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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

Fontaine, Jean-Sébastien; Garcia, René - 2009

Recent asset pricing models of limits to arbitrage emphasize the role of funding conditions faced by financial intermediaries. In the US, the repo market is the key funding market. Then, the premium of on-the-run U.S. Treasury bonds should share a common component with risk premia in other...

Persistent link: https://www.econbiz.de/10003933337

Dependence structure and extreme comovements in international equity and bond markets

Garcia, René; Tsafack, Georges - In: Journal of banking & finance 35 (2011) 8, pp. 1954-1970

Persistent link: https://www.econbiz.de/10009247377

A model-free measure of aggregate idiosyncratic volatility and the prediction of market returns

Garcia, René; Mantilla-Garcia, Daniel; Martellini, Lionel - In: Journal of financial and quantitative analysis : JFQA 49 (2014) 5/6, pp. 1133-1165

Persistent link: https://www.econbiz.de/10011338944

Bond liquidity premia

Fontaine, Jean-Sébastien; Garcia, René - In: The review of financial studies 25 (2012) 4, pp. 1207-1254

Persistent link: https://www.econbiz.de/10009520088

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

Persistent link: https://www.econbiz.de/10008936915

Are the effects of monetary policy asymmetric?

Garcia, René; Schaller, Huntley - In: Economic inquiry : journal of the Western Economic … 40 (2002) 1, pp. 102-119

Persistent link: https://www.econbiz.de/10001647276

A Monte Carlo method for optimal portfolios

Detemple, Jérôme B.; Garcia, René; Rindisbacher, Marcel - In: The journal of finance : the journal of the American … 58 (2003) 1, pp. 401-446

Persistent link: https://www.econbiz.de/10001737303

Excess sensitivity and asymmetries in consumption : an empirical investigation

Garcia, René; Lusardi, Annamaria; Ng, Serena - 1995

Persistent link: https://www.econbiz.de/10001512544

Are the effects of monetary policy asymmetric?

Garcia, René; Schaller, Huntley - 1999

Persistent link: https://www.econbiz.de/10001432288