René Garcia

Université de Montréal - CIREQ - Département de sciences économiques

C.P. 6128, succursale Centre-Ville

3150, rue Jean-Brillant, bureau C-6027

Montreal, Quebec H3C 3J7

Canada

University of Montreal

Full Professor

United States

  • Université de Montréal - CIREQ - Département de sciences économiques

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    • Tel: 514-985-4014

  • University of Montreal

SCHOLARLY PAPERS

35

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11,734

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152

CROSSREF CITATIONS

100

Scholarly Papers (35)

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1.

A Monte Carlo Method for Optimal Portfolios

Downloads 1,895 ( 10,406)
Citation 24

A Monte Carlo Method for Optimal Portfolios

Number of pages: 52 Posted: 16 Nov 2000
Jerome Detemple, René Garcia and Marcel Rindisbacher
Boston University Questrom School of Business, Université de Montréal - CIREQ - Département de sciences économiques and Questrom School of Business, Boston University
Downloads 1,895 (10,193)
Citation 24

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A Monte Carlo Method for Optimal Portfolios

Journal of Finance, Vol. 58, pp. 401-446, 2003
Posted: 04 Aug 2003
Jerome Detemple, René Garcia and Marcel Rindisbacher
Boston University Questrom School of Business, Université de Montréal - CIREQ - Département de sciences économiques and Questrom School of Business, Boston University

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2.

Bond Liquidity Premia

Review of Financial Studies, (2012) 25 (4):1207-1254, EFA 2009 Bergen Meetings Paper
Number of pages: 60 Posted: 01 Mar 2007 Last Revised: 22 Nov 2012
Jean-Sebastien Fontaine and René Garcia
Bank of Canada and Université de Montréal - CIREQ - Département de sciences économiques
Downloads 1,270 (19,459)
Citation 29

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Bond Prices, Term Structure, Funding Liquidity

3.

The Econometrics of Option Pricing

Number of pages: 79 Posted: 02 Jan 2004
René Garcia, Eric Ghysels and Eric Renault
Université de Montréal - CIREQ - Département de sciences économiques, University of North Carolina Kenan-Flagler Business School and University of North Carolina (UNC) at Chapel Hill - Department of Economics
Downloads 1,223 (20,606)
Citation 18

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Stock Price Dynamics, Multivariate Jump-Diffusion Models, Latent variables, Stochastic Volatility, Objective and Risk Neutral Distributions, Nonparametric Option Pricing, Discrete time Option Pricing Models, Risk Neutral Valuation, Preference-free Option Pricing

4.

The Value of Real and Financial Risk Management

Number of pages: 37 Posted: 02 Jan 2006
Marcel Boyer, M. Martin Boyer and René Garcia
CIRANO, Université de Monréal, HEC Montreal - Department of Finance and Université de Montréal - CIREQ - Département de sciences économiques
Downloads 901 (32,127)
Citation 5

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Risk Management, Firm Value, Coordination, Value at Risk

5.

Economic Implications of Nonlinear Pricing Kernels

AFA 2009 San Francisco Meetings Paper, Management Science, vol 63, number 10, 2017
Number of pages: 41 Posted: 25 Mar 2008 Last Revised: 01 Jun 2021
Caio Almeida and René Garcia
Princeton University and Université de Montréal - CIREQ - Département de sciences économiques
Downloads 627 (52,465)
Citation 25

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Stochastic Discount Factor, Information-Theoretic Bounds, Generalized Minimum Contrast Estimators, Implicit Utility Maximizing Weights

6.

The Value of Risk Management: A Frontier Analysis

Number of pages: 39 Posted: 25 Mar 2005
Marcel Boyer, René Garcia and M. Martin Boyer
CIRANO, Université de Monréal, Université de Montréal - CIREQ - Département de sciences économiques and HEC Montreal - Department of Finance
Downloads 432 (83,119)

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Efficiency frontier, risk management, operations management, price of risk

7.

Assessing and Valuing the Non-Linear Structure of Hedge Fund Returns

Bank of Canada Working Paper No. 2006-31
Number of pages: 26 Posted: 15 Mar 2006 Last Revised: 31 Oct 2008
Antonio Diez de los Rios and René Garcia
Bank of Canada and Université de Montréal - CIREQ - Département de sciences économiques
Downloads 431 (83,318)
Citation 14

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Hedge Funds, Nonlinear Returns Structure, Valuation of Contingent Claims, Performance of Hedge Funds

8.

