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The econometrics of option pricing

Garcia, René; Ghysels, Eric; Renault, Eric - 2010

Persistent link: https://www.econbiz.de/10003900680

State dependence can explain the risk aversion puzzle

Chabi-Yo, Fousseni; Garcia, René; Renault, Eric - In: The review of financial studies 21 (2008) 2, pp. 973-1011

Persistent link: https://www.econbiz.de/10003716673

Modèles d'évaluation des actifs financiers dans les marchés boursiers en émergence : identification des facteurs de risque et tests de changement structurel

Garcia, René - In: L' Actualité économique : revue trimest. 74 (1998) 3, pp. 467-484

Persistent link: https://www.econbiz.de/10001338886

Macroeconomic surprises and short-term behaviour in bond futures

Veredas, David - In: Empirical economics : a journal of the Institute for … 30 (2005) 4, pp. 843-866

Persistent link: https://www.econbiz.de/10003233767

Causality effects in return volatility measures with random times

Renault, Eric; Werker, Bas J. M. - In: Journal of econometrics 160 (2011) 1, pp. 272-279

Persistent link: https://www.econbiz.de/10009242519

Stochastic volatility models with transaction time risk

Renault, Eric (contributor); Werker, Bas J. M. (contributor) - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001989255

Identification of beliefs in the presence of disaster risk and misspecification

Chaudhuri, Saraswata; Renault, Eric; Wahlstrom, Oscar - In: Essays in honor of Joon Y. Park : econometric …, (pp. 261-290). 2023

Persistent link: https://www.econbiz.de/10014315375

Structural change and asset pricing in emerging markets

Garcia, René - In: Journal of international money and finance 17 (1998) 3, pp. 455-473

Persistent link: https://www.econbiz.de/10001246597

Can a well-fitted equilibrium asset-pricing model produce mean reversion?

Bonomo, Marco Antonio - In: Journal of applied econometrics 9 (1994) 1, pp. 19-29

Persistent link: https://www.econbiz.de/10001153860

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

Fontaine, Jean-Sebastien - 2016

We find strong evidence of a funding risk premium in the cross-section of asset returns. Our estimate for the price of funding risk is robust across Treasury bonds, corporate bonds, equities, and hedge funds. Funding shocks pose a risk to investors because they exacerbate the illiquidity and...

Persistent link: https://www.econbiz.de/10013005363