Yukalov, V.I. & Sornette, D. & Yukalova, E.P., 2009. "Nonlinear dynamical model of regime switching between conventions and business cycles," Journal of Economic Behavior & Organization, Elsevier, vol. 70(1-2), pages 206-230, May.
    14. Larry G. Epstein & Angelo Melino, 1993. "A Revealed Preference Analysis of Asset Pricing Under Recursive Utility," NBER Working Papers 4524, National Bureau of Economic Research, Inc.
    15. Bekaert, Geert, 2001. "Editor's foreword to the special issue: "On the predictability of asset returns"," Journal of Empirical Finance, Elsevier, vol. 8(5), pages 451-457, December.
    16. René Garcia & Richard Luger & Eric Renault, 2001. "Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note : Nouvelle version Février 2002)," CIRANO Working Papers 2001s-02, CIRANO.

  44. Garcia, R. & Bonomo, M., 1992. "Indexation, Staggering and Disinflation," Cahiers de recherche 9226, Universite de Montreal, Departement de sciences economiques.

    Cited by:

    1. Esteban Jadresic, 2002. "The Macroeconomic COnsequences of Wage Indexation Revisited," Central Banking, Analysis, and Economic Policies Book Series, in: Fernando Lefort & Klaus Schmidt-Hebbel & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (Serie (ed.),Indexation, Inflation and Monetary Policy, edition 1, volume 2, chapter 8, pages 207-258, Central Bank of Chile.
    2. Mr. Esteban Jadresic, 1998. "The Macroeconomic Consequences of Wage Indexation Revisited," IMF Working Papers 1998/015, International Monetary Fund.
    3. Luis Óscar Herrera, 2002. "Indexation, Inflationary Inertia, and the Sacrifice Coefficient," Central Banking, Analysis, and Economic Policies Book Series, in: Fernando Lefort & Klaus Schmidt-Hebbel & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (Serie (ed.),Indexation, Inflation and Monetary Policy, edition 1, volume 2, chapter 7, pages 183-206, Central Bank of Chile.
    4. Esteban Jadresic, 1998. "The Macroeconomic Consequences of Wage Indexation Revisited," Working Papers Central Bank of Chile 35, Central Bank of Chile.
    5. Oscar Landerretche & Fernando Lefort & Rodrigo O. Valdés, 2002. "Causes and Consequences of Indexation: A Review of the Literature," Central Banking, Analysis, and Economic Policies Book Series, in: Fernando Lefort & Klaus Schmidt-Hebbel & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (Serie (ed.),Indexation, Inflation and Monetary Policy, edition 1, volume 2, chapter 2, pages 019-064, Central Bank of Chile.

  45. Bonomo, m. & Garcia, r., 1991. "Can Well-Fitted Equilibrium Asset Pricing Model Produce Mean Reversion?," Cahiers de recherche 9127, Universite de Montreal, Departement de sciences economiques.

    Cited by:

    1. Gabriel, Vasco J. & Psaradakis, Zacharias & Sola, Martin, 2002. "A simple method of testing for cointegration subject to multiple regime changes," Economics Letters, Elsevier, vol. 76(2), pages 213-221, July.
    2. 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.
    3. Marco antonio Bonomo & Rene Garcia, 1992. "Consumption and equilibrium asset pricing: An empirical assessment," Textos para discussão 284, Department of Economics PUC-Rio (Brazil).
    4. Martin Lettau & Sydney C. Ludvigson & Jessica A. Wachter, 2005. "The declining equity premium: what role does macroeconomic risk play?," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
    5. Moore, Bartholomew & Schaller, Huntley, 1996. "Learning, regime switches, and equilibrium asset pricing dynamics," Journal of Economic Dynamics and Control, Elsevier, vol. 20(6-7), pages 979-1006.
    6. Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2002. "Fractional integration and mean reversion in stock prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 42(3), pages 599-609.
    7. Zemcik, Petr, 2001. "Mean reversion in asset returns and time non-separable preferences," International Review of Economics & Finance, Elsevier, vol. 10(3), pages 223-245, July.
    8. Bouaddi, Mohammed & Larocque, Denis & Normandin, Michel, 2015. "Equity premia and state-dependent risks," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 393-409.
    9. Bonomo, Marco & Garcia, René & Meddahi, Nour & Tédongap, Roméo, 2015. "The long and the short of the risk-return trade-off," Journal of Econometrics, Elsevier, vol. 187(2), pages 580-592.
    10. Londono, Juan M. & Regúlez, Marta & Vázquez, Jesús, 2015. "An alternative view of the US price–dividend ratio dynamics," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 291-307.
    11. Esteve, Vicente & Navarro-Ibáñez, Manuel & Prats, María A., 2020. "Stock prices, dividends, and structural changes in the long-term: The case of U.S," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    12. Yukalov, V.I. & Sornette, D. & Yukalova, E.P., 2009. "Nonlinear dynamical model of regime switching between conventions and business cycles," Journal of Economic Behavior & Organization, Elsevier, vol. 70(1-2), pages 206-230, May.
    13. Driffill, John & Sola, Martin, 1998. "Intrinsic bubbles and regime-switching," Journal of Monetary Economics, Elsevier, vol. 42(2), pages 357-373, July.
    14. Dridi, Ramdan & Guay, Alain & Renault, Eric, 2007. "Indirect inference and calibration of dynamic stochastic general equilibrium models," Journal of Econometrics, Elsevier, vol. 136(2), pages 397-430, February.

  46. Bonomo, M. & Garcia, R., 1991. "Consumption and Equilibrium Asset Pricing: an Empirical Assessment," Cahiers de recherche 9126, Universite de Montreal, Departement de sciences economiques.

    Cited by:

    1. Bhamra, Harjoat Singh & Kuehn, Lars-Alexander & Strebulaev, Ilya, 2018. "The Levered Equity Risk Premium and Credit Spreads: A Unified Framework," CEPR Discussion Papers 12827, C.E.P.R. Discussion Papers.
    2. René Garcia & Richard Luger & Eric Renault, 2001. "Asymmetric Smiles, Leverage Effects and Structural Parameters," CIRANO Working Papers 2001s-01, CIRANO.
    3. Wolfgang Drobetz & Patrick Wegmann, 2002. "Mean Reversion on Global Stock Markets," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 138(III), pages 215-239, September.
    4. John Driffill & Turalay Kenc & Martin Sola, 2013. "Real Options With Priced Regime-Switching Risk," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 16(05), pages 1-30.
    5. 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.
    6. Garcia, R. & Perron, P., 1991. "An analysis of Real Interest Rate Under Regime Shifts," Cahiers de recherche 9125, Universite de Montreal, Departement de sciences economiques.
    7. Marco Bonomo & René Garcia, 1994. "Disappointment Aversion as a Solution to the Equity Premium and the Risk-Free Rate Puzzles," CIRANO Working Papers 94s-14, CIRANO.
    8. 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.
    9. Arnold, Marc & Wagner, Alexander F. & Westermann, Ramona, 2013. "Growth options, macroeconomic conditions, and the cross section of credit risk," Journal of Financial Economics, Elsevier, vol. 107(2), pages 350-385.
    10. GARCIA, René & RENAULT, Éric, 1998. "Risk Aversion, Intertemporal Substitution, and Option Pricing," Cahiers de recherche 9801, Universite de Montreal, Departement de sciences economiques.
    11. 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.
    12. Jaroslav Borovička & Lars Peter Hansen & Mark Hendricks & José A. Scheinkman, 2009. "Risk Price Dynamics," NBER Working Papers 15506, National Bureau of Economic Research, Inc.
    13. Broer, Tobias & Kero, Afroditi, 2011. "Great Moderation or Great Mistake: Can rising confidence in low macro-risk explain the boom in asset prices?," CEPR Discussion Papers 8700, C.E.P.R. Discussion Papers.
    14. Bertholon, H. & Monfort, A. & Pegoraro, F., 2007. "Pricing and Inference with Mixtures of Conditionally Normal Processes," Working papers 188, Banque de France.
    15. Marc ARNOLD & Dirk HACKBARTH & Tatjana XENIA PUHAN, 2014. "Financing Asset Sales and Business Cycles," Swiss Finance Institute Research Paper Series 14-11, Swiss Finance Institute.
    16. Bonomo, Marco & Garcia, René & Meddahi, Nour & Tédongap, Roméo, 2015. "The long and the short of the risk-return trade-off," Journal of Econometrics, Elsevier, vol. 187(2), pages 580-592.
    17. Charles Nelson & Jeremy Piger & Eric Zivot, 1999. "Unit Root Tests in the Presence of Markov Regime-Switching," Discussion Papers in Economics at the University of Washington 0040, Department of Economics at the University of Washington.
    18. V. I. Yukalov & D. Sornette & E. P. Yukalova, 2007. "Nonlinear Dynamical Model of Regime Switching Between Conventions and Business Cycles," Papers nlin/0701014, arXiv.org.
    19. Tomas E. Caravello & John Driffill & Turalay Kenc & Martin Sola, 2023. "Risk Aversion and Changes in Regime," Working Papers 237, Red Nacional de Investigadores en Economía (RedNIE).
    20. Canova, Fabio & Marrinan, Jane, 1995. "Predicting excess returns in financial markets," European Economic Review, Elsevier, vol. 39(1), pages 35-69, January.
    21. Yukalov, V.I. & Sornette, D. & Yukalova, E.P., 2009. "Nonlinear dynamical model of regime switching between conventions and business cycles," Journal of Economic Behavior & Organization, Elsevier, vol. 70(1-2), pages 206-230, May.
    22. Massimo Guidolin, 2013. "Markov switching models in asset pricing research," Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 1, pages 3-44, Edward Elgar Publishing.
    23. René Garcia & Richard Luger & Eric Renault, 2001. "Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note : Nouvelle version Février 2002)," CIRANO Working Papers 2001s-02, CIRANO.