A Model-Free Measure of Aggregate Idiosyncratic Volatility and the Prediction of Market Returns

CIRANO - Scientific Publication No. 2013s-01
Number of pages: 58 Posted: 19 Jan 2013
René Garcia, Daniel Mantilla-Garcia and Lionel Martellini
Université de Montréal - CIREQ - Département de sciences économiques, Universidad de Los Andes - School of Management and EDHEC Business School
Downloads 421 (85,664)
Citation 4

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Aggregate idiosyncratic volatility, cross-sectional dispersion, prediction of market returns

9.

Optimal Portfolio Allocations with Hedge Funds

Paris December 2010 Finance Meeting EUROFIDAI - AFFI
Number of pages: 64 Posted: 24 Oct 2010
Jerome Detemple, Marcel Rindisbacher and René Garcia
Boston University Questrom School of Business, Questrom School of Business, Boston University and Université de Montréal - CIREQ - Département de sciences économiques
Downloads 403 (90,085)
Citation 7

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Asset Allocation, Hedge Funds, Performance Measurement, Market Timing, Market Price of Risk

10.

A Multirisk Approach to Measuring Corporate Hedging and its Determinants

Number of pages: 38 Posted: 16 Jul 2008
David De Angelis and René Garcia
Rice University - Jesse H. Jones Graduate School of Business and Université de Montréal - CIREQ - Département de sciences économiques
Downloads 400 (90,860)
Citation 2

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Risk Management, Corporate Hedging, Derivatives, Foreign Currency Hedging, Interest Rate Hedging, Commodity Hedging, Equity Hedging, Financial Distress, Managerial Risk Aversion

11.

Assessing Misspecified Asset Pricing Models with Empirical Likelihood Estimators

Downloads 358 (103,230)
Citation 20

Assessing Misspecified Asset Pricing Models with Empirical Likelihood Estimators

EFA 2009 Bergen Meetings Paper, Journal of Econometrics, Vol. 170, No. 2, 2012
Number of pages: 44 Posted: 16 Feb 2009 Last Revised: 01 Jun 2021
Caio Almeida and René Garcia
Princeton University and Université de Montréal - CIREQ - Département de sciences économiques
Downloads 274 (136,932)
Citation 2

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Stochastic Discount Factor, Euler Equations, Generalized Minimum Contrast Estimators, Model Selection, Cressie Read Discrepancies

Assessing Misspecified Asset Pricing Models with Empirical Likelihood Estimators

Number of pages: 61 Posted: 17 Mar 2009
Caio Almeida and René Garcia
Princeton University and Université de Montréal - CIREQ - Département de sciences économiques
Downloads 84 (362,763)
Citation 20

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Stochastic Discount Factor, Euler Equations,Generalized Minimum Contrast Estimators, Model Selection, Cressie Read Discrepancies

12.

Estimation of Stable Distributions by Indirect Inference

Number of pages: 62 Posted: 09 Sep 2005 Last Revised: 11 Jun 2009
René Garcia, Eric Renault and David Veredas
Université de Montréal - CIREQ - Département de sciences économiques, University of North Carolina (UNC) at Chapel Hill - Department of Economics and Vlerick Business School
Downloads 345 (107,528)
Citation 8

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Stable distribution, Indirect Inference, Constrained Indirect Inference, Skewed-t distribution

13.

Funding Risk, Market Liquidity, Market Volatility and the Cross-Section of Asset Returns

Number of pages: 55 Posted: 30 Jan 2015 Last Revised: 29 Oct 2016
Jean-Sebastien Fontaine, René Garcia and Sermin Gungor
Bank of Canada, Université de Montréal - CIREQ - Département de sciences économiques and University of Western Ontario
Downloads 299 (125,612)
Citation 6

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Funding risk, Stock returns, Limits to arbitrage, Market liquidity, Volatility

14.

