Access Statistics for Eric Michel Renault

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Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models 0 0 0 698 0 0 0 3,345
Aggregations and Marginalization of GARCH and Stochastic Volatility Models 0 0 0 207 1 2 3 604
Aggregations and Marginalization of Garch and Stochastic Volatility Models 0 0 0 0 0 1 1 449
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 0 1 0 1 2 395
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 0 171 1 1 2 776
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 0 589 0 0 0 2,589
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 0 10 0 0 0 398
Calibrarion By Simulation for Small Sample Bias Correction 0 0 0 0 0 0 3 885
Causalites a court et a long terme dans les modeles VAR et ARIMA multivaries 0 0 0 0 0 0 2 238
Causalites a court et a long terme dans les modeles VAR et ARIMA multivaries 0 0 0 0 0 0 2 402
Conditionally Heteroskedastic Factor Models: Identification and Instrumental Variables Estimation 1 2 3 235 2 3 5 746
Conditionaly Heteroskedastic Factor Models: Identificationand Instrumental variables Estmation 0 0 0 60 0 0 0 255
Consistent m-estimators in a semi-parametric model 1 1 2 26 1 5 7 200
Continuously updated extremum estimators 0 0 0 2 0 1 1 271
Disentangling Risk Aversion and Intertemporal Substitution Through a Reference Level 0 0 0 189 2 2 2 943
Econometric Models of Option Pricing Errors 0 0 0 1 0 3 18 1,750
Efficient Derivative Pricing By The Extended Method of Moments 0 0 0 42 0 0 0 133
Efficient Derivative Pricing by Extended Method of Moments 0 0 0 17 0 0 1 87
Efficient Derivative Pricing by Extended Method of Moments 0 0 0 6 0 0 0 67
Efficient Derivative Pricing by Extended Method of Moments 0 0 0 183 0 0 2 480
Efficient Inference with Poor Instruments: a General Framework 0 0 1 69 0 1 3 194
Efficient Minimum Distance Estimation with Multiple Rates of Convergence 0 0 0 49 0 1 2 241
Efficient Two-Step Estimation via Targeting 0 0 2 37 0 2 5 60
Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables 0 0 0 8 0 0 0 291
Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note: Nouvelle version Février 2002) 0 0 0 442 0 1 2 2,274
Empirical Assessment of an Intertemporal Option Pricing Model with Latent variables 0 0 0 84 0 0 1 351
Empirical Assessment of an Intertemporal option Pricing Model with Latent variables 0 0 0 1 0 0 1 244
Estimation of stable distributions by indirect inference 0 0 0 74 1 1 1 255
Estimation of stable distributions with indirect inference 0 0 0 5 1 2 3 50
GARCH and Irregularly Spaced Data 0 0 0 1 1 1 1 26
Implications of Asymmetry Risk for Portfolio Analysis and Asset Pricing 0 0 0 88 0 0 1 222
Indirect Inference 0 0 0 4 0 0 2 694
Indirect Inference With(Out) Constraints 0 0 0 33 0 0 1 39
Indirect Inference with Endogenously Missing Exogenous Variables 0 1 1 36 2 3 4 63
Iterative and Recursive Estimation in Structural Non-Adaptive Models 0 0 0 104 0 2 3 504
Latent Variable Models for Stochastic Discount 0 0 0 3 0 0 0 230
Latent Variable Models for Stochastic Discount Factors 0 0 0 128 0 0 1 525
Latent Variable Models for Stochastic Discount Factors 0 0 0 528 0 1 1 2,722
Latest developments in heavy-tailed distributions 0 0 0 0 0 0 1 50
Letent Variable Models for Stochastic Discount Factors 0 0 0 0 0 0 1 252
Long Memory in Continuous Time Stochastic Volatility Models 0 0 0 2 0 1 3 1,284
Non Parametric Instrumental Regression 0 0 1 193 1 2 4 506
Nonparametric Instrumental Regression 0 0 0 0 0 0 0 68
Nonparametric Instrumental Regression 0 0 0 33 0 0 1 304
Nonparametric Instrumental Regression 0 0 5 208 0 0 8 541
Nonparametric Methods and Option Pricing 0 0 0 676 0 1 5 2,437
