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A structural model of dynamic market timing

Detemple, Jérôme B.; Rindisbacher, Marcel - In: The review of financial studies 26 (2013) 10, pp. 2492-2547

Persistent link: https://www.econbiz.de/10010207251

Option listing and stock returns : an empirical analysis

Detemple, Jérôme B. - In: Journal of banking & finance 14 (1990) 4, pp. 781-801

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Modelling risk premiums in equity and foreign exchange markets

Garcia, René; Kichian, Maral - 2000

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Consumption and equilibrium asset pricing : an empirical assessment

Bonomo, Marco Antonio - In: Journal of empirical finance 3 (1996) 3, pp. 239-265

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Nonparametric Assessment of Hedge Fund Performance

Almeida, Caio - 2019

We propose a new class of performance measures for Hedge Fund (HF) returns based on a family of empirically identifiable stochastic discount factors (SDFs). The SDF-based measures incorporate no-arbitrage pricing restrictions and naturally embed information about higher-order mixed moments...

Persistent link: https://www.econbiz.de/10012905264

Estimation of stable distributions by indirect inference

Garcia, René; Renault, Eric; Veredas, David - In: Journal of econometrics 161 (2011) 2, pp. 325-337

Persistent link: https://www.econbiz.de/10009242117

Generalized disappointment aversion, long-run volatility risk and asset prices

Bonomo, Marco Antonio; Garcia, René; Meddahi, Nour; … - 2010

Persistent link: https://www.econbiz.de/10008749056

Generalized disappointment aversion, long-run volatility risk, and asset prices

Bonomo, Marco Antonio; Garcia, René; Meddahi, Nour; … - In: The review of financial studies 24 (2011) 1, pp. 82-122

Persistent link: https://www.econbiz.de/10008909444

Assessing and valuing the nonlinear structure of hedge fund returns

Díez de los Ríos, Antonio; Garcia, René - In: Journal of applied econometrics 26 (2011) 2, pp. 193-212

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Measuring high-frequency causality between returns, realized volatility, and implied volatility

Dufour, Jean-Marie; Garcia, René; Taamouti, Abderrahim - In: Journal of financial econometrics : official journal of … 10 (2012) 1, pp. 124-163

Persistent link: https://www.econbiz.de/10009519709