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 2 3 3,348
Aggregations and Marginalization of GARCH and Stochastic Volatility Models 0 2 2 209 2 5 7 609
Aggregations and Marginalization of Garch and Stochastic Volatility Models 0 0 0 0 1 4 6 454
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 0 171 3 3 5 780
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 0 1 1 2 3 397
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 0 10 2 4 5 403
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 0 589 2 2 7 2,596
Calibrarion By Simulation for Small Sample Bias Correction 0 0 0 0 2 3 7 892
Causalites a court et a long terme dans les modeles VAR et ARIMA multivaries 0 0 0 0 0 0 0 238
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 0 3 8 751
Conditionaly Heteroskedastic Factor Models: Identificationand Instrumental variables Estmation 0 0 0 60 1 1 1 256
Consistent m-estimators in a semi-parametric model 0 1 2 27 1 3 10 205
Continuously updated extremum estimators 0 0 0 2 0 1 2 272
Disentangling Risk Aversion and Intertemporal Substitution Through a Reference Level 0 0 0 189 0 0 4 945
Econometric Models of Option Pricing Errors 0 0 0 1 2 2 9 1,756
Efficient Derivative Pricing By The Extended Method of Moments 0 0 0 42 2 3 5 138
Efficient Derivative Pricing by Extended Method of Moments 0 0 1 18 0 1 2 89
Efficient Derivative Pricing by Extended Method of Moments 0 0 0 6 1 1 1 68
Efficient Derivative Pricing by Extended Method of Moments 0 0 0 183 1 1 2 482
Efficient Inference with Poor Instruments: a General Framework 0 0 0 69 0 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 2 6 64
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 1 1 2 2,275
Empirical Assessment of an Intertemporal Option Pricing Model with Latent variables 0 0 0 84 2 3 6 357
Empirical Assessment of an Intertemporal option Pricing Model with Latent variables 0 0 0 1 2 2 2 246
Estimation of stable distributions by indirect inference 0 0 0 74 0 1 2 256
Estimation of stable distributions with indirect inference 0 0 0 5 3 5 7 55
GARCH and Irregularly Spaced Data 0 0 0 1 0 1 2 27
Implications of Asymmetry Risk for Portfolio Analysis and Asset Pricing 0 0 0 88 1 4 4 226
Indirect Inference 0 0 0 4 3 7 10 704
Indirect Inference With(Out) Constraints 0 0 0 33 1 2 2 41
Indirect Inference with Endogenously Missing Exogenous Variables 0 0 1 36 1 1 6 66
Iterative and Recursive Estimation in Structural Non-Adaptive Models 0 0 0 104 0 0 5 507
Latent Variable Models for Stochastic Discount 0 0 0 3 1 1 1 231
Latent Variable Models for Stochastic Discount Factors 0 0 0 528 0 1 2 2,723
Latent Variable Models for Stochastic Discount Factors 0 0 0 128 0 0 1 526
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 3 3 3 255
Long Memory in Continuous Time Stochastic Volatility Models 0 0 0 2 4 6 11 1,294
Non Parametric Instrumental Regression 0 0 0 193 1 4 6 510
Nonparametric Instrumental Regression 0 0 0 33 1 3 5 309
Nonparametric Instrumental Regression 0 0 2 210 1 2 7 548
Nonparametric Instrumental Regression 0 0 0 0 2 4 5 73
Nonparametric Methods and Option Pricing 0 1 1 677 0 2 4 2,440
Nonparametric methods and option pricing 0 0 1 7 0 1 3 649
On Portfolio Separation Theorems with Heterogeneous Beliefs and Attitudes towards Risk 0 1 1 154 0 2 8 678
On the Efficient Use of the Informational Content of Estimating Equations: Implied Probabilities and Euclidean Empirical Likelihood 0 0 4 128 3 4 12 462
On the relevance of weaker instruments 0 0 0 119 1 2 6 275
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 0 4 949
Quadratic M-Estimators for ARCH-Type Processes 0 0 0 38 0 0 0 255
Recursive Utility, Precautionary Saving and the Demand for Insurance 0 0 0 269 0 1 1 827
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 0 1 2 547
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 1 848 1 1 5 4,529
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 0 13 3 3 3 88