Articles

  1. Campani, Carlos Heitor & Garcia, René & Lewin, Marcelo, 2021. "Optimal portfolio strategies in the presence of regimes in asset returns," Journal of Banking & Finance, Elsevier, vol. 123(C).

    Cited by:

    1. Yu, Xing & Li, Yanyan & Lu, Junli & Shen, Xilin, 2023. "Futures hedging in crude oil markets: A trade-off between risk and return," Resources Policy, Elsevier, vol. 80(C).
    2. Marcelo Lewin & Carlos Heitor Campani, 2023. "Constrained portfolio strategies in a regime-switching economy," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 37(1), pages 27-59, March.
    3. Guo, Ming & Ou-Yang, Hui, 2021. "Alpha decay and Sharpe ratio: Two measures of investor performance," Economic Modelling, Elsevier, vol. 104(C).

  2. Almeida, Caio & Ardison, Kym & Garcia, René, 2020. "Nonparametric assessment of hedge fund performance," Journal of Econometrics, Elsevier, vol. 214(2), pages 349-378.
    See citations under working paper version above.
  3. Campani, Carlos Heitor & Garcia, René, 2019. "Approximate analytical solutions for consumption/investment problems under recursive utility and finite horizon," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 364-384.
    See citations under working paper version above.
  4. Caio Almeida & Kym Ardison & René Garcia & Jose Vicente, 2017. "Erratum to Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy," Journal of Financial Econometrics, Oxford University Press, vol. 15(3), pages 504-504.

    Cited by:

    1. Freire, Gustavo, 2021. "Tail risk and investors’ concerns: Evidence from Brazil," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    2. Baruník, Jozef & Bevilacqua, Mattia & Tunaru, Radu, 2022. "Asymmetric network connectedness of fears," LSE Research Online Documents on Economics 108199, London School of Economics and Political Science, LSE Library.
    3. Afees A. Salisu & Christian Pierdzioch & Rangan Gupta & Renee van Eyden, 2021. "Climate Risks and U.S. Stock-Market Tail Risks: A Forecasting Experiment Using over a Century of Data," Working Papers 202165, University of Pretoria, Department of Economics.
    4. Fatemeh Mojtahedi & Seyed Mojtaba Mojaverian & Daniel Felix Ahelegbey & Paolo Giudici, 2020. "Tail Risk Transmission: A Study of Iran Food Industry," DEM Working Papers Series 189, University of Pavia, Department of Economics and Management.
    5. Ahelegbey, Daniel Felix & Giudici, Paolo & Mojtahedi, Fatemeh, 2021. "Tail risk measurement in crypto-asset markets," International Review of Financial Analysis, Elsevier, vol. 73(C).
    6. Prodosh Simlai, 2021. "Accrual mispricing, value-at-risk, and expected stock returns," Review of Quantitative Finance and Accounting, Springer, vol. 57(4), pages 1487-1517, November.
    7. Daniel Felix Ahelegbey, 2022. "Statistical Modelling of Downside Risk Spillovers," FinTech, MDPI, vol. 1(2), pages 1-10, April.
    8. Qian, Lihua & Zeng, Qing & Lu, Xinjie & Ma, Feng, 2022. "Global tail risk and oil return predictability," Finance Research Letters, Elsevier, vol. 47(PB).
    9. Salisu, Afees A. & Pierdzioch, Christian & Gupta, Rangan & Gabauer, David, 2022. "Forecasting stock-market tail risk and connectedness in advanced economies over a century: The role of gold-to-silver and gold-to-platinum price ratios," International Review of Financial Analysis, Elsevier, vol. 83(C).
    10. Gupta, Rangan & Sheng, Xin & Pierdzioch, Christian & Ji, Qiang, 2021. "Disaggregated oil shocks and stock-market tail risks: Evidence from a panel of 48 economics," Research in International Business and Finance, Elsevier, vol. 58(C).
    11. Todorov, Viktor, 2022. "Nonparametric jump variation measures from options," Journal of Econometrics, Elsevier, vol. 230(2), pages 255-280.
    12. Almeida, Caio & Ardison, Kym & Garcia, René, 2020. "Nonparametric assessment of hedge fund performance," Journal of Econometrics, Elsevier, vol. 214(2), pages 349-378.
    13. Cao, Ji & Rieger, Marc Oliver & Zhao, Lei, 2023. "Safety first, loss probability, and the cross section of expected stock returns," Journal of Economic Behavior & Organization, Elsevier, vol. 211(C), pages 345-369.
    14. K. Victor Chow & Wanjun Jiang & Bingxin Li & Jingrui Li, 2020. "Decomposing the VIX: Implications for the predictability of stock returns," The Financial Review, Eastern Finance Association, vol. 55(4), pages 645-668, November.
    15. Bevilacqua, Mattia & Tunaru, Radu, 2021. "The SKEW index: Extracting what has been left," Journal of Financial Stability, Elsevier, vol. 53(C).
    16. Bevilacqua, Mattia & Tunaru, Radu, 2021. "The SKEW index: extracting what has been left," LSE Research Online Documents on Economics 108198, London School of Economics and Political Science, LSE Library.
    17. Post, Thierry & Karabatı, Selçuk & Arvanitis, Stelios, 2018. "Portfolio optimization based on stochastic dominance and empirical likelihood," Journal of Econometrics, Elsevier, vol. 206(1), pages 167-186.
    18. Schneider, Paul, 2019. "An anatomy of the market return," Journal of Financial Economics, Elsevier, vol. 132(2), pages 325-350.

  5. Caio Almeida & Kym Ardison & René Garcia & Jose Vicente, 2017. "Nonparametric Tail Risk, Stock Returns, and the Macroeconomy," Journal of Financial Econometrics, Oxford University Press, vol. 15(3), pages 333-376.
    See citations under working paper version above.
  6. Caio Almeida & Kym Ardison & René Garcia & Jose Vicente, 2017. "Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy," Journal of Financial Econometrics, Oxford University Press, vol. 15(3), pages 418-426.

    Cited by:

    1. Freire, Gustavo, 2021. "Tail risk and investors’ concerns: Evidence from Brazil," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    2. Baruník, Jozef & Bevilacqua, Mattia & Tunaru, Radu, 2022. "Asymmetric network connectedness of fears," LSE Research Online Documents on Economics 108199, London School of Economics and Political Science, LSE Library.
    3. Afees A. Salisu & Christian Pierdzioch & Rangan Gupta & Renee van Eyden, 2021. "Climate Risks and U.S. Stock-Market Tail Risks: A Forecasting Experiment Using over a Century of Data," Working Papers 202165, University of Pretoria, Department of Economics.
    4. Fatemeh Mojtahedi & Seyed Mojtaba Mojaverian & Daniel Felix Ahelegbey & Paolo Giudici, 2020. "Tail Risk Transmission: A Study of Iran Food Industry," DEM Working Papers Series 189, University of Pavia, Department of Economics and Management.
    5. Ahelegbey, Daniel Felix & Giudici, Paolo & Mojtahedi, Fatemeh, 2021. "Tail risk measurement in crypto-asset markets," International Review of Financial Analysis, Elsevier, vol. 73(C).
    6. Prodosh Simlai, 2021. "Accrual mispricing, value-at-risk, and expected stock returns," Review of Quantitative Finance and Accounting, Springer, vol. 57(4), pages 1487-1517, November.
    7. Daniel Felix Ahelegbey, 2022. "Statistical Modelling of Downside Risk Spillovers," FinTech, MDPI, vol. 1(2), pages 1-10, April.
    8. Qian, Lihua & Zeng, Qing & Lu, Xinjie & Ma, Feng, 2022. "Global tail risk and oil return predictability," Finance Research Letters, Elsevier, vol. 47(PB).
    9. Salisu, Afees A. & Pierdzioch, Christian & Gupta, Rangan & Gabauer, David, 2022. "Forecasting stock-market tail risk and connectedness in advanced economies over a century: The role of gold-to-silver and gold-to-platinum price ratios," International Review of Financial Analysis, Elsevier, vol. 83(C).
    10. Gupta, Rangan & Sheng, Xin & Pierdzioch, Christian & Ji, Qiang, 2021. "Disaggregated oil shocks and stock-market tail risks: Evidence from a panel of 48 economics," Research in International Business and Finance, Elsevier, vol. 58(C).
    11. Todorov, Viktor, 2022. "Nonparametric jump variation measures from options," Journal of Econometrics, Elsevier, vol. 230(2), pages 255-280.
    12. Almeida, Caio & Ardison, Kym & Garcia, René, 2020. "Nonparametric assessment of hedge fund performance," Journal of Econometrics, Elsevier, vol. 214(2), pages 349-378.
    13. Cao, Ji & Rieger, Marc Oliver & Zhao, Lei, 2023. "Safety first, loss probability, and the cross section of expected stock returns," Journal of Economic Behavior & Organization, Elsevier, vol. 211(C), pages 345-369.
    14. K. Victor Chow & Wanjun Jiang & Bingxin Li & Jingrui Li, 2020. "Decomposing the VIX: Implications for the predictability of stock returns," The Financial Review, Eastern Finance Association, vol. 55(4), pages 645-668, November.
    15. Bevilacqua, Mattia & Tunaru, Radu, 2021. "The SKEW index: Extracting what has been left," Journal of Financial Stability, Elsevier, vol. 53(C).
    16. Bevilacqua, Mattia & Tunaru, Radu, 2021. "The SKEW index: extracting what has been left," LSE Research Online Documents on Economics 108198, London School of Economics and Political Science, LSE Library.
    17. Post, Thierry & Karabatı, Selçuk & Arvanitis, Stelios, 2018. "Portfolio optimization based on stochastic dominance and empirical likelihood," Journal of Econometrics, Elsevier, vol. 206(1), pages 167-186.
    18. Schneider, Paul, 2019. "An anatomy of the market return," Journal of Financial Economics, Elsevier, vol. 132(2), pages 325-350.

