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 2 2 3 3,348
Aggregations and Marginalization of GARCH and Stochastic Volatility Models 0 2 2 209 1 3 5 607
Aggregations and Marginalization of Garch and Stochastic Volatility Models 0 0 0 0 2 3 5 453
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 0 589 0 0 5 2,594
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 0 171 0 0 2 777
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 0 1 1 1 2 396
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 0 10 2 3 3 401
Calibrarion By Simulation for Small Sample Bias Correction 0 0 0 0 1 2 5 890
Causalites a court et a long terme dans les modeles VAR et ARIMA multivaries 0 0 0 0 0 0 1 238
Causalites a court et a long terme dans les modeles VAR et ARIMA multivaries 0 0 0 0 0 0 0 402
Conditionally Heteroskedastic Factor Models: Identification and Instrumental Variables Estimation 0 0 2 235 3 3 8 751
Conditionaly Heteroskedastic Factor Models: Identificationand Instrumental variables Estmation 0 0 0 60 0 0 0 255
Consistent m-estimators in a semi-parametric model 0 1 2 27 1 2 9 204
Continuously updated extremum estimators 0 0 0 2 1 1 2 272
Disentangling Risk Aversion and Intertemporal Substitution Through a Reference Level 0 0 0 189 0 1 4 945
Econometric Models of Option Pricing Errors 0 0 0 1 0 0 7 1,754
Efficient Derivative Pricing By The Extended Method of Moments 0 0 0 42 1 1 3 136
Efficient Derivative Pricing by Extended Method of Moments 0 0 0 183 0 0 1 481
Efficient Derivative Pricing by Extended Method of Moments 0 0 1 18 1 1 2 89
Efficient Derivative Pricing by Extended Method of Moments 0 0 0 6 0 0 0 67
Efficient Inference with Poor Instruments: a General Framework 0 0 0 69 1 1 3 196
Efficient Minimum Distance Estimation with Multiple Rates of Convergence 0 0 0 49 0 0 2 242
Efficient Two-Step Estimation via Targeting 0 0 0 37 1 1 5 63
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 0 1 2,274
Empirical Assessment of an Intertemporal Option Pricing Model with Latent variables 0 0 0 84 1 1 4 355
Empirical Assessment of an Intertemporal option Pricing Model with Latent variables 0 0 0 1 0 0 0 244
Estimation of stable distributions by indirect inference 0 0 0 74 1 1 2 256
Estimation of stable distributions with indirect inference 0 0 0 5 2 2 4 52
GARCH and Irregularly Spaced Data 0 0 0 1 1 1 2 27
Implications of Asymmetry Risk for Portfolio Analysis and Asset Pricing 0 0 0 88 3 3 3 225
Indirect Inference 0 0 0 4 3 4 7 701
Indirect Inference With(Out) Constraints 0 0 0 33 1 1 1 40
Indirect Inference with Endogenously Missing Exogenous Variables 0 0 1 36 0 0 5 65
Iterative and Recursive Estimation in Structural Non-Adaptive Models 0 0 0 104 0 1 5 507
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 1 1 526
Latent Variable Models for Stochastic Discount Factors 0 0 0 528 1 1 2 2,723
Latest developments in heavy-tailed distributions 0 0 0 0 0 0 0 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 1 2 7 1,290
Non Parametric Instrumental Regression 0 0 0 193 3 3 5 509
Nonparametric Instrumental Regression 0 0 0 33 2 2 4 308
Nonparametric Instrumental Regression 0 0 0 0 2 2 3 71
Nonparametric Instrumental Regression 0 1 2 210 1 3 8 547
Nonparametric Methods and Option Pricing 0 1 1 677 1 3 4 2,440
Nonparametric methods and option pricing 0 0 1 7 1 1 3 649
On Portfolio Separation Theorems with Heterogeneous Beliefs and Attitudes towards Risk 1 1 1 154 2 2 8 678
