Browsing Documentos indexados pela Scopus by Author "Garcia, René"

Now showing items 1-2 of 2

    • Generalized disappointment aversion, long-run volatility risk, and asset prices 

      Bonomo, Marco Antônio Cesar; Garcia, René; Meddahi, Nour; Tédongap, Roméo
      2011
      We propose an asset pricing model with generalized disappointment aversion preferences and long-run volatility risk. With Markov switching fundamentals, we derive closed-form solutions for all returns moments and predictability ...

    • Rejoinder on: nonparametric tail risk, stock returns, and the macroeconomy 

      Almeida, Caio Ibsen Rodrigues de; Ardison, Kym Marcel Martins; Garcia, René; Vicente, José
      2017
      The discussions focus on different aspects of the paper and are quite complementary. Dobrev and Schaumburg look closely at our implementation choices and analyse the sensitivity of the measure to these choices. Camponovo, ...