Contact info

Richard Luger
Department of Finance, Insurance and Real Estate
Université Laval, Québec, QC G1V 0A6, Canada
Tel. 418-656-3083
Email: richard.luger@fsa.ulaval.ca

CV (pdf)

Research interests

Financial econometrics; Financial risk modelling; Simulation-based inference

Publications

• "Quantile-based modeling of scale dynamics in financial returns for Value-at-Risk and Expected Shortfall forecasting" (with Xiaochun Liu), International Journal of Forecasting, In Press, 2025. [Open-access article] [Final version] [Code on GitHub]


• "Regularizing stock return covariance matrices via multiple testing of correlations," Journal of Econometrics, Vol. 248, Article 105753, 2025. [Open-access article] [Final version] [Code on GitHub]


• "Multiple testing of the forward rate unbiasedness hypothesis across currencies" (with Hsuan Fu), Journal of Empirical Finance, Vol. 68, pp. 232–245, 2022. [Open-access article] [Paper on SSRN] [Code]


• "Exact inference in long-horizon predictive quantile regressions with an application to stock returns" (with Sermin Gungor), Journal of Financial Econometrics, Vol. 19, pp. 746–788, 2021. [Open-access article] [Final version] [Previous version on SSRN] [Code]


• "Small-sample tests for stock return predictability with possibly non-stationary regressors and GARCH-type effects" (with Sermin Gungor), Journal of Econometrics, Vol. 218, pp. 750–770, 2020. [Open-access article] [Final version] [Previous version on SSRN] [Code]


• "Markov-switching quantile autoregression: A Gibbs sampling approach" (with Xiaochun Liu), Studies in Nonlinear Dynamics and Econometrics, Vol. 22, pp. 1–33, 2018. [Free-access article] [Final version] [Code]


• "Identification-robust moment-based tests for Markov-switching in autoregressive models" (with Jean-Marie Dufour), Econometric Reviews, Vol. 36, pp. 713–727, 2017. [Open-access article]


• "Multivariate tests of mean-variance efficiency and spanning with a large number of assets and time-varying covariances" (with Sermin Gungor), Journal of Business and Economic Statistics, Vol. 34, pp. 161–175, 2016. [Article] [Final version] [Code]


• "Unfolded GARCH models" (with Xiaochun Liu), Journal of Economic Dynamics and Control, Vol. 58, pp. 186–217, 2015. [Article] [Final version]


• "Bootstrap tests of mean-variance efficiency with multiple portfolio groupings" (with Sermin Gungor), L'Actualité économique, Vol. 91, pp. 35–65, 2015. (Special issue in English on "Identification, Simulation, and Finite-Sample Inference.") [Open-access article] [Final version]


• "Testing for GARCH effects with quasilikelihood ratios," Journal of Risk, Vol. 16, pp. 23–59, 2014. [Article] [Final version]


• "Testing linear factor pricing models with large cross-sections: A distribution-free approach" (with Sermin Gungor), Journal of Business and Economic Statistics, Vol. 31, pp. 66–77, 2013. [Article] [Final version]


• "Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations," Computational Statistics and Data Analysis, Vol. 56, pp. 3198–3211, 2012. [Article] [Final version]


• "Risk aversion, intertemporal substitution, and the term structure of interest rates" (with René Garcia), Journal of Applied Econometrics, Vol. 27, pp. 1013–1036, 2012. [Article]


• "An omnibus test for heteroskedasticity," Economics Letters, Vol. 106, pp. 22–24, 2010. [Article]


• "Exact distribution-free tests of mean-variance efficiency" (with Sermin Gungor), Journal of Empirical Finance, Vol. 16, pp. 816–829, 2009. [Article]


• "Efficient estimation of copula-GARCH models" (with Yan Liu), Computational Statistics and Data Analysis, Vol. 53, pp. 2284–2297, 2009. [Article]


• "The Canadian macroeconomy and the yield curve: An equilibrium-based approach" (with René Garcia), Canadian Journal of Economics, Vol. 40, pp. 561–583, 2007. [Article]


• "Median-unbiased estimation and exact inference methods for first-order autoregressive models with conditional heteroscedasticity of unknown form," Journal of Time Series Analysis, Vol. 27, pp. 119–128, 2006. [Article]


• "Exact permutation tests for non-nested non-linear regression models," Journal of Econometrics, Vol. 133, pp. 513–529, 2006. [Article]


• "Viewpoint: Option prices, preferences, and state variables" (with René Garcia and Éric Renault), Canadian Journal of Economics, Vol. 38, pp, 1–27, 2005. [Article]


• "Empirical assessment of an intertemporal option pricing model with latent variables" (with René Garcia and Éric Renault), Journal of Econometrics, Vol. 116, pp, 49–83, 2003. [Article]


• "Exact non-parametric tests for a random walk with unknown drift under conditional heteroscedasticity," Journal of Econometrics, Vol. 115, pp, 259–276, 2003. [Article]


• "A modified CUSUM test for orthogonal structural changes," Economics Letters, Vol. 73, pp, 301–306, 2001. [Article]