René Garcia

Université de Montréal

Professor

C.P. 6128, succursale Centre-Ville

3150, rue Jean-Brillant, bureau C-6027

Montreal, Quebec H3C 3J7

Canada

http://https://myrenegarcia.wordpress.com

Toulouse School of Economics

Toulouse

France

SCHOLARLY PAPERS

38

DOWNLOADS
Rank 4,863

SSRN RANKINGS

Top 4,863

in Total Papers Downloads

12,842

SSRN CITATIONS
Rank 5,188

SSRN RANKINGS

Top 5,188

in Total Papers Citations

156

CROSSREF CITATIONS

101

Scholarly Papers (38)

1.
Downloads 1,954 ( 12,670)
Citation 24

A Monte Carlo Method for Optimal Portfolios

Number of pages: 52 Posted: 16 Nov 2000
Boston University Questrom School of Business, Université de Montréal and Questrom School of Business, Boston University
Downloads 1,954 (12,428)
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
Boston University Questrom School of Business, Université de Montréal 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
Downloads 1,327 (22,920)
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, University of North Carolina Kenan-Flagler Business School and University of North Carolina (UNC) at Chapel Hill - Department of Economics
Downloads 1,262 (24,696)
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
Downloads 921 (38,863)
Citation 6

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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
Downloads 666 (60,026)
Citation 26

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

6.

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, Universidad de Los Andes - School of Management and EDHEC Business School
Downloads 448 (98,147)
Citation 4

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

7.

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 and HEC Montreal - Department of Finance
Downloads 448 (98,147)

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

8.

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
Downloads 441 (99,940)
Citation 14

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

9.

Optimal Portfolio Allocations with Hedge Funds

Paris December 2010 Finance Meeting EUROFIDAI - AFFI
Number of pages: 64 Posted: 24 Oct 2010
Boston University Questrom School of Business, Questrom School of Business, Boston University and Université de Montréal
Downloads 426 (104,163)
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
University of Houston - C.T. Bauer College of Business and Université de Montréal
Downloads 410 (108,878)
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

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
Downloads 291 (157,342)
Citation 5

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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
Downloads 99 (398,117)
Citation 17

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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, University of North Carolina (UNC) at Chapel Hill - Department of Economics and Vlerick Business School
Downloads 366 (123,899)
Citation 8

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

13.

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
Downloads 327 (140,089)
Citation 2

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

14.

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 and Bank of Canada
Downloads 322 (142,360)
Citation 6

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

15.

High-Frequency Tail Risk Premium and Stock Return Predictability

Number of pages: 45 Posted: 31 Jul 2018 Last Revised: 21 Mar 2022
Princeton University, Getulio Vargas Foundation (FGV) - FGV/EPGE Escola Brasileira de Economia e Finanças, Université de Montréal and HEC Montréal
Downloads 315 (145,694)

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Tail Risk, Risk-Neutral Measure, Expected Shortfall, Intra-day Market Returns

16.

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
Princeton University, Getulio Vargas Foundation (FGV) - FGV/EPGE Escola Brasileira de Economia e Finanças, Université de Montréal and Government of the Federative Republic of Brazil - Central Bank of Brazil
Downloads 313 (146,678)
Citation 11

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

17.

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
Downloads 266 (173,590)
Citation 15

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18.

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, Imperial College Business School and ESSEC Business School
Downloads 249 (185,310)
Citation 15

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

19.

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

Number of pages: 67 Posted: 17 Mar 2010
Universidad de Los Andes - School of Management, EDHEC Business School and Université de Montréal
Downloads 246 (187,516)

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

20.

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 and Universidad Carlos III de Madrid
Downloads 226 (203,453)

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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

21.

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

Number of pages: 45 Posted: 27 Mar 2016 Last Revised: 06 Dec 2021
Insper Institute of Education and Research, Pontifical Catholic University of Rio de Janeiro (PUC-Rio) - Department of Economics, Université de Montréal, World Bank and Harvard University
Downloads 212 (216,120)
Citation 4

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

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, Pontifical Catholic University of Rio de Janeiro (PUC-Rio) - Department of Economics and Université de Montréal
Downloads 161 (275,548)
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, Pontifical Catholic University of Rio de Janeiro (PUC-Rio) - Department of Economics and Université de Montréal
Downloads 44 (614,564)
Citation 8

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

23.

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, Imperial College Business School and ESSEC Business School
Downloads 189 (239,689)
Citation 20

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

24.

Intermediary Leverage Shocks and Funding Conditions

Number of pages: 64 Posted: 11 Aug 2020 Last Revised: 10 Feb 2022
Bank of Canada, Université de Montréal and Bank of Canada
Downloads 181 (248,981)

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Broker-dealers, Leverage, Asset pricing

25.

Tail Risk and Asset Prices in the Short-term

Number of pages: 46 Posted: 23 Sep 2022
Princeton University, Erasmus School of Economics, Université de Montréal and University of Liverpool - Management School (ULMS)
Downloads 175 (256,361)

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Left tail risk, return predictability, factor models, risk-neutralization, high-frequency data

26.

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, Pontifical Catholic University of Rio de Janeiro (PUC-Rio) - Department of Economics and Université de Montréal
Downloads 152 (288,596)
Citation 4

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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
Princeton University and Université de Montréal
Downloads 68 (500,005)
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
Downloads 62 (525,021)

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

28.

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 and EDHEC Business School
Downloads 63 (513,250)

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29.

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
Downloads 50 (571,045)
Citation 1

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

30.

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 and Emory University - Department of Economics
Downloads 47 (585,960)
Citation 1

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

31.

Funding Conditions, Transaction Costs and the Performance of Anomalies

Proceedings of Paris December 2021 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 58 Posted: 26 Oct 2021
Magnim Farouh and René Garcia
University of Montreal and Université de Montréal
Downloads 44 (601,568)

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32.

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, Emory University - Department of Economics and University of North Carolina (UNC) at Chapel Hill - Department of Economics
Downloads 25 (723,701)

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33.

Uncovering Asset Market Participation from Household Consumption and Income

Number of pages: 51 Posted: 02 Feb 2022
SKEMA Business School, Université de Montréal and EMLYON Business School
Downloads 21 (756,085)

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limited participation, household-level consumption distribution, heterogeneity, indirect inference, marginal propensity to consume, stock market participation cost

34.

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
Downloads 17 (790,430)

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35.

Online Appendix for: Uncovering Asset Market Participation from Household Consumption and Income

Number of pages: 5 Posted: 11 Feb 2022
SKEMA Business School, Université de Montréal and EMLYON Business School
Downloads 6 (897,007)

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limited participation, household-level consumption distribution, heterogeneity, indirect inference, marginal propensity to consume, stock market participation cost

36.

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 and Emory University
Downloads 2 (943,228)

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37.

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 and University of North Carolina (UNC) at Chapel Hill - Department of Economics

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G12, G13

38.

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, George Washington University - Department of Accountancy and Columbia University - Columbia Business School, Economics

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Other Papers (2)

Total Downloads: 95
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
Downloads 89

Abstract:

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

2.

Idiosyncratic Risk and the Cross-Section of Realized Returns

Number of pages: 36 Posted: 22 Mar 2009
Université de Montréal, EDHEC Business School and Universidad de Los Andes - School of Management
Downloads 6

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idiosyncratic risk, asset pricing, returns predictability, risk measurement