Name: René Garcia

Citizenship : Canadian and French

Languages: French, English, Spanish

Address:
Département de sciences économiques and CIREQ
    Université de Montréal
    C.P. 6128, succursale centre-ville
    Montréal (Québec) Canada, H3C 3J7
    Telephone: (514) 343 5960
    Fax : (514) 343 5831
    E-Mail: rene.garcia [at] umontreal.ca

CIRANO
    2020 University, 25e étage
    Montréal (Québec) Canada, H3A 2A5
    Telephone: (514) 985-4014
    Fax : (514) 985-4039
    E-Mail: garciar@cirano.umontreal.ca

 

EDUCATION

• Ph.D. Economics, Princeton University, May 1992.
• M. A..Economics, Université de Montréal, 1975.
• Diplôme de l’École Supérieure des Sciences Economiques et Commerciales (ESSEC), Paris, 1971.

 

EMPLOYMENT

• Full Professor, Université de Montréal, June 2003-present.
• Associate Professor, Université de Montréal, June 1997-May 2003.
• Assistant Professor, Université de Montréal, June 1992 - May 1997.
• Instructor, Econometrics I, Princeton University, Falls 1989 and 1990.
• Instructor, Econometrics II, Princeton University, Fall 1990.
• Instructor, Finance, Princeton University, Fall 1989.
• President, Synectra Inc., Montréal, 1980 1986.
• Economist, Research Department, Canadian Pacific, Montréal, 1978 1979.
• Economist, Annual Report Group, Economic Council of Canada, Ottawa, Ontario, 1976 1977.

 

RESEARCH AFFILIATIONS

• Fellow, CIRANO (Centre interuniversitaire de recherche en analyse des organisations)
• Research Fellow, CIREQ (Centre interuniversitaire de recherche en économie quantitative)

 

EDITORIAL POSITIONS

• Editor, Journal of Financial Econometrics, Oxford University Press, November 2000-present.
• Editor, Annals Issue of the Journal of Econometrics, 1998.
• Associate Editor, L’Actualité Économique, May 1996-May 1999.
• Associate Editor, Canadian Journal of Economics, June 1998-2001.
• Associate Editor, Studies in Nonlinear Dynamics and Econometrics, October 2000-present.

 

PROFESSIONAL POSITIONS

• Scientific Director, CIRANO (Centre interuniversitaire de recherche en analyse des organisations), January 2003- present.
• Vice-president, Finance Group, CIRANO (Centre interuniversitaire de recherche en analyse des organisations), May 1996-2004.
• Member of the Research Management Committee, MITACS (Mathematics of Information Technology and Complex Systems), NSERC Centre of Excellence, January 1999-2003. Program Director, Master’s in Mathematical and Computational Finance, Université de Montréal, 1999-present.
• Theme Leader, Finance and Trading Sector, MITACS (Mathematics of Information Technology and Complex Systems), NSERC Centre of Excellence, January 1999-2003.
• Executive Committee, Canadian Econometric Study Group, September 1996-2001.
• Board of Directors, Société Canadienne de Science Économique, January 1998-2001.
• SSHRC Doctoral Fellowship Pre-selection Committee, January 1996-1998.
• SSHRC Doctoral Fellowship Review Committee, April 1998.
• Marcel Faribault Fellowship Review Committee, Université de Montréal, since 1997.

 

ADMINISTRATIVE POSITIONS

• Chair, Hiring Committee, Département de sciences économiques, Université de Montréal, 2004-2005.
• Director, Master’s Program in Mathematical and Computational Finance, Université de Montréal, 1999-2003.
• CIRANO, Management Committee, May 1996-present.
• Hiring Committee, Département de sciences économiques, Université de Montréal, 1996-97, 1997-98, 1999-2000, 2003- 2004.
• Director, Graduate Student Admission and Fellowship Committee, Département de sciences économiques, Université de Montréal, 1993-1996.

