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1.	PDF wp06-31 Assessing and Valuing the Non-Linear Structure of Hedge Fund Returns Diez de los Rios, Antonio ; Garcia, René Several studies have put forward the non-linear structure and option-like features of returns associated with hedge fund strategies. The authors provide a statistical met[...] 2006 \| Text \| Staff Working Paper - Document de travail du personnel \| Detailed record - Similar records
2.	Assessing and valuing the nonlinear structure of hedge fund returns (replication data) Diez de los Rios, Antonio ; Garcia, René Several studies have put forward that hedge fund returns exhibit a nonlinear relationship with equity market returns, captured either through constructed portfolios of tr[...] 2011 \| Dataset \| Reproducibility Package - Ensemble de données pour la reproductibilité des résultats de recherche \| Detailed record - Similar records
3.	PDF wp09-28 Bond Liquidity Premia Fontaine, Jean-Sébastien ; Garcia, René 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 fundi[...] 2009 \| Text \| Staff Working Paper - Document de travail du personnel \| Detailed record - Similar records
4.	PDF wp05-36 The Canadian Macroeconomy and the Yield Curve: An Equilibrium-Based Approach Garcia, René ; Luger, Richard The authors develop and estimate an equilibrium-based model of the Canadian term structure of interest rates. The proposed model incorporates a vector-autoregression desc[...] 2005 \| Text \| Staff Working Paper - Document de travail du personnel \| Detailed record - Similar records
5.	PDF wp00-9 Modelling Risk Premiums in Equity and Foreign Exchange Markets Garcia, René ; Kichian, Maral The observed predictability of excess returns in equity and foreign exchange markets has largely been attributed to the presence of time-varying risk premiums in these ma[...] 2000 \| Text \| Staff Working Paper - Document de travail du personnel \| Detailed record - Similar records
6.	Replication code for "Intermediary Leverage Shocks and Funding Conditions" Fontaine, Jean-Sébastien ; Garcia, René ; Gungor, Sermin Replication code for peer-reviewed article published in The Journal of Finance. Paper published online December 23, 2024. 2025 \| Dataset \| Reproducibility Package - Ensemble de données pour la reproductibilité des résultats de recherche \| Detailed record - Similar records
7.	PDF wp05-9 State Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle Chabi-Yo, Fousseni ; Garcia, René ; Renault, Eric The authors examine the ability of economic models with regime shifts to rationalize and explain the risk-aversion and pricing-kernel puzzles put forward in Jackwerth (20[...] 2005 \| Text \| Staff Working Paper - Document de travail du personnel \| Detailed record - Similar records
8.	PDF wp05-2 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 The authors extend the well-known Hansen and Jagannathan (HJ) volatility bound. HJ characterize the lower bound on the volatility of any admissible stochastic discount fa[...] 2005 \| Text \| Staff Working Paper - Document de travail du personnel \| Detailed record - Similar records

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