On the Efficient Use of the Informational Content of Estimating Equations: Implied Probabilities and Euclidean Empirical Likelihood 0 0 4 128 1 3 9 459
On the relevance of weaker instruments 0 0 0 119 1 1 7 274
Option Hedging and Implicit Volatilities 0 0 0 0 0 0 3 509
Option Hedging and Implicit Volatilities in a Stochastic Volatility Model 0 0 0 0 0 0 2 239
Option Hedging and Implicit Volatilities. Non Causality in Continuous Time Varma Models 0 0 0 0 0 0 2 280
Quadratic M-Estimators for ARCH-Type Processes 0 0 0 209 0 1 5 949
Quadratic M-Estimators for ARCH-Type Processes 0 0 0 38 0 0 1 255
Recursive Utility, Precautionary Saving and the Demand for Insurance 0 0 0 269 1 1 3 827
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 0 0 0 0 1 498
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 0 110 1 1 2 547
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 1 848 0 0 4 4,528
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 1 13 0 0 1 85
Risque de modèle de volatilité 0 0 0 665 0 0 4 2,448
Semi-Parametric Indirect Inference 0 0 1 7 1 1 4 57
Semi-parametric indirect inference 0 0 0 4 0 0 0 44
Short Run and Long Run Causality in Time Series: Inference 0 0 0 205 0 0 0 654
Short Run and Long Run Causality in Time Series: Inference 0 0 0 531 0 1 4 1,645
Short run and long run causality in time series: Inference 0 0 0 236 1 1 4 623
Short-Run and Long-Rub Causality in Time Series: Theory 0 0 0 70 1 1 1 237
Short-Run and Long-Rub Causality in Time Series: Theory 0 0 0 0 1 1 3 364
Simulated residuals 0 0 0 7 0 0 0 267
State Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle 0 0 0 111 0 1 4 332
Statistical Inference for Random Variance Option Pricing 0 0 0 23 0 0 1 64
Statistical Inference for Random Variance Option Pricing 0 0 0 1 0 0 0 677
Stochastic Volatility 1 2 9 2,090 4 7 22 4,811
Stochastic Volatility 0 0 0 8 4 5 24 3,528
Stochastic Volatility 1 2 7 477 1 3 12 1,640
Stochastic Volatility 0 0 0 3 5 6 9 1,648
Stochastic Volatility 0 0 0 37 2 3 6 246
Stochatic Volatility Models with Transaction Time Risk 0 0 0 0 0 0 1 27
Temporal Aggregation and Tests of Arbitrage Pricing Theory 0 0 0 0 0 1 1 235
Temporal Aggregation of Volatility Models 0 0 0 428 1 1 2 1,341
Testing Identification Strength 0 0 0 142 0 1 5 450
Testing for Common GARCH Factors 0 0 1 18 1 1 3 69
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 0 4 77
Testing unknown linear restrictions on parameter functions 0 0 0 4 1 1 2 284
The Econometrics of Option Pricing 0 0 1 1,258 1 3 8 3,136
The Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order Moments 0 0 0 191 2 3 6 767
True Versus Spurious Instantaneous Causality 0 0 0 3 0 0 1 431
Two stages generalized moment method with applications to regressions with heteroscedasticity of unkwnown form 0 0 0 4 0 0 1 280
Total Working Papers 3 10 38 13,682 74 107 329 66,759

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 1 1 1 64
Affine fractional stochastic volatility models 0 0 2 42 2 2 7 146
Aggregation of preferences for skewed asset returns 0 0 0 36 1 2 3 98
Causality and separability 0 0 0 12 0 1 1 44
Causality effects in return volatility measures with random times 0 0 0 41 0 0 2 157
Diffusion Processes with Polynomial Eigenfunctions 0 0 0 13 0 1 1 34
Disentangling risk aversion and intertemporal substitution through a reference level 0 0 3 54 0 0 5 199
Dynamic factor models 0 0 0 67 1 1 3 187
