Similar Search Results

Risk aversion, intertemporal substitution, and the term structure of interest rates

Garcia, René; Luger, Richard - In: Journal of applied econometrics 27 (2012) 6, pp. 1013-1036

Persistent link: https://www.econbiz.de/10010219748

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

Assessing and valuing the nonlinear structure of hedge fund returns

Díez de los Ríos, Antonio; Garcia, René - In: Journal of applied econometrics 26 (2011) 2, pp. 193-212

Persistent link: https://www.econbiz.de/10008936915

Pricing and hedging derivative securities with neural networks and a homogeneity hint

Garcia, René; Gençay, Ramazan - In: Journal of econometrics 94 (2000) 1/2, pp. 93-115

Persistent link: https://www.econbiz.de/10001437747

Measuring high-frequency causality between returns, realized volatility, and implied volatility

Dufour, Jean-Marie; Garcia, René; Taamouti, Abderrahim - In: Journal of financial econometrics : official journal of … 10 (2012) 1, pp. 124-163

Persistent link: https://www.econbiz.de/10009519709

Bond liquidity premia

Fontaine, Jean-Sébastien; Garcia, René - In: The review of financial studies 25 (2012) 4, pp. 1207-1254

Persistent link: https://www.econbiz.de/10009520088

The option CAPM and the performance of hedge funds

Díez de los Ríos, Antonio; Garcia, René - In: Review of derivatives research 14 (2011) 2, pp. 137-167

Persistent link: https://www.econbiz.de/10009272484

Asymptotic properties of Monte Carlo estimators of diffusion processes

Detemple, Jérôme B.; Garcia, René; Rindisbacher, Marcel - In: Journal of econometrics 134 (2006) 1, pp. 1-68

Persistent link: https://www.econbiz.de/10003368411

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

The Canadian macroeconomy and the yield curve : an equilibrium-based approach

Garcia, René; Luger, Richard - In: The Canadian journal of economics 40 (2007) 2, pp. 561-583

Persistent link: https://www.econbiz.de/10003492926