  7. Caio Almeida & René Garcia, 2017. "Economic Implications of Nonlinear Pricing Kernels," Management Science, INFORMS, vol. 63(10), pages 3361-3380, October.

    Cited by:

    1. Freire, Gustavo, 2021. "Tail risk and investors’ concerns: Evidence from Brazil," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    2. Nikolay Gospodinov & Raymond Kan & Cesare Robotti, 2017. "Too Good to Be True? Fallacies in Evaluating Risk Factor Models," FRB Atlanta Working Paper 2017-9, Federal Reserve Bank of Atlanta.
    3. Juzhi Zhang & Suresh P. Sethi & Tsan‐Ming Choi & T. C. E. Cheng, 2020. "Supply Chains Involving a Mean‐Variance‐Skewness‐Kurtosis Newsvendor: Analysis and Coordination," Production and Operations Management, Production and Operations Management Society, vol. 29(6), pages 1397-1430, June.
    4. Bertille Antoine & Prosper Dovonon, 2020. "Robust Estimation with Exponentially Tilted Hellinger Distance," Discussion Papers dp20-02, Department of Economics, Simon Fraser University.
    5. Milad Nozari, 2021. "Information content of the risk-free rate for the pricing kernel bound," Journal of Asset Management, Palgrave Macmillan, vol. 22(4), pages 267-276, July.
    6. Almeida, Caio & Freire, Gustavo, 2022. "Pricing of index options in incomplete markets," Journal of Financial Economics, Elsevier, vol. 144(1), pages 174-205.
    7. Thierry Post & Iňaki Rodríguez Longarela, 2021. "Risk Arbitrage Opportunities for Stock Index Options," Operations Research, INFORMS, vol. 69(1), pages 100-113, January.
    8. Almeida, Caio & Ardison, Kym & Garcia, René, 2020. "Nonparametric assessment of hedge fund performance," Journal of Econometrics, Elsevier, vol. 214(2), pages 349-378.
    9. Korsaye, Sofonias Alemu & Trojani, Fabio & Vedolin, Andrea, 2023. "The global factor structure of exchange rates," Journal of Financial Economics, Elsevier, vol. 148(1), pages 21-46.
    10. Pascal J. Maenhout & Andrea Vedolin & Hao Xing, 2020. "Generalized Robustness and Dynamic Pessimism," NBER Working Papers 26970, National Bureau of Economic Research, Inc.
    11. Post, Thierry & Karabatı, Selçuk & Arvanitis, Stelios, 2018. "Portfolio optimization based on stochastic dominance and empirical likelihood," Journal of Econometrics, Elsevier, vol. 206(1), pages 167-186.
    12. Schneider, Paul, 2019. "An anatomy of the market return," Journal of Financial Economics, Elsevier, vol. 132(2), pages 325-350.

  8. Bonomo, Marco & Garcia, René & Meddahi, Nour & Tédongap, Roméo, 2015. "The long and the short of the risk-return trade-off," Journal of Econometrics, Elsevier, vol. 187(2), pages 580-592.

    Cited by:

    1. Gourieroux, Christian & Jasiak, Joann, 2010. "Inference for Noisy Long Run Component Process," MPRA Paper 98987, University Library of Munich, Germany.
    2. Federico M. Bandi & Bernard Perron & Andrea Tamoni & Claudio Tebaldi, 2014. "The scale of predictability," Working Papers 509, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    3. Bruno Feunou & Ricardo Lopez Aliouchkin & Roméo Tedongap & Lai Xi, 2017. "Variance Premium, Downside Risk and Expected Stock Returns," Staff Working Papers 17-58, Bank of Canada.
    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.
    5. Rombouts, Jeroen V.K. & Stentoft, Lars & Violante, Francesco, 2020. "Dynamics of variance risk premia: A new model for disentangling the price of risk," Journal of Econometrics, Elsevier, vol. 217(2), pages 312-334.
    6. Frazier, David T. & Liu, Xiaochun, 2016. "A new approach to risk-return trade-off dynamics via decomposition," Journal of Economic Dynamics and Control, Elsevier, vol. 62(C), pages 43-55.
    7. Chia-Lin Chang & Michael McAleer, 2014. "Econometric Analysis of Financial Derivatives: An Overview," Working Papers in Economics 14/29, University of Canterbury, Department of Economics and Finance.
    8. Chang, C-L. & McAleer, M.J., 2014. "Econometric Analysis of Financial Derivatives," Econometric Institute Research Papers EI 2015-02, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    9. Jeroen V.K. Rombouts & Lars Stentoft & Francesco Violante, 2017. "Dynamics of Variance Risk Premia, Investors' Sentiment and Return Predictability," CREATES Research Papers 2017-10, Department of Economics and Business Economics, Aarhus University.

  9. Garcia, René & Mantilla-García, Daniel & Martellini, Lionel, 2014. "A Model-Free Measure of Aggregate Idiosyncratic Volatility and the Prediction of Market Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 49(5-6), pages 1133-1165, December.
    See citations under working paper version above.
  10. Marcel Boyer & M. Martin Boyer & René Garcia, 2013. "Alleviating Coordination Problems and Regulatory Constraints Through Financial Risk Management," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 3(02), pages 1-39.
    See citations under working paper version above.
  11. Jean-Sébastien Fontaine & René Garcia, 2012. "Bond Liquidity Premia," The Review of Financial Studies, Society for Financial Studies, vol. 25(4), pages 1207-1254.
    See citations under working paper version above.
  12. Almeida, Caio & Garcia, René, 2012. "Assessing misspecified asset pricing models with empirical likelihood estimators," Journal of Econometrics, Elsevier, vol. 170(2), pages 519-537.

    Cited by:

