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Asymptotic null distribution of the likelihood ratio test in Markov switching models

Garcia, René - 1995

Persistent link: https://www.econbiz.de/10001512540

Modèles d'évaluation des actifs financiers dans les marchés boursiers en émergence : identification des facteurs de risque et tests de changement structurel

Garcia, René - In: L' Actualité économique : revue trimest. 74 (1998) 3, pp. 467-484

Persistent link: https://www.econbiz.de/10001338886

Can a well-fitted equilibrium asset pricing model produce mean reversion?

Bonomo, Marco Antonio; Garcia, René - 1992

Persistent link: https://www.econbiz.de/10000136222

State dependence can explain the risk aversion puzzle

Chabi-Yo, Fousseni; Garcia, René; Renault, Eric - In: The review of financial studies 21 (2008) 2, pp. 973-1011

Persistent link: https://www.econbiz.de/10003716673

The econometrics of option pricing

Garcia, René; Ghysels, Eric; Renault, Eric - 2010

Persistent link: https://www.econbiz.de/10003900680

Special issue on "Multivariate volatility models"

Garcia, René (contributor); Ghysels, Eric (contributor); … - 2009

Persistent link: https://www.econbiz.de/10003907531

State-dependent pricing under infrequent information : a unified framework

Bonomo, Marco Antonio; Carvalho, Carlos Viana de; … - 2010

We characterize optimal state-dependent pricing rules under various forms of infrequent information. In all models, infrequent price changes arise from the existence of a lump-sum “menu cost.” We entertain various alternatives for the source and nature of infrequent information. In two...

Persistent link: https://www.econbiz.de/10008657255

Estimation of objective and risk-neutral distributions based on moments of integrated volatility

Garcia, René; Lewis, Marc-André; Pastorello, Sergio; … - In: Journal of econometrics 160 (2011) 1, pp. 22-32

Persistent link: https://www.econbiz.de/10009242563

Dependence structure and extreme comovements in international equity and bond markets

Garcia, René; Tsafack, Georges - In: Journal of banking & finance 35 (2011) 8, pp. 1954-1970

Persistent link: https://www.econbiz.de/10009247377

Alleviating coordination problems and regulatory constraints through financial risk management

Boyer, Marcel; Boyer, Marcel; Garcia, René - In: The quarterly journal of finance 3 (2013) 2, pp. 1-39

Persistent link: https://www.econbiz.de/10010245464