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Additional Tests for a Unit Root Allowing for a Break in the Trend Function at an Unknown Time.
Vogelsang, T.J.; Perron, P. - Département de Sciences Économiques, Université de … - 1994
Persistent link: https://www.econbiz.de/10005729922
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The Effect of Seasonal Adjustment Filters on Test for Unit Root.
Ghysels, E.; Perron, P. - Département de Sciences Économiques, Université de … - 1990
Persistent link: https://www.econbiz.de/10005729923
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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
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Measuring causality between volatility and returns with high-frequency data
Dufour, Jean-Marie (contributor); Garcia, René (contributor) - 2008
Persistent link: https://www.econbiz.de/10003774245
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The JFEC invited lecture at the 2008 SoFiE conference
Garcia, René (contributor); Ghysels, Eric (contributor);  … - 2009
Persistent link: https://www.econbiz.de/10003884345
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The econometrics of option pricing
Garcia, René; Ghysels, Eric; Renault, Eric - 2010
Persistent link: https://www.econbiz.de/10003900680
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Assessing and valuing the non-linear structure of hedge fund returns
Díez de los Ríos, Antonio; Garcia, René - 2006
Persistent link: https://www.econbiz.de/10003372249
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Disentangling risk aversionand intertemporal substitution through a reference level
Garcia, René; Renault, Eric; Semenov, Andrei - In: Finance research letters 3 (2006) 3, pp. 181-193
Persistent link: https://www.econbiz.de/10003374037
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Special issue on "Multivariate volatility models"
Garcia, René (contributor); Ghysels, Eric (contributor);  … - 2009
Persistent link: https://www.econbiz.de/10003907531
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Bond liquidity premia
Fontaine, Jean-Sébastien; Garcia, René - 2009
Recent asset pricing models of limits to arbitrage emphasize the role of funding conditions faced by financial intermediaries. In the US, the repo market is the key funding market. Then, the premium of on-the-run U.S. Treasury bonds should share a common component with risk premia in other...
Persistent link: https://www.econbiz.de/10003933337