 

RESEARCH GRANTS

• Social Sciences and Humanities Research Council of Canada, Grant of $10,000 for the 1999 Canadian Econometric Study Group Meeting , Econometric Methods and Financial Markets.
• Natural Sciences and Engineering Research Council of Canada (NSERC), Networks of Centres of Excellence, Mathematics of Information Technology and Complex Systems, 1999-2004, $14 ,000,000 (our team $140,000 yearly).
• Natural Sciences and Engineering Research Council of Canada (NSERC), Network on Computing and Mathematical Modeling, 1997-2001, $3,000,000 (our team $90,000 yearly).
• Canadian International Development Agency (CIDA), PARADI Program, 1992-1997, $190,000.
• Social Sciences and Humanities Research Council of Canada: Team, 1992-1997, $500,000, 1996-1999, $45,000; individual: 1995-1998, $42,000; 1998-2001, $40,500; 2001-2004, $48,300; 2004-2007, $81,200.
• Fonds concerté d’aide à la recherche (FCAR): Team, 1992-1995 $96,900; 1997-2000, $84,000; 2001-2004, $126,000; individual, 1995-1998, $50,000.
Fonds québécois de la recherche sur la société et la culture (FQRSC): Team, 2004-2008: $240,250.

 

PRIZES, FELLOWSHIPS, SCOLARSHIPS

• Research Fellowship, Bank of Canada, 2004-2009.
• Hydro-Québec Chair in Integrated Risk Management and Financial Mathematics, 2002-2006.
• Research Award, Institute for Quantitative Research in Finance (Q group), for a project “What are assets under management worth to managers?”, 2002.
• Richard Stone Prize in Applied Econometrics 1996, (Biyearly Prize for the best paper in the last two years in the Journal of Applied Econometrics), Can a Well-Fitted Equilibrium Asset Pricing Model Produce Mean Reversion?, (with M. Bonomo), Journal of Applied Econometrics, 9, 19-29 (1994).
• Fellowship, Princeton University, September 1989 to June 1991.
• Social Sciences and Humanities Research Council of Canada Doctoral Fellowship, September 1987 to June 1989.
• Fonds FCAR pour l’aide et le soutien à la recherche, Doctoral Fellowship, 1987.

 