Nonparametric Assessment of Hedge Fund Performance

Journal of Econometrics, Vol. 214, No. 2, 2020
Number of pages: 62 Posted: 08 Aug 2013 Last Revised: 01 Jun 2021
Caio Almeida, Kym Ardison and René Garcia
Princeton University, Getulio Vargas Foundation (FGV) - FGV/EPGE Escola Brasileira de Economia e Finanças and Université de Montréal - CIREQ - Département de sciences économiques
Downloads 291 (129,182)
Citation 5

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Stochastic Discount Factors, Performance Measurement, Minimum Discrepancy measures, Nonparametric discounting

15.

Nonparametric Tail Risk, Stock Returns and the Macroeconomy

Journal of Financial Econometrics, Vol. 15, Issue 3, 2017
Number of pages: 58 Posted: 25 Apr 2016 Last Revised: 01 Jun 2021
Caio Almeida, Kym Ardison, René Garcia and Jose Vicente
Princeton University, Getulio Vargas Foundation (FGV) - FGV/EPGE Escola Brasileira de Economia e Finanças, Université de Montréal - CIREQ - Département de sciences économiques and Government of the Federative Republic of Brazil - Central Bank of Brazil
Downloads 266 (141,865)
Citation 10

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Tail Risk, Risk Factor, Risk-Neutral Probability, Prediction of Market Returns, Economic Predictability

16.

Dependence Structure and Extreme Comovements in International Equity and Bond Markets with Portfolio Diversification Effects

Number of pages: 57 Posted: 24 Mar 2008
Georges Tsafack and René Garcia
Suffolk University and Université de Montréal - CIREQ - Département de sciences économiques
Downloads 254 (148,558)
Citation 14

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17.

An Analytical Framework for Assessing Asset Pricing Models and Predictability

Number of pages: 47 Posted: 19 Mar 2008
René Garcia, Nour Meddahi and Roméo Tédongap
Université de Montréal - CIREQ - Département de sciences économiques, Imperial College Business School and ESSEC Business School
Downloads 236 (160,212)
Citation 15

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Equilibrium Asset Pricing, Equity Premium, Risk-free Rate Puzzle, Predictability

18.

Idiosyncratic Risk and the Cross-Section of Realized Returns: Reconciling the Aggregate Returns’ Predictability Evidence

Number of pages: 67 Posted: 17 Mar 2010
Daniel Mantilla-Garcia, Lionel Martellini and René Garcia
Universidad de Los Andes - School of Management, EDHEC Business School and Université de Montréal - CIREQ - Département de sciences économiques
Downloads 227 (165,663)

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Idiosyncratic volatility, cross-sectional distribution of returns, predictability of aggregate returns

19.

Measuring High-Frequency Causality between Returns, Realized Volatility and Implied Volatility

CIRANO Scientific Publication No. 2011s-27
Posted: 07 Mar 2011
Jean-Marie Dufour, René Garcia and Abderrahim Taamouti
McGill University, Université de Montréal - CIREQ - Département de sciences économiques and Universidad Carlos III de Madrid
Downloads 199 (187,452)

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Volatility asymmetry, leverage effect, volatility feedback effect, risk premium, variance risk premium, multi-horizon causality, causality measure, high-frequency data, realized volatility, bipower variation, implied volatility

20.

State-Dependent Pricing under Infrequent Information: A Unified Framework

Downloads 189 (196,359)
Citation 14

State-Dependent Pricing under Infrequent Information: A Unified Framework

Number of pages: 45 Posted: 12 May 2010 Last Revised: 14 May 2011
Marco Bonomo, Carlos Carvalho and René Garcia
Insper Institute of Education and Research, Asset 1 Investment Company and Université de Montréal - CIREQ - Département de sciences économiques
Downloads 153 (235,754)
Citation 7

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menu costs, information costs, infrequent information, sticky information, inattentiveness, optimal price setting, state-dependent pricing, time-dependent pricing

State-Dependent Pricing Under Infrequent Information: A Unified Framework

FRB of New York Staff Report No. 455
Number of pages: 46 Posted: 24 Jun 2010 Last Revised: 16 May 2011
Marco Bonomo, Carlos Carvalho and René Garcia
Insper Institute of Education and Research, Asset 1 Investment Company and Université de Montréal - CIREQ - Département de sciences économiques
Downloads 36 (543,939)
Citation 8

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Menu Costs, Information Costs, Infrequent Information, Sticky Information, Inattentiveness, Optimal Price Setting

21.

