Similar Search Results

Pricing and hedging derivative securities with neural networks and a homogeneity hint

Garcia, René; Gençay, Ramazan - In: Journal of econometrics 94 (2000) 1/2, pp. 93-115

Persistent link: https://www.econbiz.de/10001437747

Risk aversion, intertemporal substitution, and option pricing

Garcia, René; Renault, Eric - 1998

Persistent link: https://www.econbiz.de/10000984192

A note on hedging in ARCH and stochastic volatility option pricing models

Garcia, René - In: Mathematical finance : an international journal of … 8 (1998) 2, pp. 153-161

Persistent link: https://www.econbiz.de/10001242838

Asymmetic smiles, leverage effects and structural parameters

Garcia, René; Luger, Richard; Renault, Eric - 2000

Persistent link: https://www.econbiz.de/10001549285

Empirical assessment of an intertemporal option pricing model with latent variables

Garcia, René; Luger, Richard; Renault, Eric - 2000

Persistent link: https://www.econbiz.de/10001549287

Empirical assessment of an intertemporal option pricing model with latent variables

Garcia, René; Luger, Richard; Renault, Eric - 2001

Persistent link: https://www.econbiz.de/10001614493

Asymmetric smiles, leverage effects and structural parameters

Garcia, René; Luger, Richard; Renault, Eric - 2001

Persistent link: https://www.econbiz.de/10001614502

Empirical assessment of an intertemporal option pricing model with latent variables

Garcia, René; Luger, Richard; Renault, Eric - In: Journal of econometrics 116 (2003) 1/2, pp. 49-83

Persistent link: https://www.econbiz.de/10001772141

Viewpoint: option prices, preferences, and state variables

Garcia, René; Luger, Richard; Renault, Eric - In: The Canadian journal of economics 38 (2005) 1, pp. 1-27

Persistent link: https://www.econbiz.de/10002654852

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

Almeida, Caio - 2010

We develop a new approach to evaluate asset pricing models (APMs) based on Minimum Discrepancy (MD) projections that generalize the Hansen-Jagannathan (HJ, 1997) distance to account for an arbitrary number of moments of asset returns. The Minimum Discrepancy projections correct APMs to become...

Persistent link: https://www.econbiz.de/10013147434