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Browsing by Author « Garcia, René »

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Showing results 9 to 28 of 28
Disappointment Aversion as a Solution to the Equity Premium and the Risk-Free Rate Puzzles
Bonomo, Marco; Garcia, René
Issue Date : 1994-10

Disentangling Risk Aversion and Intertemporal Substitution Through a Reference Level
Garcia, René; Renault, Éric; Semenov, Andrei
Issue Date : 2003-04

The Econometrics of Option Pricing
Garcia, René; Ghysels, Eric; Renault, Éric
Issue Date : 2004-01

Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables
Garcia, René; Luger, Richard; Renault, Éric
Issue Date : 2001-01

Empirical assessment of an intertemporal option pricing model with latent variables
Garcia, René; Luger, Richard; Renault, Éric
Issue Date : 2001

Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation
Garcia, René; Lusardi, Annamaria; Ng, Serena
Issue Date : 1995-02

Incorporating Second-Order Functional Knowledge for Better Option Pricing
Bélisle, François; Bengio, Yoshua; Dugas, Charles; Garcia, René; Nadeau, Claude
Issue Date : 2002-05

Latent Variable Models for Stochastic Discount Factors
Garcia, René; Renault, Éric
Issue Date : 1999-11

Latent variable models for stochastic discount factors
Garcia, René; Renault, Éric
Issue Date : 2000

Measuring High-Frequency Causality Between Returns, Realized Volatility and Implied Volatility
Dufour, Jean-Marie; Garcia, René; Taamouti, Abderrahim
Issue Date : 2011-02

A Model-Free Measure of Aggregate Idiosyncratic Volatility and the Prediction of Market Returns
Garcia, René; Mantilla-Garcia, Daniel; Martellini, Lionel
Issue Date : 2013-01

A Monte-Carlo Method for Optimal Portfolios
Detemple, Jérôme B.; Garcia, René; Rindisbacher, Marcel
Issue Date : 2000-01

A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models
Garcia, René; Renault, Éric
Issue Date : 1997-04

On the Dynamic Specification of International Asset Pricing Models
Garcia, René; Ghysels, Eric; Kichian, Maral
Issue Date : 1995-09

Pricing and Hedging Derivative Securities with Neural Networks and a Homogeneity Hint
Garcia, René; Gençay, Ramazan
Issue Date : 1998-11

Risk Aversion, Intertemporal Substitution, and Option Pricing
Garcia, René; Renault, Éric
Issue Date : 1998-02

Risk Aversion, Intertemporal Substitution, and the Term Structure of Interest Rates
Garcia, René; Luger, Richard
Issue Date : 2009-05

Structural Change and Asset Pricing in Emerging Markets
Garcia, René; Ghysels, Eric
Issue Date : 1996-11

Tests of Conditional Asset Pricing Models in the Brazilian Stock Market
Bonomo, Marco; Garcia, René
Issue Date : 1997-04

The Value of Real and Financial Risk Management
Boyer, Marcel; Boyer, M. Martin; Garcia, René
Issue Date : 2005-12

Showing results 9 to 28 of 28

 

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