PUBLICATIONS

Refereed Articles in Journals and Handbooks

• “Proper Conditioning for Coherent VaR in Portfolio Management,” (2006), forthcoming in Management Science, (with E. Renault and G. Tsafack).
• “The Canadian Macroeconomy and the Yield Curve: An Equilibrium-based Approach,” (2006), forthcoming in The Canadian Journal of Economics (with R. Luger).
• “Disentangling Risk Aversion and Intertemporal Substitution through a Reference Level,” (2002), (with E. Renault and A. Semenov), forthcoming in Finance Research Letters.
• Comment on the 2005 JBES Invited Lecture “Realized Variance and Microstructure Noise” by Peter R. Hansen and Asger Lunde, (2005), 20 pages, (with Nour Meddahi), Journal of Business and Economic Statistics, 24, 2, 184-192 .
• “Asymptotic Properties of Monte Carlo Estimators of Derivatives,” (2005), 31 pages, (with J. Detemple and M. Rindisbacher ), Management Science, 51, 11, 1657-1675.
• “Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes,” (2005), 65 pages, (with J. Detemple and M. Rindisbacher ), forthcoming in Journal of Econometrics.
• “Simulation for Optimal Portfolios,’’ (2004) (with Detemple, J.B.and M. Rindisbacher) to appear in Handbooks in Operations Research and Management Science, Volume on Financial Engineering, J. Birge and V. Linetsky eds., Elsevier, Amsterdam.
• “The Econometrics of Option Pricing”, (with Eric Ghysels and Eric Renault), forthcoming in Handbook of Financial Econometrics, Yacine Aït-Sahalia and Lars Peter Hansen eds, Elsevier-North Holland, Amsterdam.
• “Representation Formulas for Malliavin Derivatives of Diffusion Processes,” (2005) (with J. Detemple and M. Rindisbacher), Finance and Stochastics, 9, 3, 349-367.
• “Intertemporal Asset Allocation: A Comparison of Methods”, (2005) (with J. Detemple et M. Rindisbacher), The Journal of Banking and Finance, 29, 11, 2821-2848.
• “Option Pricing, Preferences and State Variables”, (2005) (with R. Luger and E. Renault), The Canadian Journal of Economics, 38, 1, 1-27.
• “Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables,” (with R. Luger and E. Renault), Journal of Econometrics, 116 (2003), 49-83.
• “A Monte Carlo Method for Optimal Portfolios”, (with J. Detemple and M. Rindisbacher), Journal of Finance, February 2003, 58:1, 401-446.
• “Are the Effects of Interest Rate Changes Asymmetric?”, (with Huntley Schaller), Economic Inquiry, 2002 40: 102-119.
• “The Macroeconomic Effects of Infrequent Information with Adjustment Costs”, (with M. Bonomo), The Canadian Journal of Economics 34(1), February 2001,18-35.
• “Latent Variable Models for Stochastic Discount Factors”, (with E. Renault), Handbooks in Mathematical Finance: Topics in Option Pricing, Interest Rates and Risk Management, J. Cvitanic, E. Jouini and M. Musiela eds., Cambridge University Press, 2001.
• “Tests of Conditional Asset Pricing Models in the Brazilian Stock Market”, (with M. Bonomo), Journal of International Money and Finance, 20 (2001), 71-90.
• “Pricing and Hedging Derivative Securities with Neural Networks and a Homogeneity Hint”, (with R. Gencay), Journal of Econometrics, 94 (2000), 93-115.
• “Econometric Methods for Derivative Securities and Risk Management”, (with E. Ghysels and E. Renault), Journal of Econometrics, 94 (1-2), Jan.-Feb. 2000, p.1-7.
• “Modèles d’évaluation des actifs financiers et changement structurel dans les marchés boursiers en émergence”, L’Actualité Économique, 74(3), September 1998, 467-484.
• “Structural Change and Asset Pricing in Emerging Markets”, (with E. Ghysels), Journal of International Money and Finance, 17(3), June 1998, 455-473.
• “Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models”, International Economic Review, 39(3), August 1998, 763-788.
• “A Note on Hedging in ARCH-type Option Pricing Models”, (with E. Renault), Mathematical Finance, 8/2, April 1998, 153-161.
• “Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation”, (with Annamaria Lusardi et Serena Ng), Journal of Money, Credit and Banking, 29, May 1997, 154-176.
• “Consumption and Equilibrium Asset Pricing: An Empirical Assessment”, (with M. Bonomo), Journal of Empirical Finance, 3 (1996), 239-265.
• “An Analysis of the Real Interest Rate Under Regime Shifts”(with P. Perron), 1996, Review of Economics and Statistics, 111-125.
• “Information Asymétrique, contraintes de liquidité et investissement: une comparaison internationale, (with M. Bascunan and M. Poitevin), L’Actualité Économique, December 1995, 398-420.
• “Can a Well Fitted Equilibrium Asset Pricing Model Produce Mean Reversion?”, (with M. Bonomo), Journal of Applied Econometrics, 9, 19-29 (1994).
• “Inflation, Staggering, and Disinflation” (with M. Bonomo), Journal of Development Economics, 43 (1994), 39-58.
• “Théorie économique de l’information : exposé synthétique de la littérature”, L’Actualité Economique 62(1), March 1986.
• “L’effet redistributif de l’inflation de 1969 à 1975 sur les ménages canadiens” (with M. Boyer), Canadian Public Policy IV(2), Spring 1978.
• “Disequilibrium Econometrics for Business Loans” (with J. J. Laffont), Econometrica, July 1977.