    1. Seojeong Lee, 2014. "Asymptotic Refinements of a Misspecification-Robust Bootstrap for GEL Estimators," Discussion Papers 2014-02, School of Economics, The University of New South Wales.
    2. Gospodinov, Nikolay & Kan, Raymond & Robotti, Cesare, 2013. "Chi-squared tests for evaluation and comparison of asset pricing models," Journal of Econometrics, Elsevier, vol. 173(1), pages 108-125.
    3. Nikolay Gospodinov & Raymond Kan & Cesare Robotti, 2017. "Too Good to Be True? Fallacies in Evaluating Risk Factor Models," FRB Atlanta Working Paper 2017-9, Federal Reserve Bank of Atlanta.
    4. Xiaohong Chen & Lars P. Hansen & Peter G. Hansen, 2020. "Robust Identification of Investor Beliefs," Cowles Foundation Discussion Papers 2236, Cowles Foundation for Research in Economics, Yale University.
    5. Bertille Antoine & Prosper Dovonon, 2020. "Robust Estimation with Exponentially Tilted Hellinger Distance," Discussion Papers dp20-02, Department of Economics, Simon Fraser University.
    6. Thierry Post & Valerio Potì, 2017. "Portfolio Analysis Using Stochastic Dominance, Relative Entropy, and Empirical Likelihood," Management Science, INFORMS, vol. 63(1), pages 153-165, January.
    7. Milad Nozari, 2021. "Information content of the risk-free rate for the pricing kernel bound," Journal of Asset Management, Palgrave Macmillan, vol. 22(4), pages 267-276, July.
    8. Davide La Vecchia & Alban Moor & O. Scaillet, 2020. "A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data," Swiss Finance Institute Research Paper Series 20-01, Swiss Finance Institute.
    9. Patrick Gagliardini & Diego Ronchetti, 2020. "Comparing Asset Pricing Models by the Conditional Hansen-Jagannathan Distance," Journal of Financial Econometrics, Oxford University Press, vol. 18(2), pages 333-394.
    10. Francisco Peñaranda & Enrique Sentana, 2010. "A Unifying Approach to the Empirical Evaluation of Asset Pricing Models," Working Papers wp2010_1004, CEMFI.
    11. Caio Almeida & René Garcia, 2017. "Economic Implications of Nonlinear Pricing Kernels," Management Science, INFORMS, vol. 63(10), pages 3361-3380, October.
    12. Liu, Yan, 2021. "Index option returns and generalized entropy bounds," Journal of Financial Economics, Elsevier, vol. 139(3), pages 1015-1036.
    13. Sentana, Enrique & Manresa, Elena & Penaranda, Francisco, 2017. "Empirical Evaluation of Overspecified Asset Pricing Models," CEPR Discussion Papers 12085, C.E.P.R. Discussion Papers.
    14. Gagliardini, Patrick & Ronchetti, Diego, 2013. "Semi-parametric estimation of American option prices," Journal of Econometrics, Elsevier, vol. 173(1), pages 57-82.
    15. Thierry Post & Iňaki Rodríguez Longarela, 2021. "Risk Arbitrage Opportunities for Stock Index Options," Operations Research, INFORMS, vol. 69(1), pages 100-113, January.
    16. J. Arismendi-Zambrano & R. Azevedo, 2020. "Implicit Entropic Market Risk-Premium from Interest Rate Derivatives," Economics Department Working Paper Series n303-20.pdf, Department of Economics, National University of Ireland - Maynooth.
    17. Caio Almeida & Kym Ardison & René Garcia & Jose Vicente, 2017. "Nonparametric Tail Risk, Stock Returns, and the Macroeconomy," Journal of Financial Econometrics, Oxford University Press, vol. 15(3), pages 333-376.
    18. Nikolay Gospodinov & Esfandiar Maasoumi, 2017. "General Aggregation of Misspecified Asset Pricing Models," FRB Atlanta Working Paper 2017-10, Federal Reserve Bank of Atlanta.
    19. Marine Carrasco & N'Golo Koné, 2023. "Test for Trading Costs Effect in a Portfolio Selection Problem with Recursive Utility," CIRANO Working Papers 2023s-03, CIRANO.
    20. Almeida, Caio & Ardison, Kym & Garcia, René, 2020. "Nonparametric assessment of hedge fund performance," Journal of Econometrics, Elsevier, vol. 214(2), pages 349-378.
    21. Massimo Guidolin & Daniel L. Thornton, 2010. "Predictions of short-term rates and the expectations hypothesis," Working Papers 2010-013, Federal Reserve Bank of St. Louis.
    22. Sousa, João & Sousa, Ricardo M., 2017. "Predicting risk premium under changes in the conditional distribution of stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 50(C), pages 204-218.
    23. Yu, Xisheng, 2021. "A unified entropic pricing framework of option: Using Cressie-Read family of divergences," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    24. Fletcher, Jonathan, 2014. "Benchmark models of expected returns in U.K. portfolio performance: An empirical investigation," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 30-46.
    25. David le Bris & William N. Goetzmann & Sébastien Pouget, 2014. "Testing Asset Pricing Theory on Six Hundred Years of Stock Returns: Prices and Dividends for the Bazacle Company from 1372 to 1946," NBER Working Papers 20199, National Bureau of Economic Research, Inc.
    26. Seojeong Lee, 2018. "Asymptotic Refinements of a Misspecification-Robust Bootstrap for Generalized Empirical Likelihood Estimators," Papers 1806.00953, arXiv.org, revised Jun 2018.
    27. Post, Thierry & Karabatı, Selçuk & Arvanitis, Stelios, 2018. "Portfolio optimization based on stochastic dominance and empirical likelihood," Journal of Econometrics, Elsevier, vol. 206(1), pages 167-186.
    28. Schneider, Paul, 2019. "An anatomy of the market return," Journal of Financial Economics, Elsevier, vol. 132(2), pages 325-350.
    29. Gospodinov, Nikolay & Maasoumi, Esfandiar, 2021. "Generalized aggregation of misspecified models: With an application to asset pricing," Journal of Econometrics, Elsevier, vol. 222(1), pages 451-467.

  13. 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.
  14. Antonio Diez De Los Rios & René Garcia, 2011. "Assessing and valuing the nonlinear structure of hedge fund returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(2), pages 193-212, March.
    See citations under working paper version above.
  15. Garcia, René & Renault, Eric & Veredas, David, 2011. "Estimation of stable distributions by indirect inference," Journal of Econometrics, Elsevier, vol. 161(2), pages 325-337, April.
    See citations under working paper version above.
  16. Marco Bonomo & René Garcia & Nour Meddahi & Roméo Tédongap, 2011. "Generalized Disappointment Aversion, Long-run Volatility Risk, and Asset Prices," The Review of Financial Studies, Society for Financial Studies, vol. 24(1), pages 82-122.
    See citations under working paper version above.
  17. Garcia, René & Tsafack, Georges, 2011. "Dependence structure and extreme comovements in international equity and bond markets," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 1954-1970, August.
    See citations under working paper version above.
  18. Garcia, René & Lewis, Marc-André & Pastorello, Sergio & Renault, Éric, 2011. "Estimation of objective and risk-neutral distributions based on moments of integrated volatility," Journal of Econometrics, Elsevier, vol. 160(1), pages 22-32, January.

    Cited by:

    1. Da Fonseca José & Grasselli Martino & Ielpo Florian, 2014. "Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(3), pages 1-37, May.
    2. Maneesoonthorn, Worapree & Martin, Gael M. & Forbes, Catherine S. & Grose, Simone D., 2012. "Probabilistic forecasts of volatility and its risk premia," Journal of Econometrics, Elsevier, vol. 171(2), pages 217-236.
    3. Andersen, Torben G. & Bollerslev, Tim & Meddahi, Nour, 2011. "Realized volatility forecasting and market microstructure noise," Journal of Econometrics, Elsevier, vol. 160(1), pages 220-234, January.
    4. Corradi, Valentina & Distaso, Walter & Mele, Antonio, 2013. "Macroeconomic determinants of stock volatility and volatility premiums," Journal of Monetary Economics, Elsevier, vol. 60(2), pages 203-220.
    5. Isao Ishida & Michael McAleer & Kosuke Oya, 2011. "Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX," Working Papers in Economics 11/11, University of Canterbury, Department of Economics and Finance.
    6. Lee Kyungsub, 2016. "Probabilistic and statistical properties of moment variations and their use in inference and estimation based on high frequency return data," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(1), pages 19-36, February.
    7. Eduardo Rossi & Paolo Santucci de Magistris, 2018. "Indirect inference with time series observed with error," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(6), pages 874-897, September.
    8. Stanislav Khrapov, 2011. "Pricing Central Tendency in Volatility," Working Papers w0168, Center for Economic and Financial Research (CEFIR).
    9. Zhenyu Cui & Anne MacKay & Marie-Claude Vachon, 2022. "Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation," Papers 2207.14793, arXiv.org.
    10. Xinyu WU & Hailin ZHOU, 2016. "GARCH DIFFUSION MODEL, iVIX, AND VOLATILITY RISK PREMIUM," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, vol. 50(1), pages 327-342.
    11. Massimo Guidolin & Erwin Hansen & Gabriel Cabrera, 2023. "Time-Varying Risk Aversion and International Stock Returns," BAFFI CAREFIN Working Papers 23203, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    12. Baum, Christopher F. & Zerilli, Paola & Chen, Liyuan, 2021. "Stochastic volatility, jumps and leverage in energy and stock markets: Evidence from high frequency data," Energy Economics, Elsevier, vol. 93(C).
    13. Markellos, Raphael N. & Psychoyios, Dimitris, 2018. "Interest rate volatility and risk management: Evidence from CBOE Treasury options," The Quarterly Review of Economics and Finance, Elsevier, vol. 68(C), pages 190-202.
    14. Lee, Kyungsub & Seo, Byoung Ki, 2017. "Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data," Journal of Economic Dynamics and Control, Elsevier, vol. 79(C), pages 154-183.
    15. Tim Bollerslev & Hao Zhou, 2001. "Estimating stochastic volatility diffusion using conditional moments of integrated volatility," Finance and Economics Discussion Series 2001-49, Board of Governors of the Federal Reserve System (U.S.).
    16. Frazier, David T. & Maneesoonthorn, Worapree & Martin, Gael M. & McCabe, Brendan P.M., 2019. "Approximate Bayesian forecasting," International Journal of Forecasting, Elsevier, vol. 35(2), pages 521-539.
    17. René Garcia & Eric Ghysels & Eric Renault, 2004. "The Econometrics of Option Pricing," CIRANO Working Papers 2004s-04, CIRANO.
    18. Torben G. Andersen & Viktor Todorov, 2009. "Realized Volatility and Multipower Variation," CREATES Research Papers 2009-49, Department of Economics and Business Economics, Aarhus University.
    19. Ishida, I. & McAleer, M.J. & Oya, K., 2011. "Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 VIX," Econometric Institute Research Papers EI 2011-10, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    20. Calvet, Laurent E. & Fearnley, Marcus & Fisher, Adlai J. & Leippold, Markus, 2015. "What is beneath the surface? Option pricing with multifrequency latent states," Journal of Econometrics, Elsevier, vol. 187(2), pages 498-511.
    21. Bregantini, Daniele, 2013. "Moment-based estimation of stochastic volatility," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4755-4764.
    22. Caldana, Ruggero & Fusai, Gianluca & Roncoroni, Andrea, 2017. "Electricity forward curves with thin granularity: Theory and empirical evidence in the hourly EPEXspot market," European Journal of Operational Research, Elsevier, vol. 261(2), pages 715-734.
    23. Kyungsub Lee, 2013. "Probabilistic and statistical properties of moment variations and their use in inference and estimation based on high frequency return data," Papers 1311.5036, arXiv.org, revised Jul 2015.

