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

View CV
SCHOLARLY PAPERS

32

DOWNLOADS
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10,050

CITATIONS
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Top 2,817

in Total Papers Citations

199

Scholarly Papers (32)

1.
Downloads 1,793 ( 6,888)
Citation 81

A Monte Carlo Method for Optimal Portfolios

Number of pages: 52 Posted: 16 Nov 2000
Boston University - Department of Finance & Economics, Université de Montréal - CIREQ - Département de sciences économiques and Questrom School of Business, Boston University
Downloads 1,793 (6,734)
Citation 81

Abstract:

A Monte Carlo Method for Optimal Portfolios

Journal of Finance, Vol. 58, pp. 401-446, 2003
Posted: 04 Aug 2003
Boston University - Department of Finance & Economics, Université de Montréal - CIREQ - Département de sciences économiques and Questrom School of Business, Boston University

Abstract:

2.

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 1,039 (14,683)
Citation 23

Abstract:

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

3.

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 990 (14,640)
Citation 32

Abstract:

Bond Prices, Term Structure, Funding Liquidity

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 832 (21,804)
Citation 3

Abstract:

Risk Management, Firm Value, Coordination, Value at Risk

5.

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 408 (56,988)

Abstract:

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

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 391 (59,792)

Abstract:

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

7.

Economic Implications of Nonlinear Pricing Kernels

AFA 2009 San Francisco Meetings Paper
Number of pages: 41 Posted: 25 Mar 2008 Last Revised: 21 Dec 2016
Caio Almeida and René Garcia
Getulio Vargas Foundation and Université de Montréal - CIREQ - Département de sciences économiques
Downloads 389 (43,162)
Citation 2

Abstract:

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

8.

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 351 (65,326)
Citation 1

Abstract:

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

9.

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 329 (75,263)
Citation 10

Abstract:

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

10.

Optimal Portfolio Allocations with Hedge Funds

Paris December 2010 Finance Meeting EUROFIDAI - AFFI
Number of pages: 64 Posted: 24 Oct 2010
Boston University - Department of Finance & Economics, Questrom School of Business, Boston University and Université de Montréal - CIREQ - Département de sciences économiques
Downloads 322 (66,354)

Abstract:

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

Assessing Misspecified Asset Pricing Models with Empirical Likelihood Estimators

EFA 2009 Bergen Meetings Paper
Number of pages: 44 Posted: 16 Feb 2009 Last Revised: 07 Jul 2010
Caio Almeida and René Garcia
Getulio Vargas Foundation and Université de Montréal - CIREQ - Département de sciences économiques
Downloads 234 (110,079)
Citation 3

Abstract:

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
Getulio Vargas Foundation and Université de Montréal - CIREQ - Département de sciences économiques
Downloads 70 (284,862)
Citation 3

Abstract:

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

12.

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
Université de Montréal - CIREQ - Département de sciences économiques, Optimal Asset Management and EDHEC Business School
Downloads 283 (65,940)
Citation 2

Abstract:

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

13.

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 220 (105,456)
Citation 5

Abstract:

14.

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 198 (118,047)
Citation 10

Abstract:

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

15.

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

Number of pages: 67 Posted: 17 Mar 2010
Optimal Asset Management, EDHEC Business School and Université de Montréal - CIREQ - Département de sciences économiques
Downloads 169 (130,683)

Abstract:

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

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, Central Bank of Brazil and Université de Montréal - CIREQ - Département de sciences économiques
Downloads 138 (178,041)
Citation 6

Abstract:

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, Central Bank of Brazil and Université de Montréal - CIREQ - Département de sciences économiques
Downloads 22 (455,623)
Citation 6

Abstract:

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

17.

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

CIRANO Scientific Publication No. 2011s-27
Posted: 07 Mar 2011
McGill University, Université de Montréal - CIREQ - Département de sciences économiques and Universidad Carlos III de Madrid
Downloads 140 (157,779)
Citation 2

Abstract:

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

18.

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
Insper Institute of Education and Research, Université de Montréal - CIREQ - Département de sciences économiques, Imperial College Business School and ESSEC Business School
Downloads 138 (167,761)
Citation 12

Abstract:

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

19.

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, Central Bank of Brazil and Université de Montréal - CIREQ - Département de sciences économiques
Downloads 97 (193,320)

Abstract:

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

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
Getulio Vargas Foundation and Université de Montréal - CIREQ - Département de sciences économiques
Downloads 55 (323,386)
Citation 1

Abstract:

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
Getulio Vargas Foundation and Université de Montréal - CIREQ - Département de sciences économiques
Downloads 40 (372,178)
Citation 1

Abstract:

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

21.

Robust Assessment of Hedge Fund Performance Through Nonparametric Risk Adjustment

Number of pages: 49 Posted: 08 Aug 2013 Last Revised: 27 Aug 2013
Caio Almeida and René Garcia
Getulio Vargas Foundation and Université de Montréal - CIREQ - Département de sciences économiques
Downloads 79 (186,217)

Abstract:

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

22.

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
Bank of Canada, Université de Montréal - CIREQ - Département de sciences économiques and University of Western Ontario
Downloads 73 (108,698)

Abstract:

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

23.

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 31 (394,525)
Citation 1

Abstract:

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

24.

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 26 (407,182)

Abstract:

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

25.

Viewpoint: Option Prices, Preferences, and State Variables

Canadian Journal of Economics, Vol. 38, No. 1, pp. 1-27, February 2005
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 (431,038)
Citation 1
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Abstract:

26.

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 (472,605)
Citation 4
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Abstract:

27.

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

Number of pages: 54 Posted: 24 Aug 2017
EDHEC Business School, Université de Montréal - CIREQ - Département de sciences économiques and EMLYON Business School
Downloads 0 (518,288)

Abstract:

limited participation, heterogeneity, indirect inference, individual consumption distribution

28.

Nonparametric Tail Risk, Stock Returns and the Macroeconomy

Number of pages: 58 Posted: 25 Apr 2016 Last Revised: 20 Dec 2016
Getulio Vargas Foundation, 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 0 (159,454)

Abstract:

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

29.

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

Number of pages: 34 Posted: 27 Mar 2016
Insper Institute of Education and Research, Central Bank of Brazil, Université de Montréal - CIREQ - Département de sciences économiques and World Bank
Downloads 0 (390,586)

Abstract:

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

30.

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
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
Downloads 0 (411,649)

Abstract:

31.

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

Abstract:

G12, G13

32.

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

Abstract:

Other Papers (1)

Total Downloads: 54    Citations: 4
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
Getulio Vargas Foundation and Université de Montréal - CIREQ - Département de sciences économiques
Downloads 41
Citation 4

Abstract:

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