Access Statistics for Eric Michel Renault

Author contact details at EconPapers.

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 0 697 1 3 9 3,332
Aggregations and Marginalization of GARCH and Stochastic Volatility Models 0 0 1 199 0 0 8 573
Aggregations and Marginalization of Garch and Stochastic Volatility Models 0 0 0 0 0 0 3 445
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 2 588 1 2 10 2,569
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 2 169 0 0 7 766
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 0 1 2 2 6 385
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 0 9 1 2 8 392
Calibrarion By Simulation for Small Sample Bias Correction 0 0 0 0 0 5 10 846
Causalites a court et a long terme dans les modeles VAR et ARIMA multivaries 0 0 0 0 1 1 5 395
Causalites a court et a long terme dans les modeles VAR et ARIMA multivaries 0 0 0 0 1 1 6 233
Conditionally Heteroskedastic Factor Models: Identification and Instrumental Variables Estimation 0 1 5 225 0 6 23 704
Conditionaly Heteroskedastic Factor Models: Identificationand Instrumental variables Estmation 0 0 0 60 0 0 6 250
Consistent m-estimators in a semi-parametric model 0 1 2 14 0 1 10 176
Continuously updated extremum estimators 0 0 0 2 1 6 14 263
Disentangling Risk Aversion and Intertemporal Substitution Through a Reference Level 1 1 1 189 1 5 10 921
Econometric Models of Option Pricing Errors 0 0 0 1 0 2 12 1,697
Efficient Derivative Pricing By The Extended Method of Moments 0 0 0 42 0 6 12 116
Efficient Derivative Pricing by Extended Method of Moments 0 0 1 15 0 1 6 68
Efficient Derivative Pricing by Extended Method of Moments 0 0 0 6 0 1 7 55
Efficient Derivative Pricing by Extended Method of Moments 0 0 1 180 1 3 12 443
Efficient Inference with Poor Instruments: a General Framework 0 0 2 64 0 0 7 176
Efficient Minimum Distance Estimation with Multiple Rates of Convergence 0 0 0 49 2 2 11 228
Efficient Two-Step Estimation via Targeting 0 0 0 35 0 0 4 46
Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables 0 0 0 8 1 4 10 245
Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note: Nouvelle version Février 2002) 0 0 0 440 0 1 4 2,255
Empirical Assessment of an Intertemporal Option Pricing Model with Latent variables 0 0 0 83 1 1 4 342
Empirical Assessment of an Intertemporal option Pricing Model with Latent variables 0 0 0 1 1 1 4 236
Estimation of stable distributions by indirect inference 0 0 0 74 1 1 6 247
Estimation of stable distributions with indirect inference 0 0 0 5 0 0 5 40
GARCH and Irregularly Spaced Data 0 0 0 1 0 0 1 19
Implications of Asymmetry Risk for Portfolio Analysis and Asset Pricing 0 0 0 87 0 0 9 216
Indirect Inference 0 0 0 4 0 0 13 672
Indirect Inference With(Out) Constraints 0 0 1 33 0 0 6 35
Indirect Inference with Endogenously Missing Exogenous Variables 0 0 1 32 0 0 6 43
Iterative and Recursive Estimation in Structural Non-Adaptive Models 0 0 3 102 2 2 9 468
Latent Variable Models for Stochastic Discount 0 0 0 3 0 0 4 229
Latent Variable Models for Stochastic Discount Factors 0 1 5 127 1 5 22 509
Latent Variable Models for Stochastic Discount Factors 0 0 2 527 0 0 8 2,704
Latest developments in heavy-tailed distributions 0 0 0 0 0 0 2 44
Letent Variable Models for Stochastic Discount Factors 0 0 0 0 0 0 10 247
Long Memory in Continuous Time Stochastic Volatility Models 0 0 0 2 2 5 21 1,270
