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Richard Luger

Personal Details

First Name:Richard
Middle Name:
Last Name:Luger
Suffix:
RePEc Short-ID:plu79
[This author has chosen not to make the email address public]

Affiliation

Département finance, assurance et immobilier
Faculté des sciences de l'administration
Université Laval

Québec, Canada
https://www.fsa.ulaval.ca/faculte/departements-ecole/fai/
RePEc:edi:dflavca (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Richard Luger, 2024. "Regularizing stock return covariance matrices via multiple testing of correlations," Papers 2407.09696, arXiv.org.
  2. Jean-Marie Dufour & Richard Luger, 2016. "Identification-robust moment-based tests for Markov-switching in autoregressive models," CIRANO Working Papers 2016s-63, CIRANO.
  3. Sermin Gungor & Richard Luger, 2014. "Bootstrap Tests of Mean-Variance Efficiency with Multiple Portfolio Groupings," Staff Working Papers 14-51, Bank of Canada.
  4. Sermin Gungor & Richard Luger, 2013. "Multivariate Tests of Mean-Variance Efficiency and Spanning with a Large Number of Assets and Time-Varying Covariances," Staff Working Papers 13-16, Bank of Canada.
  5. Luis García-Álvarez & Richard Luger, 2011. "Dynamic Correlations, Estimation Risk, and Porfolio Management During the Financial Crisis," Working Papers wp2011_1103, CEMFI, revised Sep 2011.
  6. Sermin Gungor & Richard Luger, 2010. "Bank Testing Linear Factor Pricing Models with Large Cross-Sections: A Distribution-Free Approach," Staff Working Papers 10-36, Bank of Canada.
  7. René Garcia & Richard Luger, 2009. "Risk Aversion, Intertemporal Substitution, and the Term Structure of Interest Rates," CIRANO Working Papers 2009s-20, CIRANO.
  8. René Garcia & Richard Luger, 2005. "The Canadian Macroeconomy and the Yield Curve: An Equilibrium-Based Approach," Staff Working Papers 05-36, Bank of Canada.
  9. Richard Luger, 2004. "Exact Tests of Equal Forecast Accuracy with an Application to the Term Structure of Interest Rates," Staff Working Papers 04-2, Bank of Canada.
  10. Florian PELGRIN & Alain GUAY & Richard LUGER, 2004. "The New Keynesian Phillips Curve: An empirical assessment," Econometric Society 2004 North American Summer Meetings 418, Econometric Society.
  11. Richard Luger & Maral Kichian, 2001. "On Inflation and the Persistence of Shocks to Output," Staff Working Papers 01-22, Bank of Canada.
  12. René Garcia & Richard Luger & Eric Renault, 2001. "Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note : Nouvelle version Février 2002)," CIRANO Working Papers 2001s-02, CIRANO.
  13. René Garcia & Richard Luger & Eric Renault, 2001. "Asymmetric Smiles, Leverage Effects and Structural Parameters," CIRANO Working Papers 2001s-01, CIRANO.
  14. Richard Luger, 2001. "Exact Non-Parametric Tests for a Random Walk with Unknown Drift under Conditional Heteroscedasticity," Staff Working Papers 01-2, Bank of Canada.
  15. René Garcia & Richard Luger & Eric Renault, 2000. "Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables," Working Papers 2000-56, Center for Research in Economics and Statistics.