  19. Jean-Marie Dufour & René Garcia & Abderrahim Taamouti, 2009. "Measuring High-Frequency Causality Between Returns, Realized Volatility, and Implied Volatility," Journal of Financial Econometrics, Oxford University Press, vol. 10(1), pages 124-163, 2012 10 1.
    See citations under working paper version above.
  20. Fousseni Chabi-Yo & René Garcia & Eric Renault, 2008. "State Dependence Can Explain the Risk Aversion Puzzle," The Review of Financial Studies, Society for Financial Studies, vol. 21(2), pages 973-1011, April.

    Cited by:

    1. Yoo, Eun Gyu & Yoon, Sun-Joong, 2020. "CBOE VIX and Jump-GARCH option pricing models," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 839-859.
    2. Hansen, Lars Peter, 2013. "Uncertainty Outside and Inside Economic Models," Nobel Prize in Economics documents 2013-7, Nobel Prize Committee.
    3. Brendan K. Beare & Lawrence D. W. Schmidt, 2016. "An Empirical Test of Pricing Kernel Monotonicity," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(2), pages 338-356, March.
    4. Dillschneider, Yannick & Maurer, Raimond, 2019. "Functional Ross recovery: Theoretical results and empirical tests," Journal of Economic Dynamics and Control, Elsevier, vol. 108(C).
    5. Qian Han, 2013. "A Linear Relationship between Market Prices of Risks and Risk Aversion in Complete Stochastic Volatility Models," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    6. Brendan K. Beare & Juwon Seo, 2022. "Stochastic arbitrage with market index options," Papers 2207.00949, arXiv.org, revised Jul 2022.
    7. Lars Peter Hansen, 2014. "Nobel Lecture: Uncertainty Outside and Inside Economic Models," Journal of Political Economy, University of Chicago Press, vol. 122(5), pages 945-987.
    8. Qian Han & Calum G. Turvey, 2013. "A Robust Equilibrium Relationship between Market Prices of Risks and Risk Aversion in Dynamically Complete Stochastic," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    9. Song, Zhaogang & Xiu, Dacheng, 2016. "A tale of two option markets: Pricing kernels and volatility risk," Journal of Econometrics, Elsevier, vol. 190(1), pages 176-196.
    10. George M. Constantinides & Jens Carsten Jackwerth & Alexi Savov, 2012. "The Puzzle of Index Option Returns," Working Paper Series of the Department of Economics, University of Konstanz 2012-35, Department of Economics, University of Konstanz.
    11. Taboga, Marco, 2016. "Option-implied probability distributions: How reliable? How jagged?," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 453-469.
    12. Rompolis, Leonidas S., 2010. "Retrieving risk neutral densities from European option prices based on the principle of maximum entropy," Journal of Empirical Finance, Elsevier, vol. 17(5), pages 918-937, December.
    13. Fengler, Matthias & Hin, Lin-Yee, 2011. "Semi-nonparametric estimation of the call price surface under strike and time-to-expiry no-arbitrage constraints," Economics Working Paper Series 1136, University of St. Gallen, School of Economics and Political Science, revised May 2013.
    14. Fousseni Chabi-Yo, 2012. "Pricing Kernels with Stochastic Skewness and Volatility Risk," Management Science, INFORMS, vol. 58(3), pages 624-640, March.
    15. David Backus & Mikhail Chernov & Ian Martin, 2011. "Disasters Implied by Equity Index Options," Journal of Finance, American Finance Association, vol. 66(6), pages 1969-2012, December.
    16. Peter Reinhard Hansen & Chen Tong, 2022. "Option Pricing with Time-Varying Volatility Risk Aversion," Papers 2204.06943, arXiv.org, revised Oct 2022.
    17. 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.
    18. 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.
    19. Paul SCHNEIDER, 2014. "Generalized Risk Premia," Swiss Finance Institute Research Paper Series 14-29, Swiss Finance Institute.
    20. TAKAMIZAWA, Hideyuki & 高見澤, 秀幸, 2018. "An Equilibrium Model of Term Structures of Bonds and Equities," Working Paper Series G-1-19, Hitotsubashi University Center for Financial Research.
    21. Wolfgang Karl Härdle & Yarema Okhrin & Weining Wang, 2015. "Uniform Confidence Bands for Pricing Kernels," Journal of Financial Econometrics, Oxford University Press, vol. 13(2), pages 376-413.
    22. Horatio Cuesdeanu & Jens Carsten Jackwerth, 2018. "The pricing kernel puzzle: survey and outlook," Annals of Finance, Springer, vol. 14(3), pages 289-329, August.
    23. Bernard, Carole & Chen, Jit Seng & Vanduffel, Steven, 2015. "Rationalizing investors’ choices," Journal of Mathematical Economics, Elsevier, vol. 59(C), pages 10-23.
    24. Frederik Lundtofte, 2010. "Implied volatility and risk aversion in a simple model with uncertain growth," Economics Bulletin, AccessEcon, vol. 30(1), pages 182-191.
    25. Chen Tong & Peter Reinhard Hansen & Zhuo Huang, 2021. "Option Pricing with State-dependent Pricing Kernel," Papers 2112.05308, arXiv.org, revised Apr 2022.
    26. Byun, Suk Joon & Jeon, Byoung Hyun & Min, Byungsun & Yoon, Sun-Joong, 2015. "The role of the variance premium in Jump-GARCH option pricing models," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 38-56.
    27. Hu, Wei & Zheng, Zhenlong, 2020. "Expectile CAPM," Economic Modelling, Elsevier, vol. 88(C), pages 386-397.
    28. Wu, Feng & Myers, Robert J. & Guan, Zhengfei & Wang, Zhiguang, 2015. "Risk-adjusted implied volatility and its performance in forecasting realized volatility in corn futures prices," Journal of Empirical Finance, Elsevier, vol. 34(C), pages 260-274.
    29. Polkovnichenko, Valery & Zhao, Feng, 2013. "Probability weighting functions implied in options prices," Journal of Financial Economics, Elsevier, vol. 107(3), pages 580-609.
    30. Beare, Brendan K., 2011. "Measure preserving derivatives and the pricing kernel puzzle," Journal of Mathematical Economics, Elsevier, vol. 47(6), pages 689-697.
    31. Stylianos Perrakis, 2022. "From innovation to obfuscation: continuous time finance fifty years later," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(3), pages 369-401, September.
    32. 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.
    33. Liao, Wen Ju & Sung, Hao-Chang, 2020. "Implied risk aversion and pricing kernel in the FTSE 100 index," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    34. Berrada, Tony & Detemple, Jérôme & Rindisbacher, Marcel, 2018. "Asset pricing with beliefs-dependent risk aversion and learning," Journal of Financial Economics, Elsevier, vol. 128(3), pages 504-534.
    35. 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.
    36. Xinyu WU & Senchun REN & Hailin ZHOU, 2017. "Empirical Pricing Kernels: Evidence from the Hong Kong Stock Market," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, vol. 51(4), pages 263-278.
    37. Luiz Vitiello & Ser-Huang Poon, 2014. "Non-monotonic pricing kernel and an extended class of mixture of distributions for option pricing," Review of Derivatives Research, Springer, vol. 17(2), pages 241-259, July.
    38. Wolfgang Härdle & Volker Krätschmer & Rouslan Moro, 2009. "A Microeconomic Explanation of the EPK Paradox," SFB 649 Discussion Papers SFB649DP2009-010, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    39. Augustyniak, Maciej & Badescu, Alexandru & Bégin, Jean-François, 2023. "A discrete-time hedging framework with multiple factors and fat tails: On what matters," Journal of Econometrics, Elsevier, vol. 232(2), pages 416-444.

  21. De Vos, Pol & Vanlerberghe, Veerle & Rodriguez, Armando & Garcia, Rene & Bonet, Mariano & Van der Stuyft, Patrick, 2008. "Uses of first line emergency services in Cuba," Health Policy, Elsevier, vol. 85(1), pages 94-104, January.

    Cited by:

    1. De Vos, Pol & Orduñez-García, Pedro & Santos-Peña, Moisés & Van der Stuyft, Patrick, 2010. "Public hospital management in times of crisis: Lessons learned from Cienfuegos, Cuba (1996-2008)," Health Policy, Elsevier, vol. 96(1), pages 64-71, June.

  22. 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.
  23. René Garcia & Éric Renault & Georges Tsafack, 2007. "Proper Conditioning for Coherent VaR in Portfolio Management," Management Science, INFORMS, vol. 53(3), pages 483-494, March.