Non Parametric Instrumental Regression 0 0 0 185 0 1 11 476
Nonparametric Instrumental Regression 0 0 0 195 2 3 4 504
Nonparametric Instrumental Regression 0 0 1 25 0 0 6 289
Nonparametric Instrumental Regression 0 0 0 0 1 1 13 54
Nonparametric Methods and Option Pricing 0 0 1 669 0 0 5 2,411
Nonparametric methods and option pricing 0 0 0 4 0 0 3 636
On Portfolio Separation Theorems with Heterogeneous Beliefs and Attitudes towards Risk 0 0 2 149 0 2 6 662
On the Efficient Use of the Informational Content of Estimating Equations: Implied Probabilities and Euclidean Empirical Likelihood 1 1 1 117 1 3 9 417
On the relevance of weaker instruments 0 0 2 107 0 1 15 234
Option Hedging and Implicit Volatilities 0 0 0 0 1 2 7 500
Option Hedging and Implicit Volatilities in a Stochastic Volatility Model 0 0 0 0 0 0 10 227
Option Hedging and Implicit Volatilities. Non Causality in Continuous Time Varma Models 0 0 0 0 0 0 3 271
Quadratic M-Estimators for ARCH-Type Processes 0 0 0 208 0 2 9 932
Quadratic M-Estimators for ARCH-Type Processes 0 0 0 38 2 2 7 246
Recursive Utility, Precautionary Saving and the Demand for Insurance 0 0 0 269 0 0 5 814
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 0 0 1 1 3 493
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 1 12 1 1 11 75
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 0 110 1 1 7 539
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 1 847 1 2 6 4,508
Risque de modèle de volatilité 0 0 1 664 1 4 13 2,429
Semi-Parametric Indirect Inference 0 0 1 6 0 1 10 38
Semi-parametric indirect inference 0 0 0 4 0 0 6 40
Short Run and Long Run Causality in Time Series: Inference 0 0 1 201 2 3 13 640
Short Run and Long Run Causality in Time Series: Inference 0 0 0 526 0 0 10 1,617
Short run and long run causality in time series: Inference 0 0 0 234 1 1 8 612
Short-Run and Long-Rub Causality in Time Series: Theory 0 0 0 0 0 5 16 347
Short-Run and Long-Rub Causality in Time Series: Theory 0 0 3 65 0 1 16 215
Simulated residuals 0 1 3 6 1 2 6 260
State Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle 0 0 0 110 0 0 3 322
Statistical Inference for Random Variance Option Pricing 0 0 0 21 0 0 1 54
Statistical Inference for Random Variance Option Pricing 0 0 0 1 0 1 4 674
Stochastic Volatility 0 0 0 8 7 19 129 3,325
Stochastic Volatility 0 0 2 35 1 2 18 219
Stochastic Volatility 0 0 0 3 1 3 26 1,608
Stochastic Volatility 0 1 13 2,065 2 6 45 4,713
Stochastic Volatility 3 7 27 445 6 10 62 1,547
Stochatic Volatility Models with Transaction Time Risk 0 0 0 0 0 1 9 19
Temporal Aggregation and Tests of Arbitrage Pricing Theory 0 0 0 0 0 0 3 233
Temporal Aggregation of Volatility Models 0 0 1 427 0 1 11 1,318
Testing Identification Strength 0 0 0 142 4 5 23 434
Testing for Common GARCH Factors 0 0 0 13 0 0 5 51
Testing for Common GARCH Factors 0 0 0 17 0 0 5 50
Testing for Spurious Causality in Exchange Rates 0 0 0 0 0 0 9 70
Testing unknown linear restrictions on parameter functions 0 0 0 3 0 0 3 281
The Econometrics of Option Pricing 0 0 1 1,252 0 3 20 3,082
The Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order Moments 0 0 0 190 0 0 8 750
True Versus Spurious Instantaneous Causality 0 0 0 3 1 1 13 416
Two stages generalized moment method with applications to regressions with heteroscedasticity of unkwnown form 0 0 0 3 0 0 5 275
Total Working Papers 5 14 91 13,453 59 160 990 64,827