Nonparametric methods and option pricing 0 1 1 7 1 2 2 648
On Portfolio Separation Theorems with Heterogeneous Beliefs and Attitudes towards Risk 0 0 1 153 1 1 2 671
On the Efficient Use of the Informational Content of Estimating Equations: Implied Probabilities and Euclidean Empirical Likelihood 0 2 3 126 0 2 3 452
On the relevance of weaker instruments 0 0 2 119 1 3 12 272
Option Hedging and Implicit Volatilities 0 0 0 0 1 2 2 508
Option Hedging and Implicit Volatilities in a Stochastic Volatility Model 0 0 0 0 1 2 4 239
Option Hedging and Implicit Volatilities. Non Causality in Continuous Time Varma Models 0 0 0 0 1 1 4 279
Quadratic M-Estimators for ARCH-Type Processes 0 0 0 38 0 0 1 255
Quadratic M-Estimators for ARCH-Type Processes 0 0 0 209 1 3 4 948
Recursive Utility, Precautionary Saving and the Demand for Insurance 0 0 0 269 0 0 4 826
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 1 13 0 0 2 85
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 0 110 0 1 2 546
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 0 0 1 1 2 498
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 0 847 0 1 2 4,525
Risque de modèle de volatilité 0 0 0 665 2 2 2 2,446
Semi-Parametric Indirect Inference 0 0 0 6 0 1 1 54
Semi-parametric indirect inference 0 0 0 4 0 0 1 44
Short Run and Long Run Causality in Time Series: Inference 0 0 0 531 1 1 3 1,642
Short Run and Long Run Causality in Time Series: Inference 0 0 0 205 0 0 2 654
Short run and long run causality in time series: Inference 0 0 0 236 2 2 3 621
Short-Run and Long-Rub Causality in Time Series: Theory 0 0 0 0 0 1 4 363
Short-Run and Long-Rub Causality in Time Series: Theory 0 0 0 70 0 0 2 236
Simulated residuals 0 0 0 7 0 0 0 267
State Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle 0 0 0 111 1 2 2 330
Statistical Inference for Random Variance Option Pricing 0 0 0 1 0 0 0 677
Statistical Inference for Random Variance Option Pricing 0 0 0 23 0 0 0 63
Stochastic Volatility 0 1 4 472 1 3 13 1,632
Stochastic Volatility 0 0 0 8 2 6 36 3,512
Stochastic Volatility 0 0 0 3 1 2 11 1,642
Stochastic Volatility 0 0 1 37 1 2 6 242
Stochastic Volatility 0 1 3 2,083 1 4 13 4,794
Stochatic Volatility Models with Transaction Time Risk 0 0 0 0 0 1 1 27
Temporal Aggregation and Tests of Arbitrage Pricing Theory 0 0 0 0 0 0 0 234
Temporal Aggregation of Volatility Models 0 0 0 428 0 0 3 1,339
Testing Identification Strength 0 0 0 142 1 3 5 448
Testing for Common GARCH Factors 0 1 1 18 1 2 3 68
Testing for Common GARCH Factors 0 0 0 14 0 0 0 56
Testing for Spurious Causality in Exchange Rates 0 0 0 0 0 1 1 74
Testing unknown linear restrictions on parameter functions 0 0 0 4 0 0 0 282
The Econometrics of Option Pricing 0 0 0 1,257 0 0 2 3,129
The Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order Moments 0 0 0 191 0 0 1 761
True Versus Spurious Instantaneous Causality 0 0 0 3 1 1 3 431
Two stages generalized moment method with applications to regressions with heteroscedasticity of unkwnown form 0 0 0 4 1 1 3 280
Total Working Papers 2 10 32 13,657 37 92 273 66,540

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models 0 0 0 15 0 0 0 63
Affine fractional stochastic volatility models 0 0 1 40 0 0 4 140
Aggregation of preferences for skewed asset returns 0 0 1 36 0 0 1 95
Causality and separability 0 0 0 12 0 0 2 43
Causality effects in return volatility measures with random times 0 0 1 41 0 1 5 156
Diffusion Processes with Polynomial Eigenfunctions 0 0 0 13 0 0 0 33
Disentangling risk aversion and intertemporal substitution through a reference level 1 1 2 53 2 2 4 197
Dynamic factor models 0 0 0 67 0 0 3 185