    Cited by:

    1. Farkas, Walter & Fringuellotti, Fulvia & Tunaru, Radu, 2020. "A cost-benefit analysis of capital requirements adjusted for model risk," Journal of Corporate Finance, Elsevier, vol. 65(C).
    2. Steven Kou & Xianhua Peng, 2014. "On the Measurement of Economic Tail Risk," Papers 1401.4787, arXiv.org, revised Aug 2015.
    3. Aditya Vedantam & Ananth Iyer, 2021. "Revenue‐Sharing Contracts Under Quality Uncertainty in Remanufacturing," Production and Operations Management, Production and Operations Management Society, vol. 30(7), pages 2008-2026, July.
    4. Alexander, Gordon J. & Baptista, Alexandre M. & Yan, Shu, 2013. "A comparison of the original and revised Basel market risk frameworks for regulating bank capital," Journal of Economic Behavior & Organization, Elsevier, vol. 85(C), pages 249-268.
    5. Caio Almeida & José Vicente, 2008. "Are Interest Rate Options Important for the Assessment of Interest Rate Risk?," Working Papers Series 179, Central Bank of Brazil, Research Department.
    6. Alexander, Gordon J. & Baptista, Alexandre M. & Yan, Shu, 2012. "When more is less: Using multiple constraints to reduce tail risk," Journal of Banking & Finance, Elsevier, vol. 36(10), pages 2693-2716.
    7. Hill, Jonathan B. & Prokhorov, Artem, 2016. "GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference," Journal of Econometrics, Elsevier, vol. 190(1), pages 18-45.
    8. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2011. "Financial Risk Measurement for Financial Risk Management," CREATES Research Papers 2011-37, Department of Economics and Business Economics, Aarhus University.
    9. Nikolaus Hautsch & Julia Schaumburg & Melanie Schienle, 2015. "Financial Network Systemic Risk Contributions," Review of Finance, European Finance Association, vol. 19(2), pages 685-738.
    10. Alexander, Gordon J. & Baptista, Alexandre M. & Yan, Shu, 2014. "Bank regulation and international financial stability: A case against the 2006 Basel framework for controlling tail risk in trading books," Journal of International Money and Finance, Elsevier, vol. 43(C), pages 107-130.
    11. Mazin A.M. Al Janabi, 2012. "Risk Management in Trading and Investment Portfolios," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 11(2), pages 189-229, August.
    12. Ibragimov, Rustam & Prokhorov, Artem, 2016. "Heavy tails and copulas: Limits of diversification revisited," Economics Letters, Elsevier, vol. 149(C), pages 102-107.
    13. Jiliang Sheng & Juchao Li & Jun Yang, 2022. "Tail Dependency and Risk Spillover between Oil Market and Chinese Sectoral Stock Markets—An Assessment of the 2013 Refined Oil Pricing Reform," Energies, MDPI, vol. 15(16), pages 1-19, August.
    14. Alfonso Novales & Laura Garcia-Jorcano, 2019. "Backtesting Extreme Value Theory models of expected shortfall," Documentos de Trabajo del ICAE 2019-24, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    15. Alexander, Gordon J. & Baptista, Alexandre M. & Yan, Shu, 2021. "Regulation of bank proprietary trading post 2007–09 crisis: An examination of the Basel framework and Volcker rule," Journal of International Money and Finance, Elsevier, vol. 119(C).
    16. Gordon J. Alexander & Alexandre M. Baptista, 2017. "Bank Capital Regulation of Trading Portfolios: An Assessment of the Basel Framework," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 49(4), pages 603-634, June.
    17. Borgonovo, Emanuele & Gatti, Stefano, 2013. "Risk analysis with contractual default. Does covenant breach matter?," European Journal of Operational Research, Elsevier, vol. 230(2), pages 431-443.
    18. Alexander, Gordon J. & Baptista, Alexandre M. & Yan, Shu, 2012. "Bank regulation and stability: An examination of the Basel market risk framework," Discussion Papers 09/2012, Deutsche Bundesbank.
    19. Al Janabi, Mazin A.M. & Arreola Hernandez, Jose & Berger, Theo & Nguyen, Duc Khuong, 2017. "Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios," European Journal of Operational Research, Elsevier, vol. 259(3), pages 1121-1131.
    20. Steven Kou & Xianhua Peng, 2016. "On the Measurement of Economic Tail Risk," Operations Research, INFORMS, vol. 64(5), pages 1056-1072, October.
    21. Jose Arreola Hernandez & Mazin A.M. Al Janabi, 2020. "Forecasting of dependence, market, and investment risks of a global index portfolio," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(3), pages 512-532, April.
    22. Sio Chong U & Jacky So & Deng Ding & Lihong Liu, 2016. "An efficient Fourier expansion method for the calculation of value-at-risk: Contributions of extra-ordinary risks," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(01), pages 1-27, March.
    23. Michel Verlaine, 2010. "Risk Governance for funds," Cahiers du CEREFIGE 1003, CEREFIGE (Centre Europeen de Recherche en Economie Financiere et Gestion des Entreprises), Universite de Lorraine, revised 2010.
    24. D Wu & D L Olson, 2010. "Enterprise risk management: coping with model risk in a large bank," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 61(2), pages 179-190, February.
    25. Balbás, Alejandro, 2008. "Capital requirements: Are they the best solution?," DEE - Working Papers. Business Economics. WB wb087114, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    26. Michael Grabchak, 2014. "Does value-at-risk encourage diversification when losses follow tempered stable or more general Lévy processes?," Annals of Finance, Springer, vol. 10(4), pages 553-568, November.
    27. Daníelsson, Jón & Jorgensen, Bjørn N. & Samorodnitsky, Gennady & Sarma, Mandira & de Vries, Casper G., 2013. "Fat tails, VaR and subadditivity," Journal of Econometrics, Elsevier, vol. 172(2), pages 283-291.

  24. Garcia, Rene & Renault, Eric & Semenov, Andrei, 2006. "Disentangling risk aversion and intertemporal substitution through a reference level," Finance Research Letters, Elsevier, vol. 3(3), pages 181-193, September.
    See citations under working paper version above.
  25. Detemple, Jerome & Garcia, Rene & Rindisbacher, Marcel, 2006. "Asymptotic properties of Monte Carlo estimators of diffusion processes," Journal of Econometrics, Elsevier, vol. 134(1), pages 1-68, September.
    See citations under working paper version above.
  26. 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. Wang, Xiao-Tian & Li, Zhe & Zhuang, Le, 2017. "Risk preference, option pricing and portfolio hedging with proportional transaction costs," Chaos, Solitons & Fractals, Elsevier, vol. 95(C), pages 111-130.
    2. Beare, Brendan K., 2011. "Measure preserving derivatives and the pricing kernel puzzle," Journal of Mathematical Economics, Elsevier, vol. 47(6), pages 689-697.
    3. Han, Hyojin & Khrapov, Stanislav & Renault, Eric, 2020. "The leverage effect puzzle revisited: Identification in discrete time," Journal of Econometrics, Elsevier, vol. 217(2), pages 230-258.

  27. Detemple, Jérôme & Garcia, René & Rindisbacher, Marcel, 2005. "Intertemporal asset allocation: A comparison of methods," Journal of Banking & Finance, Elsevier, vol. 29(11), pages 2821-2848, November.

    Cited by:

    1. Zvi Bodie & Jonathan Treussard & Paul S. Willen, 2007. "The theory of life-cycle saving and investing," Public Policy Discussion Paper 07-3, Federal Reserve Bank of Boston.
    2. Franc{c}ois Legendre & Djibril Togola, 2015. "Explicit solution to dynamic portfolio choice problem : The continuous-time detour," Papers 1504.03079, arXiv.org.
    3. de Palma, André & Prigent, Jean-Luc, 2008. "Utilitarianism and fairness in portfolio positioning," Journal of Banking & Finance, Elsevier, vol. 32(8), pages 1648-1660, August.
    4. Jérôme Detemple, 2014. "Portfolio Selection: A Review," Journal of Optimization Theory and Applications, Springer, vol. 161(1), pages 1-21, April.
    5. Castañeda, Pablo & Devoto, Benjamín, 2016. "On the structural estimation of an optimal portfolio rule," Finance Research Letters, Elsevier, vol. 16(C), pages 290-300.
    6. Pablo Castañeda & Heinz Rudolph, 2010. "Portfolio Choice, Minimum Return Guarantees, and Competition in DC Pension Systems," Working Papers 39, Superintendencia de Pensiones, revised Feb 2010.
    7. Adrien Verdelhan, 2006. "A Habit-Based Explanation of the Exchange Rate Risk Premium," Computing in Economics and Finance 2006 217, Society for Computational Economics.
    8. Pablo Castañeda & Eduardo Fajnzylber, 2008. "Reflexiones sobre la Política de Inversión de los Fondos de Cesantía," Working Papers 25, Superintendencia de Pensiones, revised May 2008.
    9. Pablo Castañeda, 2006. "Portfolio Choice and Benchmarking: The Case of the Unemployment Insurance Fund in Chile," Working Papers 16, Superintendencia de Pensiones, revised May 2006.
    10. Anna Battauz & Marzia Donno & Alessandro Sbuelz, 2017. "Reaching nirvana with a defaultable asset?," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 40(1), pages 31-52, November.
    11. Baschieri, Giulia & Carosi, Andrea & Mengoli, Stefano, 2015. "Local IPOs, local delistings, and the firm location premium," Journal of Banking & Finance, Elsevier, vol. 53(C), pages 67-83.
    12. Huang, Huaxiong & Milevsky, Moshe A., 2008. "Portfolio choice and mortality-contingent claims: The general HARA case," Journal of Banking & Finance, Elsevier, vol. 32(11), pages 2444-2452, November.
    13. Fujiwara, Hajime & Kijima, Masaaki, 2007. "Pricing of path-dependent American options by Monte Carlo simulation," Journal of Economic Dynamics and Control, Elsevier, vol. 31(11), pages 3478-3502, November.
    14. Castaneda, Pablo & Rudolph, Heinz P., 2011. "Upgrading investment regulations in second pillar pension systems : a proposal for Colombia," Policy Research Working Paper Series 5775, The World Bank.

  28. Jérôme Detemple & René Garcia & Marcel Rindisbacher, 2005. "Representation formulas for Malliavin derivatives of diffusion processes," Finance and Stochastics, Springer, vol. 9(3), pages 349-367, July.

