René Garcia

Stochastic Discount Factors, Risk Factors and Performance Evaluation

Principal investigators: Garcia, René

Keywords: stochastic discount factors; asset pricing; information-theoretic bounds; model misspecification; liquidity risk; tail risk; performance evaluation

Stochastic Discount Factors, Risk Factors and Performance Evaluation

Principal investigators: Garcia, René

Keywords: stochastic discount factors; asset pricing; information-theoretic bounds; model misspecification; liquidity risk; tail risk; performance evaluation

Markov Switching Processes and Financial Applications

Principal investigators: Garcia, René

MPrime Network (formerly MITACS) / Réseau MPrime (autrefois MITACS)

Principal investigators: Gupta, Arvind

Asset pricing models for bonds and hedge funds

Principal investigators: Garcia, René

Keywords: term structure of interest rates; asset pricing models; hedge funds; stochastic discount factors

Mathematics of Information Technology and Complex Systems/Les mathématiques des technologies de l'information et des systèmes complexes

Principal investigators: Gupta, Arvind

Asset allocation and dynamics of returns

Principal investigators: Garcia, René

Keywords: strategic asset allocation; Monte Carlo methods; copulas; Markov swiching models; nonlinear dependence

Asset pricing, risk management and preferences

Principal investigators: Garcia, René

Keywords: asset pricing; option pricing; risk management; recursive utility; habit formation

Canadian Econometric Study Group/Atelier canadien d'économétrie : Econometric Methods and Financial Markets

Principal investigators: Garcia, René

Keywords: econometrics; financial econometrics; volatility modeling; non linear time series

Asset pricing with recursive utility and incomplete markets

Principal investigators: Garcia, René

Keywords: Asset pricing; recursive utility; incomplete markets; asymmetric fundamentals; option pricing; aggregate and individual consumption