Parcourir Faculté des arts et des sciences – Département de sciences économiques - Travaux et publications par auteur·e "Garcia, René"
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An Analysis of the Real Interest rate Under Regime Shifts
Garcia, René; Perron, Pierre (Université de Montréal. Département de sciences économiques., 1994) -
Are the Effects of Monetary Policy Asymmetric?
Garcia, René; Schaller, Huntley (Université de Montréal. Département de sciences économiques., 1995) -
Asymmetric Smiles, Leverage Effects and Structural Parameters
Garcia, René; LUGER, Richard; Renault, Éric (Université de Montréal. Département de sciences économiques., 2001)In this paper, we characterize the asymmetries of the smile through multiple leverage effects in a stochastic dynamic asset pricing framework. The dependence between price movements and future volatility is introduced through a set of latent state ... -
Asymptotic Null Contribution of the Likelihood Ratio Test in Markov Switching Models
Garcia, René (Université de Montréal. Département de sciences économiques., 1995) -
Disappointment Aversion as a Solution to the Equity Premium and the Risk-Free Rate Puzzles
Garcia, René; Bonomo, Marco (Université de Montréal. Département de sciences économiques., 1993) -
Empirical Assessment of an Intertemporal Option Pricing Model with Latent variables
Garcia, René; LUGER, Richard; Renault, Éric (Université de Montréal. Département de sciences économiques., 2001)This paper assesses the empirical performance of an intertemporal option pricing model with latent variables which generalizes the Hull-White stochastic volatility formula. Using this generalized formula in an ad-hoc fashion to extract two implicit ... -
Excess Sensitivity and Asymmetries in Consumption: an Empirical Investigation
Garcia, René; Lusardi, Annamaria; Ng, Serena (Université de Montréal. Département de sciences économiques., 1995) -
Latent Variable Models for Stochastic Discount Factors
Garcia, René; Renault, Éric (Université de Montréal. Département de sciences économiques., 2000)Latent variable models in finance originate both from asset pricing theory and time series analysis. These two strands of literature appeal to two different concepts of latent structures, which are both useful to reduce the dimension of a statistical ... -
The Macroeconomic Effects of Infrequent Information with Adjustment Costs
Bonomo, Marco; Garcia, René (Université de Montréal. Département de sciences économiques., 1997)In the last decade, the potential macroeconomic effects of intermittent large adjustments in microeconomic decision variables such as prices, investment, consumption of durables or employment – a behavior which may be justified by the presence of kinked ... -
On the Dynamic Specification of International Asset Pricing Models
Kichian, Maral; Garcia, René; Ghysels, Eric (Université de Montréal. Département de sciences économiques., 1995) -
Risk Aversion, Intertemporal Substitution, and Option Pricing
Garcia, René; Renault, Éric (Université de Montréal. Département de sciences économiques., 1998)This paper develops a general stochastic framework and an equilibrium asset pricing model that make clear how attitudes towards intertemporal substitution and risk matter for option pricing. In particular, we show under which statistical conditions ... -
Tests of Conditional Asset Pricing Models in the Brazilian Stock Market
Bonomo, Marco; Garcia, René (Université de Montréal. Département de sciences économiques., 1997)In this paper, we test a version of the conditional CAPM with respect to a local market portfolio, proxied by the Brazilian stock index during the 1976-1992 period. We also test a conditional APT model by using the difference between the 30-day rate ... -
Tests of Conditional Asset Pricing Models in the Brazilian Stock Market
Bonomo, Marco; Garcia, René (Université de Montréal. Département de sciences économiques., 1997)In this paper, we test a version of the conditional CAPM with respect to a local market portfolio, proxied by the Brazilian stock index during the 1976-1992 period. We also test a conditional APT model by using the difference between the 30-day rate ...