Extracting Tail Risk from High-Frequency S&P 500 Returns

Number of pages: 58 Posted: 31 Jul 2018 Last Revised: 13 Jan 2020
Caio Almeida, Kym Ardison, René Garcia and Piotr Orłowski
Princeton University, Getulio Vargas Foundation (FGV) - FGV/EPGE Escola Brasileira de Economia e Finanças, Université de Montréal - CIREQ - Département de sciences économiques and HEC Montréal
Downloads 178 (206,940)

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22.

Generalized Disappointment Aversion, Long-Run Volatility Risk and Asset Prices

Review Review of Financial Studies, January 2011, 24, 82-122
Number of pages: 49 Posted: 19 Feb 2009 Last Revised: 13 Dec 2013
Marco Bonomo, René Garcia, Nour Meddahi and Roméo Tédongap
Insper Institute of Education and Research, Université de Montréal - CIREQ - Département de sciences économiques, Imperial College Business School and ESSEC Business School
Downloads 171 (214,293)
Citation 20

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disappointment aversion, long-run risk, equity premium, asset returns, predictability, equilibrium Asset Pricing, risk-free rate puzzle

23.

Time- and State-Dependent Pricing: A Unified Framework

Number of pages: 47 Posted: 19 Sep 2011
Marco Bonomo, Carlos Carvalho and René Garcia
Insper Institute of Education and Research, Asset 1 Investment Company and Université de Montréal - CIREQ - Département de sciences économiques
Downloads 144 (247,284)
Citation 4

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menu costs, information costs, infrequent information, sticky information, inattentiveness, optimal price setting, state-dependent pricing, time-dependent pricing

24.

Intermediary Leverage Shocks and Funding Conditions

Number of pages: 56 Posted: 11 Aug 2020 Last Revised: 06 Jan 2021
Jean-Sebastien Fontaine, René Garcia and Sermin Gungor
Bank of Canada, Université de Montréal - CIREQ - Département de sciences économiques and University of Western Ontario
Downloads 120 (284,185)

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Broker-dealers, Leverage, Asset pricing

25.

Assessing Misspecifications in Asset Pricing Models with Nonlinear Projections of Pricing Kernels

Downloads 114 (294,513)
Citation 1

Assessing Misspecifications in Asset Pricing Models with Nonlinear Projections of Pricing Kernels

Number of pages: 39 Posted: 03 Mar 2010
Caio Almeida and René Garcia
Princeton University and Université de Montréal - CIREQ - Département de sciences économiques
Downloads 63 (426,957)
Citation 2

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Asset Pricing Proxies, Euler Equations, Minimum Discrepancy Estimators, Model Selection

Assessing Misspecifications in Asset Pricing Models with Nonlinear Projections of Pricing Kernels

Number of pages: 49 Posted: 15 Mar 2011
Caio Almeida and René Garcia
Princeton University and Université de Montréal - CIREQ - Département de sciences économiques
Downloads 51 (472,921)

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Asset Pricing Proxies, Euler Equations, Minimum Discrepancy Estimators, Model Selection

26.

Online Appendix to the Paper: Approximate Analytical Solutions for Consumption/Investment Problems Under Recursive Utility and Finite Horizon

Number of pages: 44 Posted: 29 Sep 2015 Last Revised: 14 Oct 2015
Carlos Heitor Campani, René Garcia and Abraham Lioui
The COPPEAD Graduate School of Business - Federal University of Rio de Janeiro (UFRJ), Université de Montréal - CIREQ - Département de sciences économiques and EDHEC Business School and Scientific Beta Research Chair
Downloads 52 (460,960)

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27.

Risk Aversion, Intertemporal Substitution, and the Term Structure of Interest Rates

CIRANO - Scientific Publications 2009s-20
Number of pages: 54 Posted: 14 Nov 2009
René Garcia and Richard Luger
Université de Montréal - CIREQ - Département de sciences économiques and Emory University - Department of Economics
Downloads 39 (517,054)
Citation 1

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Recursive utility, Yield curve, Affine macro-finance model, Bond risk premium, Expectations puzzle

28.