Articles

  1. Fu, Hsuan & Luger, Richard, 2022. "Multiple testing of the forward rate unbiasedness hypothesis across currencies," Journal of Empirical Finance, Elsevier, vol. 68(C), pages 232-245.
  2. Sermin Gungor & Richard Luger, 2021. "Exact Inference in Long-Horizon Predictive Quantile Regressions with an Application to Stock Returns," Journal of Financial Econometrics, Oxford University Press, vol. 19(4), pages 746-788.
  3. Gungor, Sermin & Luger, Richard, 2020. "Small-sample tests for stock return predictability with possibly non-stationary regressors and GARCH-type effects," Journal of Econometrics, Elsevier, vol. 218(2), pages 750-770.
  4. Liu Xiaochun & Luger Richard, 2018. "Markov-switching quantile autoregression: a Gibbs sampling approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(2), pages 1, April.
  5. Jean-Marie Dufour & Richard Luger, 2017. "Identification-robust moment-based tests for Markov switching in autoregressive models," Econometric Reviews, Taylor & Francis Journals, vol. 36(6-9), pages 713-727, October.
  6. Sermin Gungor & Richard Luger, 2016. "Multivariate Tests of Mean-Variance Efficiency and Spanning With a Large Number of Assets and Time-Varying Covariances," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(2), pages 161-175, April.
  7. Gungor, Sermin & Luger, Richard, 2015. "Bootstrap Tests Of Mean-Variance Efficiency With Multiple Portfolio Groupings," L'Actualité Economique, Société Canadienne de Science Economique, vol. 91(1-2), pages 35-65, Mars-Juin.
  8. Liu, Xiaochun & Luger, Richard, 2015. "Unfolded GARCH models," Journal of Economic Dynamics and Control, Elsevier, vol. 58(C), pages 186-217.
  9. Sermin Gungor & Richard Luger, 2013. "Testing Linear Factor Pricing Models With Large Cross Sections: A Distribution-Free Approach," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 31(1), pages 66-77, January.
  10. Luger, Richard, 2012. "Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3198-3211.
  11. René Garcia & Richard Luger, 2012. "Risk aversion, intertemporal substitution, and the term structure of interest rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(6), pages 1013-1036, September.
  12. Richard Luger, 2011. "Book Review: Introducing Monte Carlo Methods with R," Econometric Reviews, Taylor & Francis Journals, vol. 30(4), pages 469-474, August.
  13. Luger, Richard, 2010. "An omnibus test for heteroskedasticity," Economics Letters, Elsevier, vol. 106(1), pages 22-24, January.
  14. Liu, Yan & Luger, Richard, 2009. "Efficient estimation of copula-GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2284-2297, April.
  15. Gungor, Sermin & Luger, Richard, 2009. "Exact distribution-free tests of mean-variance efficiency," Journal of Empirical Finance, Elsevier, vol. 16(5), pages 816-829, December.
  16. René Garcia & Richard Luger, 2007. "The Canadian macroeconomy and the yield curve: an equilibrium-based approach," Canadian Journal of Economics, Canadian Economics Association, vol. 40(2), pages 561-583, May.
  17. Richard Luger, 2006. "Median‐unbiased Estimation and Exact Inference Methods for First‐order Autoregressive Models with Conditional Heteroscedasticity of Unknown Form," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(1), pages 119-128, January.
  18. Luger, Richard, 2006. "Exact permutation tests for non-nested non-linear regression models," Journal of Econometrics, Elsevier, vol. 133(2), pages 513-529, August.
  19. René Garcia & Richard Luger & Éric Renault, 2005. "Viewpoint: Option prices, preferences, and state variables," Canadian Journal of Economics, Canadian Economics Association, vol. 38(1), pages 1-27, February.
  20. Luger, Richard, 2003. "Exact non-parametric tests for a random walk with unknown drift under conditional heteroscedasticity," Journal of Econometrics, Elsevier, vol. 115(2), pages 259-276, August.
  21. Garcia, Rene & Luger, Richard & Renault, Eric, 2003. "Empirical assessment of an intertemporal option pricing model with latent variables," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 49-83.
  22. Luger, Richard, 2001. "A modified CUSUM test for orthogonal structural changes," Economics Letters, Elsevier, vol. 73(3), pages 301-306, December.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 16 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (8) 2001-02-14 2001-07-17 2004-01-25 2011-01-03 2013-06-16 2015-01-03 2017-01-15 2024-09-02. Author is listed
  2. NEP-ETS: Econometric Time Series (6) 2001-07-17 2004-01-18 2017-01-15 2017-01-22 2017-01-29 2024-09-02. Author is listed
  3. NEP-MAC: Macroeconomics (4) 2002-01-05 2004-10-30 2005-12-01 2009-05-30
  4. NEP-MON: Monetary Economics (3) 2004-10-30 2005-12-01 2009-05-30
  5. NEP-ORE: Operations Research (3) 2017-01-15 2017-01-22 2017-01-29
  6. NEP-RMG: Risk Management (2) 2004-01-18 2011-11-14
  7. NEP-BAN: Banking (1) 2011-01-03
  8. NEP-CBA: Central Banking (1) 2009-05-30
  9. NEP-CMP: Computational Economics (1) 2004-01-18
  10. NEP-FIN: Finance (1) 2001-02-14
  11. NEP-FMK: Financial Markets (1) 2001-02-14
  12. NEP-IFN: International Finance (1) 2001-07-17
  13. NEP-UPT: Utility Models and Prospect Theory (1) 2009-05-30

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