    Cited by:

    1. Jérôme Detemple, 2014. "Portfolio Selection: A Review," Journal of Optimization Theory and Applications, Springer, vol. 161(1), pages 1-21, April.
    2. Hening Liu, 2011. "Dynamic portfolio choice under ambiguity and regime switching mean returns," Post-Print hal-00781344, HAL.
    3. Christian Olivera & Evelina Shamarova, 2020. "Gaussian density estimates for solutions of fully coupled forward‐backward SDEs," Mathematische Nachrichten, Wiley Blackwell, vol. 293(8), pages 1554-1564, August.
    4. Alos, Elisa & Ewald, Christian-Oliver, 2007. "Malliavin differentiability of the Heston volatility and applications to option pricing," MPRA Paper 3237, University Library of Munich, Germany.
    5. Dung, Nguyen Tien, 2016. "Tail probability estimates for additive functionals," Statistics & Probability Letters, Elsevier, vol. 119(C), pages 349-356.
    6. Traian A Pirvu & Ulrich G Haussmann, 2007. "A Portfolio Decomposition Formula," Papers math/0702726, arXiv.org.
    7. Neuenkirch, Andreas, 2008. "Optimal pointwise approximation of stochastic differential equations driven by fractional Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 118(12), pages 2294-2333, December.
    8. Elisa Alòs & Christian-Olivier Ewald, 2005. "A note on the Malliavin differentiability of the Heston volatility," Economics Working Papers 880, Department of Economics and Business, Universitat Pompeu Fabra.
    9. Marcel Rindisbacher & Jérôme Detemple & René Garcia, 2004. "Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes," Econometric Society 2004 North American Winter Meetings 483, Econometric Society.
    10. Lim, Andrew E.B. & Wong, Bernard, 2010. "A benchmarking approach to optimal asset allocation for insurers and pension funds," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 317-327, April.
    11. Marc Lagunas-Merino & Salvador Ortiz-Latorre, 2020. "A decomposition formula for fractional Heston jump diffusion models," Papers 2007.14328, arXiv.org.
    12. Nguyen, Tien Dung, 2018. "Tail estimates for exponential functionals and applications to SDEs," Stochastic Processes and their Applications, Elsevier, vol. 128(12), pages 4154-4170.
    13. Liu, Hening, 2011. "Dynamic portfolio choice under ambiguity and regime switching mean returns," Journal of Economic Dynamics and Control, Elsevier, vol. 35(4), pages 623-640, April.

  29. Jérôme Detemple & René Garcia & Marcel Rindisbacher, 2005. "Asymptotic Properties of Monte Carlo Estimators of Derivatives," Management Science, INFORMS, vol. 51(11), pages 1657-1675, November.

    Cited by:

    1. Castañeda, Pablo & Devoto, Benjamín, 2016. "On the structural estimation of an optimal portfolio rule," Finance Research Letters, Elsevier, vol. 16(C), pages 290-300.
    2. Patrick Leoni, 2007. "Monte-Carlo Estimations of the Downside Risk of Derivative Portfolios," Economics Department Working Paper Series n1760607, Department of Economics, National University of Ireland - Maynooth.
    3. Denis Belomestny & Christian Bender & John Schoenmakers, 2009. "True Upper Bounds For Bermudan Products Via Non‐Nested Monte Carlo," Mathematical Finance, Wiley Blackwell, vol. 19(1), pages 53-71, January.
    4. Joerg Kampen & Anastasia Kolodko & John Schoenmakers, 2008. "Monte Carlo Greeks for financial products via approximative transition densities," Papers 0807.1213, arXiv.org.
    5. Detemple, Jerome & Rindisbacher, Marcel, 2007. "Monte Carlo methods for derivatives of options with discontinuous payoffs," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3393-3417, April.
    6. Frazier, David T. & Oka, Tatsushi & Zhu, Dan, 2019. "Indirect inference with a non-smooth criterion function," Journal of Econometrics, Elsevier, vol. 212(2), pages 623-645.
    7. Romuald Elie, 2009. "Double Kernel estimation of sensitivities," Post-Print hal-00416449, HAL.
    8. Romuald Elie, 2009. "Double Kernel estimation of sensitivities," Papers 0909.2624, arXiv.org.
    9. Christian Fries & Joerg Kampen, 2010. "Global existence, regularity and a probabilistic scheme for a class of ultraparabolic Cauchy problems," Papers 1002.5031, arXiv.org, revised Oct 2012.
    10. Boyle, Phelim & Imai, Junichi & Tan, Ken Seng, 2008. "Computation of optimal portfolios using simulation-based dimension reduction," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 327-338, December.

  30. Jérôme B. Detemple & Ren Garcia & Marcel Rindisbacher, 2003. "A Monte Carlo Method for Optimal Portfolios," Journal of Finance, American Finance Association, vol. 58(1), pages 401-446, February.
    See citations under working paper version above.
  31. 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.
  32. RenÈ Garcia, 2002. "Are the Effects of Monetary Policy Asymmetric?," Economic Inquiry, Western Economic Association International, vol. 40(1), pages 102-119, January.
    See citations under working paper version above.
  33. Garcia, Rene & Bonomo, Marco, 2001. "Tests of conditional asset pricing models in the Brazilian stock market," Journal of International Money and Finance, Elsevier, vol. 20(1), pages 71-90, February.
    See citations under working paper version above.
  34. Marco Bonomo & René Garcia, 2001. "The macroeconomic effects of infrequent information with adjustment costs," Canadian Journal of Economics, Canadian Economics Association, vol. 34(1), pages 18-35, February.
    See citations under working paper version above.
  35. Garcia, Rene & Gencay, Ramazan, 2000. "Pricing and hedging derivative securities with neural networks and a homogeneity hint," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 93-115.
    See citations under working paper version above.
  36. Garcia, Rene, 1998. "Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(3), pages 763-788, August.
    See citations under working paper version above.
  37. Garcia, Rene & Ghysels, Eric, 1998. "Structural change and asset pricing in emerging markets," Journal of International Money and Finance, Elsevier, vol. 17(3), pages 455-473, June.
    See citations under working paper version above.
  38. René Garcia & Èric Renault, 1998. "A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models," Mathematical Finance, Wiley Blackwell, vol. 8(2), pages 153-161, April.
    See citations under working paper version above.
  39. Garcia, Rene & Lusardi, Annamaria & Ng, Serena, 1997. "Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(2), pages 154-176, May.
    See citations under working paper version above.
  40. Bonomo, Marco & Garcia, Rene, 1996. "Consumption and equilibrium asset pricing: An empirical assessment," Journal of Empirical Finance, Elsevier, vol. 3(3), pages 239-265, September.
    See citations under working paper version above.
  41. Garcia, Rene & Perron, Pierre, 1996. "An Analysis of the Real Interest Rate under Regime Shifts," The Review of Economics and Statistics, MIT Press, vol. 78(1), pages 111-125, February.
    See citations under working paper version above.
  42. Bonomo, Marco & Garcia, Rene, 1994. "Indexation, staggering and disinflation," Journal of Development Economics, Elsevier, vol. 43(1), pages 39-58, February.
    See citations under working paper version above.
  43. Bonomo, Marco & Garcia, Rene, 1994. "Can a Well-Fitted Equilibrium Asset-Pricing Model Produce Mean Reversion?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 9(1), pages 19-29, Jan.-Marc.
    See citations under working paper version above.
  44. Berdegue, J. A. & Installe, M. & Duque, Ch. & Garcia, R. & Quezada, X., 1989. "Application of a simulation software to the analysis of a peasant farming system," Agricultural Systems, Elsevier, vol. 30(4), pages 317-334.

    Cited by:

    1. Herve, D. & Genin, D. & Migueis, J., 2002. "A modelling approach for analysis of agro pastoral activity at the one-farm level," Agricultural Systems, Elsevier, vol. 71(3), pages 187-206, March.

  45. Laffont, Jean-Jacques & Garcia, Rene, 1977. "Disequilibrium Econometrics for Business Loans," Econometrica, Econometric Society, vol. 45(5), pages 1187-1204, July.

