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René Garcia

Global rank #2512 97%

Institution: Université de Montréal

Primary Field: Econometrics (weighted toward more recent publications)

First Publication: 1994

Most Recent: 2025

RePEc ID: pga447 ↗

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.01: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period S (4x) A (2x) B (1x) C (½x) Total
Last 5 Years 0.00 2.25 1.07 0.00 5.56
Last 10 Years 0.00 2.92 1.07 0.00 6.90
All Time 0.00 13.47 7.44 0.00 35.73

Publication Statistics

Raw Publications 31
Coauthorship-Adjusted Count 23.70

Publications (31)

Year Article Journal Tier Authors
2025 Identification, inference and risk Journal of Econometrics A 4
2025 Intermediary Leverage Shocks and Funding Conditions Journal of Finance A 3
2025 Uncovering asset market participation from household consumption and income Journal of Econometrics A 3
2024 High-Frequency Tail Risk Premium and Stock Return Predictability Journal of Financial and Quantitative Analysis B 5
2023 Persistent Monetary Non-neutrality in an Estimated Menu Cost Model with Partially Costly Information American Economic Journal: Macroeconomics A 5
2021 Optimal portfolio strategies in the presence of regimes in asset returns Journal of Banking & Finance B 3
2020 Nonparametric assessment of hedge fund performance Journal of Econometrics A 3
2015 The long and the short of the risk-return trade-off Journal of Econometrics A 4
2014 A Model-Free Measure of Aggregate Idiosyncratic Volatility and the Prediction of Market Returns Journal of Financial and Quantitative Analysis B 3
2012 Assessing misspecified asset pricing models with empirical likelihood estimators Journal of Econometrics A 2
2012 Bond Liquidity Premia The Review of Financial Studies A 2
2012 Risk aversion, intertemporal substitution, and the term structure of interest rates Journal of Applied Econometrics B 2
2011 Generalized Disappointment Aversion, Long-run Volatility Risk, and Asset Prices The Review of Financial Studies A 4
2011 Assessing and valuing the nonlinear structure of hedge fund returns Journal of Applied Econometrics B 2
2011 Estimation of objective and risk-neutral distributions based on moments of integrated volatility Journal of Econometrics A 4
2011 Estimation of stable distributions by indirect inference Journal of Econometrics A 3
2011 Dependence structure and extreme comovements in international equity and bond markets Journal of Banking & Finance B 2
2008 State Dependence Can Explain the Risk Aversion Puzzle The Review of Financial Studies A 3
2007 The Canadian macroeconomy and the yield curve: an equilibrium‐based approach Canadian Journal of Economics C 2
2006 Asymptotic properties of Monte Carlo estimators of diffusion processes Journal of Econometrics A 3
2005 Intertemporal asset allocation: A comparison of methods Journal of Banking & Finance B 3
2005 Viewpoint: Option prices, preferences, and state variables Canadian Journal of Economics C 3
2003 A Monte Carlo Method for Optimal Portfolios Journal of Finance A 3
2003 Empirical assessment of an intertemporal option pricing model with latent variables Journal of Econometrics A 3
2001 Tests of conditional asset pricing models in the Brazilian stock market Journal of International Money and Finance B 2
2001 The macroeconomic effects of infrequent information with adjustment costs Canadian Journal of Economics C 2
2000 Econometric methods for derivative securities and risk management Journal of Econometrics A 3
2000 Pricing and hedging derivative securities with neural networks and a homogeneity hint Journal of Econometrics A 2
1998 Structural change and asset pricing in emerging markets Journal of International Money and Finance B 2
1996 An Analysis of the Real Interest Rate under Regime Shifts. Review of Economics and Statistics A 2
1994 Indexation, staggering and disinflation Journal of Development Economics A 2