Econometric methods for derivative securities and risk management 0 0 0 84 0 0 1 214
Editorial Announcement 0 0 0 11 0 1 1 48
Efficient Derivative Pricing by the Extended Method of Moments 0 0 0 0 0 0 1 239
Efficient GMM with nearly-weak instruments 0 0 0 58 0 2 5 233
Efficient minimum distance estimation with multiple rates of convergence 0 0 0 26 0 1 2 131
Empirical assessment of an intertemporal option pricing model with latent variables 0 0 0 89 0 1 5 298
Estimating scale economies in financial intermediation: a doubly indirect inference 0 0 0 7 0 0 2 40
Estimation of objective and risk-neutral distributions based on moments of integrated volatility 0 0 0 51 0 0 5 219
Estimation of stable distributions by indirect inference 0 0 1 87 1 2 3 258
Factor Stochastic Volatility in Mean Models: A GMM Approach 1 1 5 47 2 2 8 134
GARCH and irregularly spaced data 0 0 0 43 0 0 1 130
Generalised residuals 1 4 13 969 1 6 25 1,673
Indirect Inference 1 3 11 1,583 3 12 47 4,103
Indirect inference and calibration of dynamic stochastic general equilibrium models 1 1 3 166 1 1 7 384
Iterative and Recursive Estimation in Structural Nonadaptive Models 0 0 0 0 1 1 4 285
Iterative and Recursive Estimation in Structural Nonadaptive Models: Rejoinder 0 0 0 0 0 0 0 159
Kullback Causality Measures 0 0 1 21 0 0 1 52
Les techniques quantitatives de la gestion de portefeuille 0 0 0 28 1 1 1 168
Long memory continuous time models 0 2 6 211 0 3 12 389
Long memory in continuous‐time stochastic volatility models 0 2 18 87 5 9 41 259
Maximization by parts in extremum estimation 0 0 0 3 0 0 0 31
Noncausality in Continuous Time Models 0 0 0 20 0 0 0 62
Nonparametric Instrumental Regression 0 0 1 91 0 0 3 324
OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL1 0 3 14 195 2 7 26 375
On the efficient use of the informational content of estimating equations: Implied probabilities and Euclidean empirical likelihood 0 0 0 89 0 2 2 237
Proper Conditioning for Coherent VaR in Portfolio Management 0 0 1 14 0 0 2 78
REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS 1 1 1 7 2 3 4 60
Short Run and Long Run Causality in Time Series: Theory 0 0 0 0 0 0 2 1,166
Short run and long run causality in time series: inference 0 0 2 210 2 2 11 632
Shrinkage of Variance for Minimum Distance Based Tests 0 0 0 2 0 1 2 37
Simulated residuals 0 0 0 141 1 1 1 259
State Dependence Can Explain the Risk Aversion Puzzle 0 0 0 37 0 1 1 113
Statistical Inference for Random-Variance Option Pricing 0 0 0 0 0 0 0 351
Symposium on Marshall's Tendencies: 4 Comments on Marshall's Tendencies 0 0 0 5 2 2 2 31
TESTING FOR EMBEDDABILITY BY STATIONARY REVERSIBLE CONTINUOUS-TIME MARKOV PROCESSES 0 0 0 11 2 2 2 57
Temporal aggregation of volatility models 0 0 0 76 0 2 4 294
Testing for Common Conditionally Heteroskedastic Factors 0 0 0 44 1 1 3 207
Testing for Common Roots 0 0 0 31 0 0 0 202
Testing for spurious causality in exchange rates 0 0 0 69 0 0 2 296
Tests sur le noyau, l'image et le rang de la matrice des coefficients d'un modéle linéaire multivarié 0 0 0 5 0 0 0 40
The JFEC Invited Lecture at the 2009 SoFiE Conference 0 0 0 13 1 1 1 67
The dynamic mixed hitting-time model for multiple transaction prices and times 0 0 0 12 0 0 1 61
Viewpoint: Option prices, preferences, and state variables 0 0 0 29 0 0 1 151
Total Journal Articles 6 18 82 4,949 30 70 261 15,459

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Linear Inverse Problems in Structural Econometrics Estimation Based on Spectral Decomposition and Regularization 0 0 17 647 2 4 33 1,737
Total Chapters 0 0 17 647 2 4 33 1,737

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Statistics updated 2025-03-03