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PRICING
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Asymmetric Smiles, Leverage Effects and Structural Parameters.
Garcia, R.
;
Luger, R.
;
Renault, E.
-
Centre Interuniversitaire de Recherche en Économie …
-
2001
In this paper, we characterize the asymmetric of the smile through multiple leverage effects in a stochastic dynamic asset pricing framework.
Persistent link: https://www.econbiz.de/10005346027
Saved in:
2
Empirical Assessment of an Intertemporal option Pricing Model with Latent variables.
Garcia, R.
;
Luger, R.
;
Renault, E.
-
Centre Interuniversitaire de Recherche en Économie …
-
2001
This assesses the empirical performance of an intertemporal option pricing model with latent variables with generalized the Hull-White stochastic volatility formula.
Persistent link: https://www.econbiz.de/10005346028
Saved in:
3
Letent Variable Models for Stochastic Discount Factors.
Garcia, R.
;
Renault, E.
-
Centre Interuniversitaire de Recherche en Économie …
-
2000
In this paper, we provided a unifying analysis of latent variable models in finance through the concept of stochastic discount factor (SDF).
Persistent link: https://www.econbiz.de/10005353040
Saved in:
4
An Analysis of the Real Interest rate Under Regime Shifts.
Garcia, R.
;
Perron, P.
-
Centre Interuniversitaire de Recherche en Économie …
-
1994
Persistent link: https://www.econbiz.de/10005353051
Saved in:
5
Indexation, Staggering and Disinflation.
Garcia, R.
;
Bonomo, M.
-
Centre Interuniversitaire de Recherche en Économie …
-
1992
Persistent link: https://www.econbiz.de/10005353064
Saved in:
6
On the Dynamic Specification of International Asset Pricing Models.
Kichian, M.
;
Garcia, R.
;
Ghysels, E.
-
Centre Interuniversitaire de Recherche en Économie …
-
1995
Persistent link: https://www.econbiz.de/10005353088
Saved in:
7
Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation.
Garcia, R.
;
Lusardi, A.
;
Ng, S.
-
Centre Interuniversitaire de Recherche en Économie …
-
1995
Persistent link: https://www.econbiz.de/10005353094
Saved in:
8
Asymptotic Null Contribution of the Likelihood Ratio Test in Markov Switching Models.
Garcia, R.
-
Centre Interuniversitaire de Recherche en Économie …
-
1995
Persistent link: https://www.econbiz.de/10005353102
Saved in:
9
Are the Effects of Monetary Policy Asymmetric?
Garcia, R.
;
Schaller, H.
-
Département de Sciences Économiques, Université de …
-
1995
Persistent link: https://www.econbiz.de/10005353233
Saved in:
10
An analysis of Real Interest Rate Under Regime Shifts.
Garcia, R.
;
Perron, P.
-
Département de Sciences Économiques, Université de …
-
1991
Persistent link: https://www.econbiz.de/10005353272
Saved in:
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