Econometric methods for derivative securities and risk management 0 0 0 84 1 1 1 215
Editorial Announcement 0 0 0 11 0 0 1 48
Efficient Derivative Pricing by the Extended Method of Moments 0 0 0 0 1 1 1 240
Efficient GMM with nearly-weak instruments 0 0 0 58 0 0 4 234
Efficient minimum distance estimation with multiple rates of convergence 0 0 1 27 1 1 4 134
Empirical assessment of an intertemporal option pricing model with latent variables 0 0 0 89 0 2 4 301
Estimating scale economies in financial intermediation: a doubly indirect inference 0 0 0 7 0 0 2 42
Estimation of objective and risk-neutral distributions based on moments of integrated volatility 0 0 0 51 0 1 1 220
Estimation of stable distributions by indirect inference 0 0 1 87 0 0 3 258
Factor Stochastic Volatility in Mean Models: A GMM Approach 0 0 2 47 1 1 5 136
GARCH and irregularly spaced data 0 0 0 43 0 0 0 130
Generalised residuals 0 2 11 976 3 6 21 1,687
Indirect Inference 1 1 9 1,588 14 18 59 4,144
Indirect inference and calibration of dynamic stochastic general equilibrium models 0 0 2 167 0 1 3 386
Iterative and Recursive Estimation in Structural Nonadaptive Models 0 0 0 0 1 1 2 286
Iterative and Recursive Estimation in Structural Nonadaptive Models: Rejoinder 0 0 0 0 0 0 0 159
Kullback Causality Measures 0 0 2 23 0 0 4 56
Les techniques quantitatives de la gestion de portefeuille 1 1 1 29 2 2 4 171
Long memory continuous time models 0 1 5 214 0 4 11 397
Long memory in continuous‐time stochastic volatility models 1 2 7 92 6 8 29 277
Maximization by parts in extremum estimation 0 0 0 3 0 0 1 32
Noncausality in Continuous Time Models 0 0 0 20 2 3 3 65
Nonparametric Instrumental Regression 0 0 0 91 4 5 7 331
OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL1 0 0 9 198 2 3 22 386
On the efficient use of the informational content of estimating equations: Implied probabilities and Euclidean empirical likelihood 0 0 1 90 1 1 5 240
Proper Conditioning for Coherent VaR in Portfolio Management 0 0 1 15 0 1 2 80
REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS 0 0 2 8 2 2 7 64
Short Run and Long Run Causality in Time Series: Theory 0 0 0 0 1 1 5 1,171
Short run and long run causality in time series: inference 0 0 0 210 0 0 3 633
Shrinkage of Variance for Minimum Distance Based Tests 0 0 0 2 0 0 1 37
Simulated residuals 0 0 0 141 2 2 4 262
State Dependence Can Explain the Risk Aversion Puzzle 0 0 0 37 0 0 3 115
Statistical Inference for Random-Variance Option Pricing 0 0 0 0 0 0 1 352
Symposium on Marshall's Tendencies: 4 Comments on Marshall's Tendencies 0 0 0 5 0 0 2 31
TESTING FOR EMBEDDABILITY BY STATIONARY REVERSIBLE CONTINUOUS-TIME MARKOV PROCESSES 0 0 0 11 0 0 2 57
Temporal aggregation of volatility models 0 0 1 77 0 0 4 296
Testing for Common Conditionally Heteroskedastic Factors 0 0 0 44 0 0 2 208
Testing for Common Roots 0 0 0 31 0 0 0 202
Testing for spurious causality in exchange rates 0 0 0 69 2 2 2 298
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 0 1 3 69
The dynamic mixed hitting-time model for multiple transaction prices and times 0 0 0 12 0 0 2 63
Viewpoint: Option prices, preferences, and state variables 0 0 0 29 1 1 1 152
Total Journal Articles 3 7 60 4,984 52 77 264 15,634

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 2 8 653 1 4 21 1,751
Total Chapters 0 2 8 653 1 4 21 1,751

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Statistics updated 2025-11-08