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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

Risk aversion, intertemporal substitution, and option pricing

Garcia, René; Renault, Eric - 1998

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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

The stochastic discount factor : extending the volatility bound and a new approach to portfolio selection with higher-order moments

Chabi-Yo, Fousseni; Garcia, René; Renault, Eric - 2005

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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