    Cited by:

    1. El-Shazly Alaa, 2005. "Imperfect Information and Credit Rationing Equilibrium: Evidence from Egypt," Review of Middle East Economics and Finance, De Gruyter, vol. 3(2), pages 59-72, August.
    2. Adolfo Barajas & Enrique López & Hugo Oliveros, 2001. "¿Por qué en Colombia el Crédito al Sector Privado es tan Reducido," Borradores de Economia 185, Banco de la Republica de Colombia.
    3. Petr Korab & Jitka Pomenkova, 2017. "Credit Rationing in Greece During and After the Financial Crisis," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 67(2), pages 119-139, April.
    4. Stefan Kooths & Matthias Rieger, 2008. "Caught in the US Subprime Meltdown 2007/2008: Germany Loses Its Wallet but Escapes Major Harm," Discussion Papers of DIW Berlin 825, DIW Berlin, German Institute for Economic Research.
    5. Andrea Orame, 2020. "The role of bank supply in the Italian credit market: evidence from a new regional survey," Temi di discussione (Economic working papers) 1279, Bank of Italy, Economic Research and International Relations Area.
    6. Herrera, Santiago & Hurlin, Christophe & Zaki, Chahir, 2012. "Why don't banks lend to Egypt's private sector ?," Policy Research Working Paper Series 6094, The World Bank.
    7. Jameel Ahmed, 2016. "Credit Conditions in Pakistan: Supply Constraints or Demand Deficiencies?," The Developing Economies, Institute of Developing Economies, vol. 54(2), pages 139-161, June.
    8. Sunil Kanwar, 2000. "Seasonality and Wage-responsiveness in nonclearing labour markets: Evidence from Indian agriculture," Working papers 80, Centre for Development Economics, Delhi School of Economics.
    9. Ziemer, Rod F. & White, Fred C., 1982. "Equilibrium Versus Disequilibrium In The Market For Non-Fed Cattle," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 7(2), pages 1-10, December.
    10. Zuzanna Wosko, 2016. "Determinants of credit in the Polish banking sector before and after the GFC according to information from the NBP Senior Loan Officer Survey. Does supply or demand matter?," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Combining micro and macro data for financial stability analysis, volume 41, Bank for International Settlements.
    11. Vouldis, Angelos, 2015. "Credit market disequilibrium in Greece (2003-2011) - a Bayesian approach," Working Paper Series 1805, European Central Bank.
    12. Winker, Peter, 1994. "Eine makroökonometrische Analyse von Kreditmarkt und Kreditrationierung: Bankkredite in der Bundesrepublik Deutschland 1974 - 1989," Discussion Papers, Series II 220, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy".
    13. Winker, Peter, 1996. "A macroeconomic disequilibrium model of the German credit market," Discussion Papers, Series II 302, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy".
    14. Jacquinot, Pascal & Mihoubi, F., 1996. "Dynamique et hétérogénéité de l’emploi en déséquilibre," L'Actualité Economique, Société Canadienne de Science Economique, vol. 72(2), pages 113-148, juin.
    15. Kooiman, Peter & Van Dijk, Herman K. & Thurik, A. Roy, 1985. "Likelihood diagnostics and Bayesian analysis of a micro-economic disequilibrium model for retail services," Journal of Econometrics, Elsevier, vol. 29(1-2), pages 121-148.
    16. Holmberg, Ulf, 2012. "Error Corrected Disequilibrium," Umeå Economic Studies 837, Umeå University, Department of Economics.
    17. Ramirez, Francisco A., 2012. "Crédito Al Sector Privado En República Dominicana (1997-2011): ¿Existe Evidencia De Racionamiento Del Crédito? [Private Sector Loans in the Dominican Republic (1997-2011):Is There Evidence of credi," MPRA Paper 68333, University Library of Munich, Germany.
    18. Karmelavičius, Jaunius & Mikaliūnaitė-Jouvanceau, Ieva & Petrokaitė, Austėja Petrokaitė, 2022. "Housing and credit misalignments in a two-market disequilibrium framework," ESRB Working Paper Series 135, European Systemic Risk Board.
    19. Kunitomo, Naoto & Sato, Seisho, 1996. "Asymmetry in economic time series and the simultaneous switching autoregressive model," Structural Change and Economic Dynamics, Elsevier, vol. 7(1), pages 1-34, March.
    20. BAUWENS, Luc & LUBRANO, Michel, 2007. "Bayesian inference in dynamic disequilibrium models: an application to the Polish credit market," LIDAM Reprints CORE 1918, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    21. Nikolai Lazarov, 2022. "Evaluation of the factors influencing household lending in Bulgaria," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 2, pages 221-238.
    22. Uctum, Remzi, 2007. "Économétrie des modèles à changement de régimes : un essai de synthèse," L'Actualité Economique, Société Canadienne de Science Economique, vol. 83(4), pages 447-482, décembre.
    23. Hassan, Faiza & Qayyum, Abdul, 2013. "Modelling the Demand for Bank Loans by Private Business Sector in Pakistan," MPRA Paper 55366, University Library of Munich, Germany, revised Apr 2014.
    24. Oczkowski, Edward, 1998. "The impact of market clearing assumptions and dynamics on demand elasticities," Economics Letters, Elsevier, vol. 59(1), pages 39-43, April.
    25. Peter Kugler, 1985. "Ungleichgewichtsökonometrie für den schweizerischen Hypothekarzinssatz," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 121(I), pages 35-44, March.
    26. Ty Kreitman & Todd Kuethe & David B. Oppedahl & Francisco Scott, 2022. "The Supply and Demand of Agricultural Loans," Research Working Paper RWP 22-06, Federal Reserve Bank of Kansas City.
    27. Niels Hermes & Ernest Kihanga & Robert Lensink & Clemens Lutz, 2015. "The determinants of trade credit use: the case of the Tanzanian rice market," Applied Economics, Taylor & Francis Journals, vol. 47(30), pages 3164-3174, June.
    28. Philippe Adair & Fredj Fhima, 2014. "Small and Medium-sized Enterprises' Credit Rationing on the Tunisian Bank Credit Market," Post-Print hal-01667356, HAL.
    29. Patrick Artus, 1984. "Le fonctionnement du marché du crédit : diverses analyses dans un cadre de déséquilibre," Revue Économique, Programme National Persée, vol. 35(4), pages 591-622.
    30. Christophe Hurlin & R. Kierzenkowski, 2007. "Credit Market Disequilibrium in Poland: Can we find what we expect? Non stationarity and the Short Side Rule," Post-Print halshs-00257320, HAL.
    31. Alexander Herman & Mr. Alexander D Klemm, 2017. "Financial Deepening in Mexico," IMF Working Papers 2017/019, International Monetary Fund.
    32. Shigehiro Shinozaki, 2014. "Innovative financing models for SMEs and the regulatory implications," Chapters, in: Iwan J. Azis & Hyun S. Shin (ed.), Global Shock, Risks, and Asian Financial Reform, chapter 16, pages 628-675, Edward Elgar Publishing.
    33. Arano, Kathleen G. & Blair, Benjamin F., 2008. "An ex-post welfare analysis of natural gas regulation in the industrial sector," Energy Economics, Elsevier, vol. 30(3), pages 789-806, May.
    34. Sangyup Choi, 2018. "Bank Lending Standards, Loan Demand, and the Macroeconomy: Evidence from the Emerging Market Bank Loan Officer Survey," Working papers 2018rwp-126, Yonsei University, Yonsei Economics Research Institute.
    35. Jennifer Ifft & Todd H. Kuethe & Gregory Lyons & Alexander Schultz & John Y. Zhu, 2024. "Crop insurance's impact on commercial bank loan volumes: Theory and evidence," Applied Economic Perspectives and Policy, John Wiley & Sons, vol. 46(1), pages 318-337, March.
    36. Adrian Blundell-Wignall & Marianne Gizycki, 1992. "Credit Supply and Demand and the Australian Economy," RBA Research Discussion Papers rdp9208, Reserve Bank of Australia.
    37. Nehls, Hiltrud & Schmidt, Torsten, 2003. "Credit Crunch in Germany?," RWI Discussion Papers 6, RWI - Leibniz-Institut für Wirtschaftsforschung.
    38. Kanwar, Sunil, 1998. "Wage responsiveness of labour supply and demand in nonclearing rural markets: the case of Indian agriculture," Economics Letters, Elsevier, vol. 61(3), pages 395-402, December.
    39. Kremp, Elizabeth & Sevestre, Patrick, 2013. "Did the crisis induce credit rationing for French SMEs?," Journal of Banking & Finance, Elsevier, vol. 37(10), pages 3757-3772.
    40. Poghosyan, Tigran, 2011. "Slowdown of credit flows in Jordan in the wake of the global financial crisis: Supply or demand driven?," Economic Systems, Elsevier, vol. 35(4), pages 562-573.
    41. Juan Luis Vega, 1992. "El papel del crédito en el mecanismo de transmisión monetaria," Estudios Económicos, Banco de España, number 48.
    42. Khemraj, Tarron & Primus, Keyra, 2013. "Testing for the Credit Crunch in Trinidad and Tobago Using an Alternative Method," MPRA Paper 47372, University Library of Munich, Germany.
    43. Holt, Matthew T., 1991. "A Multi-Market Bounded Prices Model Under Rational Expectations: The Case of Corn and Soybeans in the U.S," 1991 Annual Meeting, August 4-7, Manhattan, Kansas 271199, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    44. Bofinger, Peter & Maas, Daniel & Ries, Mathias, 2017. "A model of the market for bank credit: The case of Germany," W.E.P. - Würzburg Economic Papers 98, University of Würzburg, Department of Economics.
    45. Greetje Everaert & Ms. Natasha X Che & Ms. Nan Geng & Bertrand Gruss & Gregorio Impavido & Miss Yinqiu Lu & Christian Saborowski & Mr. Jerome Vandenbussche & Mr. Li Zeng, 2015. "Does Supply or Demand Drive the Credit Cycle? Evidence from Central, Eastern, and Southeastern Europe," IMF Working Papers 2015/015, International Monetary Fund.
    46. Panicos O. Demetriades & Bassam Fattouh, 2006. "Excess Credit and the South Korean Crisis," WIDER Working Paper Series RP2006-84, World Institute for Development Economic Research (UNU-WIDER).
    47. Tamini, Arnaud & Petey, Joël, 2021. "Hoarding of reserves in the banking industry: Explaining the African paradox," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 214-225.
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    49. Lorenzo Burlon & Davide Fantino & Andrea Nobili & Gabriele Sene, 2016. "The quantity of corporate credit rationing with matched bank-firm data," Temi di discussione (Economic working papers) 1058, Bank of Italy, Economic Research and International Relations Area.
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