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 1 2 56
Affine fractional stochastic volatility models 0 0 0 26 1 2 16 91
Aggregation of preferences for skewed asset returns 0 1 3 32 0 2 9 86
Causality and separability 0 0 4 10 0 0 6 33
Causality effects in return volatility measures with random times 1 1 1 38 1 3 11 145
Diffusion Processes with Polynomial Eigenfunctions 0 0 2 5 0 1 7 22
Disentangling risk aversion and intertemporal substitution through a reference level 0 1 1 47 0 2 6 165
Dynamic factor models 0 0 0 64 0 1 5 176
Econometric methods for derivative securities and risk management 0 1 1 83 0 1 3 206
Editorial Announcement 0 0 0 11 0 0 3 44
Efficient Derivative Pricing by the Extended Method of Moments 0 0 0 0 0 4 14 221
Efficient GMM with nearly-weak instruments 0 0 0 58 0 0 4 224
Efficient minimum distance estimation with multiple rates of convergence 0 0 0 23 1 3 10 116
Empirical assessment of an intertemporal option pricing model with latent variables 0 1 1 85 0 2 12 277
Estimating scale economies in financial intermediation: a doubly indirect inference 0 0 1 7 0 1 5 34
Estimation of objective and risk-neutral distributions based on moments of integrated volatility 0 0 1 51 1 2 7 203
Estimation of stable distributions by indirect inference 0 0 1 83 0 1 8 246
Factor Stochastic Volatility in Mean Models: A GMM Approach 0 0 0 36 0 0 4 115
GARCH and irregularly spaced data 0 0 0 42 0 1 3 122
Generalised residuals 4 10 27 876 6 15 51 1,522
Indirect Inference 1 4 14 1,538 6 15 68 3,875
Indirect inference and calibration of dynamic stochastic general equilibrium models 0 2 9 142 1 4 18 330
Iterative and Recursive Estimation in Structural Nonadaptive Models 0 0 0 0 3 3 10 237
Iterative and Recursive Estimation in Structural Nonadaptive Models: Rejoinder 0 0 0 0 2 6 16 132
Kullback Causality Measures 0 2 6 11 1 3 13 27
Les techniques quantitatives de la gestion de portefeuille 0 0 1 27 0 2 6 158
Long memory continuous time models 0 3 13 164 2 9 25 305
Long memory in continuous‐time stochastic volatility models 0 0 2 52 1 3 15 143
Maximization by parts in extremum estimation 0 0 0 2 0 0 3 25
Noncausality in Continuous Time Models 0 0 0 16 0 0 4 51
Nonparametric Instrumental Regression 0 0 2 82 1 6 19 291
OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL1 1 2 7 146 1 4 16 277
On the efficient use of the informational content of estimating equations: Implied probabilities and Euclidean empirical likelihood 0 0 0 86 1 1 4 226
Proper Conditioning for Coherent VaR in Portfolio Management 0 0 0 13 0 1 9 71
REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS 0 0 0 5 0 2 6 49
Short Run and Long Run Causality in Time Series: Theory 0 0 0 0 2 8 24 1,127
Short run and long run causality in time series: inference 1 2 4 191 2 4 20 570
Shrinkage of Variance for Minimum Distance Based Tests 0 0 0 2 0 2 4 30
Simulated residuals 0 1 1 141 0 1 4 250
State Dependence Can Explain the Risk Aversion Puzzle 0 1 1 33 1 3 12 102
Statistical Inference for Random-Variance Option Pricing 0 0 0 0 0 1 3 326
Symposium on Marshall's Tendencies: 4 Comments on Marshall's Tendencies 0 0 0 5 0 0 6 26
TESTING FOR EMBEDDABILITY BY STATIONARY REVERSIBLE CONTINUOUS-TIME MARKOV PROCESSES 0 0 0 11 0 0 1 54
Temporal aggregation of volatility models 0 1 3 68 1 2 16 258
Testing for Common Conditionally Heteroskedastic Factors 1 2 5 41 3 10 25 193
Testing for Common Roots 0 0 0 28 0 4 7 191
Testing for spurious causality in exchange rates 0 0 0 66 0 0 7 280
Tests sur le noyau, l'image et le rang de la matrice des coefficients d'un modéle linéaire multivarié 0 0 0 2 3 7 16 23
The JFEC Invited Lecture at the 2009 SoFiE Conference 0 0 0 13 0 0 1 65
The dynamic mixed hitting-time model for multiple transaction prices and times 0 0 0 10 0 0 2 54
Viewpoint: Option prices, preferences, and state variables 0 0 0 29 1 1 2 150
Total Journal Articles 9 35 111 4,516 42 144 568 14,000


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 2 4 18 588 2 7 44 1,578
Total Chapters 2 4 18 588 2 7 44 1,578


Statistics updated 2021-01-03