 

Articles and Comments in Conference Proceedings and Book Reviews

• Book Review on “Modeling Stock market Volatility: Bridging the Gap to Continuous Time”, Peter Rossi (Ed.), San Diego: Academic Press, 1996, Journal of the American Statistical Association, Volume 95, 2000, page 688.
• “Option Pricing with Neural Networks and a Homogeneity Hint”, (with Ramazan Gencay), Conference Volume NNCM97, London Business School, 1998.
• Comment : “International Cross-Listing, Market Segmentation and Foreign Ownership Restrictions: The Case of Mexico”, by I. Domowitz, J. Glen, and A. Madhavan, Proceedings, Conference on The Future of Emerging Market Capital Flows, edited by R. Levich, Leonard N. Stern School of Business, New York University, 1998, Kluwer Academic Publishers.
• Comment : “The Credibility of Monetary Policy: A survey of the literature with some applications to Canada”, by R. Amano, P. Fenton, D. Tessier and S. Van Norden, Proceedings of the Bank of Canada Conference on Exchange Rates and Monetary Policy, May 1997, p. 65-69, Ottawa.

 

Published Abstracts

• “Risk Aversion, Intertemporal Substitution, and Option Pricing”, (with E. Renault), Journal of Finance, July 1997.

Working Papers

• “An Analytical Framework for Assessing Asset Pricing Models and Predictability,” CIRANO, CIREQ and Université de Montréal, 69 pages, (with Nour Meddahi and Roméo Tédongap).
• “What Determines the Value of Assets under Management,” manuscript, CIRANO, CIREQ and Université de Montréal, 37 pages, (with Susan Christoffersen, Richard Evans and David Musto).
• “Assessing and Valuing the Nonlinear Structure of Hedge Fund Returns,” manuscript, CIRANO, CIREQ and Université de Montréal , 51 pages, (with Antonio Diez de los Rios).
• “The Value of Real and Financial Risk Management,” (2005), manuscript, CIRANO, CIREQ and Université de Montréal , 49 pages, (with Marcel Boyer and Martin Boyer).
• “The Canadian Macroeconomy and the Yield Curve: An Equilibrium-based Approach,” (2005), manuscript, CIRANO, CIREQ and Université de Montréal , 51 pages, (with R. Luger).
• “State dependence in Fundamentals and Preferences Explains Risk Aversion Puzzle,” (2004), manuscript, CIRANO, CIREQ and Université de Montréal , 25 pages, (with F. Chabi-Yo and E. Renault).
• “Proper Conditioning for Coherent VaR in Portfolio Management,” (2005), manuscript, CIRANO, CIREQ and Université de Montréal , 29 pages, (with E. Renault and G. Tsafack).
• “Pricing and Hedging Options with Implied Asset Prices and Volatilities,” (2003), manuscript, CIRANO, CIREQ and Université de Montréal , 29 pages, (with R. Luger and E. Renault).
• “Estimation of Stable Distributions by Indirect Inference,” (2004), manuscript, CIRANO, CIREQ and Université de Montréal , 42 pages, (with E. Renault and D. Veredas).
• “A Consumption Capital Asset Pricing Model with a Reference Level,” (2003), manuscript, CIRANO, CIREQ, Université de Montréal , 43 pages, (with E. Renault and A. Semenov).
• “Estimation of Objective and Risk-Neutral Distributions based on Moments of Integrated Volatility,” (2001), manuscript, CIRANO, CIREQ, Université de Montréal , 34 pages, (with M. A. Lewis and E. Renault).
• “Asymmetric Smiles, Leverage Effects and Structural parameters”, CIRANO working paper 2001s-01, 48 pages, (with R. Luger and E. Renault), under revision.
• “Risk Aversion, Intertemporal Substitution, and Option Pricing”, CIRANO working paper 98s02, 52 pages, (with E. Renault).
• “On the Dynamic Specification of International Asset Pricing Models”, CIRANO working paper 95s39, October 1995, 27 pages, (with M. Kichian and E. Ghysels).
• “Disappointment Aversion as a Solution to the Equity Premium and the Risk-Free Rate Puzzles”, CRDE working paper 2793, September 1993, 40 pages (with M. Bonomo).