Alleviating Coordination Problems and Regulatory Constraints Through Financial Risk Management

CIRANO - Scientific Publication No. 2011s-48
Number of pages: 46 Posted: 30 Aug 2011
Marcel Boyer, M. Martin Boyer and René Garcia
CIRANO, Université de Monréal, HEC Montreal - Department of Finance and Université de Montréal - CIREQ - Département de sciences économiques
Downloads 37 (526,645)
Citation 1

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Risk Management, firm value, coordination problems, hedging, value at risk

29.

Limited Participation in the Joint Behavior of Asset Prices and Individual Consumptions

Number of pages: 54 Posted: 24 Aug 2017
Veronika Czellar, René Garcia and Francois Le Grand
EDHEC Business School - Department of Data Science, Economics and Finance, Université de Montréal - CIREQ - Département de sciences économiques and EMLYON Business School
Downloads 27 (581,674)

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limited participation, heterogeneity, indirect inference, individual consumption distribution

30.

Viewpoint: Option Prices, Preferences, and State Variables

Number of pages: 27 Posted: 25 Jan 2005
René Garcia, Richard Luger and Eric Renault
Université de Montréal - CIREQ - Département de sciences économiques, Emory University - Department of Economics and University of North Carolina (UNC) at Chapel Hill - Department of Economics
Downloads 24 (601,076)
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31.

The Canadian Macroeconomy and the Yield Curve: An Equilibrium-Based Approach

Canadian Journal of Economics, Vol. 40, No. 2, pp. 561-583, May 2007
Number of pages: 23 Posted: 19 May 2007
Richard Luger and René Garcia
Emory University - Department of Economics and Université de Montréal - CIREQ - Département de sciences économiques
Downloads 16 (656,594)
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32.

The Canadian Macroeconomy and the Yield Curve: An Equilibrium‐Based Approach - La Macroéconomie Canadienne Et La Courbe Des Taux De Rendement: Une Approche En Termes D’Équilibre

Canadian Journal of Economics/Revue canadienne d'économique, Vol. 40, Issue 2, pp. 561-583, 2007
Number of pages: 23 Posted: 05 May 2020
René Garcia and Richard Luger
Université de Montréal - CIREQ - Département de sciences économiques and Emory University
Downloads 1 (777,810)
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33.

Persistent Monetary Non-Neutrality in an Estimated Menu-Cost Model with Partially Costly Information

Number of pages: 48 Posted: 27 Mar 2016
Marco Bonomo, Carlos Carvalho, René Garcia, Vivian Malta and Rodolfo Rigato
Insper Institute of Education and Research, Asset 1 Investment Company, Université de Montréal - CIREQ - Département de sciences économiques, World Bank and Harvard University
Downloads 144

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menu costs, information costs, infrequent information, partial information, inattentiveness, optimal price setting, state-dependent pricing, time-dependent pricing

34.

State Dependence Can Explain the Risk Aversion Puzzle

Review of Financial Studies, Vol. 21, Issue 2, pp. 973-1011, 2008
Posted: 26 Jun 2008
Fousseni Chabi-Yo, René Garcia and Eric Renault
University of Massachusetts Amherst - Isenberg School of Management, Université de Montréal - CIREQ - Département de sciences économiques and University of North Carolina (UNC) at Chapel Hill - Department of Economics

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G12, G13

35.

Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation

JOURNAL OF MONEY, CREDIT, AND BANKING, Vol. 29, No. 2, May 1997
Posted: 05 Feb 1997
René Garcia, Annamaria Lusardi and Serena Ng
Université de Montréal - CIREQ - Département de sciences économiques, George Washington University - Department of Accountancy and Columbia Business School - Economics Department

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Other Papers (1)

Total Downloads: 67
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1.

Empirical Likelihood Estimators for Stochastic Discount Factors

EFA 2008 Athens Meetings Paper
Number of pages: 37 Posted: 06 Mar 2008
Caio Almeida and René Garcia
Princeton University and Université de Montréal - CIREQ - Département de sciences économiques
Downloads 67

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Stochastic Discount Factor, Information-Theoretic Bounds,Generalized Minimum Contrast Estimators, Implicit Utility Maximizing Weights