← All authors Richard Luger University of Alabama (from arXiv:2603.02357, 2026) · ORCID · OpenAlex
26 papers in scope · 26 published · 1 on the econ.EM arXiv · 424 citations · h-index 10 (over the papers listed here)
Papers (2 of 26)
A new decomposition approach to modeling financial returns: Conditioning sign on magnitude
published 2026 · Journal of Banking & Finance
with Arsène Brou
published 2025 · International Journal of Forecasting · 2 citations
published 2024 · Journal of Econometrics · 2 citations
Multiple testing of the forward rate unbiasedness hypothesis across currencies
published 2022 · Journal of Empirical Finance · 1 citations
with Hsuan Fu
Small-sample tests for stock return predictability with possibly non-stationary regressors and GARCH-type effects
published 2020 · Journal of Econometrics · 9 citations · first circulated 2017
with Sermin Gungor
Exact Inference in Long-Horizon Predictive Quantile Regressions with an Application to Stock Returns
published 2019 · Journal of Financial Econometrics · 14 citations · first circulated 2017
with Sermin Gungor
Markov-switching quantile autoregression: a Gibbs sampling approach
published 2017 · Studies in Nonlinear Dynamics and Econometrics · 9 citations
Identification-robust moment-based tests for Markov switching in autoregressive models
published 2017 · Econometric Reviews · 3 citations · first circulated 2016
Bootstrap Tests of Mean-Variance Efficiency with Multiple Portfolio Groupings
published 2016 · L Actualité économique · 4 citations
with Sermin Gungor
Unfolded GARCH models
published 2015 · Journal of Economic Dynamics and Control · 19 citations
Multivariate Tests of Mean-Variance Efficiency and Spanning With a Large Number of Assets and Time-Varying Covariances
published 2015 · Journal of Business and Economic Statistics · 18 citations
with Sermin Gungor
Testing for GARCH effects with quasilikelihood ratios
published 2014 · The Journal of Risk
Testing Linear Factor Pricing Models With Large Cross Sections: A Distribution-Free Approach
published 2012 · Journal of Business and Economic Statistics · 23 citations · first circulated 2010
with Sermin Gungor
Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations
published 2011 · Computational Statistics & Data Analysis · 14 citations
Risk aversion, intertemporal substitution, and the term structure of interest rates
published 2011 · Journal of Applied Econometrics · 8 citations · first circulated 2007
with René García
An omnibus test for heteroskedasticity
published 2009 · Economics Letters · 7 citations
Exact distribution-free tests of mean-variance efficiency
published 2009 · Journal of Empirical Finance · 15 citations
with Sermin Gungor
Efficient estimation of copula-GARCH models
published 2008 · Computational Statistics & Data Analysis · 48 citations
The Canadian macroeconomy and the yield curve: an equilibrium‐based approach
published 2007 · Canadian Journal of Economics/Revue canadienne d économique · 23 citations
with René García
Median‐unbiased Estimation and Exact Inference Methods for First‐order Autoregressive Models with Conditional Heteroscedasticity of Unknown Form
published 2006 · Journal of Time Series Analysis · 6 citations
Exact permutation tests for non-nested non-linear regression models
published 2005 · Journal of Econometrics · 10 citations · first circulated 2004
Viewpoint: Option prices, preferences, and state variables
published 2005 · Canadian Journal of Economics/Revue canadienne d économique · 8 citations · first circulated 2004
with René García, Éric Renault
The New Keynesian Phillips Curve: An empirical assessment
published 2004 · Computing in Economics and Finance · 2 citations
with Florian Pelgrin, Guay Alain
no link
Empirical assessment of an intertemporal option pricing model with latent variables
published 2003 · Journal of Econometrics · 132 citations · first circulated 2001
with René García, Éric Renault
Exact non-parametric tests for a random walk with unknown drift under conditional heteroscedasticity
published 2003 · Journal of Econometrics · 40 citations
A modified CUSUM test for orthogonal structural changes
published 2001 · Economics Letters · 7 citations
Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.
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