Risque de modèle de volatilité 0 0 0 665 1 1 5 2,449
Semi-Parametric Indirect Inference 0 0 1 7 3 4 7 60
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 2 3 6 1,647
Short run and long run causality in time series: Inference 0 0 0 236 0 1 4 623
Short-Run and Long-Rub Causality in Time Series: Theory 0 0 0 70 1 2 2 238
Short-Run and Long-Rub Causality in Time Series: Theory 0 0 0 0 0 1 2 364
Simulated residuals 0 0 0 7 1 1 1 268
State Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle 0 0 0 111 1 2 5 333
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 0 1 6 477 1 3 12 1,641
Stochastic Volatility 0 0 0 8 5 9 27 3,533
Stochastic Volatility 0 0 0 37 2 4 8 248
Stochastic Volatility 0 0 0 3 1 6 9 1,649
Stochastic Volatility 0 1 8 2,090 7 11 28 4,818
Stochatic Volatility Models with Transaction Time Risk 0 0 0 0 2 2 3 29
Temporal Aggregation and Tests of Arbitrage Pricing Theory 0 0 0 0 0 0 1 235
Temporal Aggregation of Volatility Models 0 0 0 428 0 1 2 1,341
Testing Identification Strength 0 0 0 142 1 1 6 451
Testing for Common GARCH Factors 0 0 0 14 1 1 1 57
Testing for Common GARCH Factors 0 0 1 18 1 2 4 70
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 3 4 5 287
The Econometrics of Option Pricing 0 0 1 1,258 3 5 10 3,139
The Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order Moments 0 0 0 191 1 3 7 768
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 1 1 2 281
Total Working Papers 0 7 35 13,682 95 180 406 66,854

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 1 64
Affine fractional stochastic volatility models 0 0 2 42 1 3 7 147
Aggregation of preferences for skewed asset returns 0 0 0 36 1 2 4 99
Causality and separability 0 0 0 12 0 0 1 44
Causality effects in return volatility measures with random times 0 0 0 41 1 1 3 158
Diffusion Processes with Polynomial Eigenfunctions 0 0 0 13 0 0 1 34
Disentangling risk aversion and intertemporal substitution through a reference level 0 0 2 54 2 2 6 201
Dynamic factor models 0 0 0 67 0 1 2 187
Econometric methods for derivative securities and risk management 0 0 0 84 0 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 2 2 241
Efficient GMM with nearly-weak instruments 0 0 0 58 0 0 3 234
Efficient minimum distance estimation with multiple rates of convergence 0 0 1 27 1 2 5 135
Empirical assessment of an intertemporal option pricing model with latent variables 0 0 0 89 0 1 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 0 1 220
Estimation of stable distributions by indirect inference 0 0 0 87 0 0 2 258
Factor Stochastic Volatility in Mean Models: A GMM Approach 0 0 1 47 0 1 4 136
GARCH and irregularly spaced data 0 0 0 43 1 1 1 131
Generalised residuals 0 0 11 976 1 5 21 1,688
Indirect Inference 0 1 8 1,588 6 21 59 4,150
Indirect inference and calibration of dynamic stochastic general equilibrium models 0 0 2 167 0 0 3 386
Iterative and Recursive Estimation in Structural Nonadaptive Models 0 0 0 0 2 3 4 288
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 0 1 1 29 0 2 4 171
Long memory continuous time models 0 1 5 214 3 7 14 400
Long memory in continuous‐time stochastic volatility models 0 2 7 92 4 11 31 281
Maximization by parts in extremum estimation 0 0 0 3 0 0 1 32
Noncausality in Continuous Time Models 0 0 0 20 1 3 4 66
Nonparametric Instrumental Regression 0 0 0 91 3 7 10 334
OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL1 0 0 6 198 1 3 19 387
On the efficient use of the informational content of estimating equations: Implied probabilities and Euclidean empirical likelihood 0 0 1 90 2 3 7 242
Proper Conditioning for Coherent VaR in Portfolio Management 0 0 1 15 1 2 3 81
REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS 0 0 2 8 0 2 7 64
Short Run and Long Run Causality in Time Series: Theory 0 0 0 0 2 3 7 1,173
Short run and long run causality in time series: inference 0 0 0 210 1 1 4 634
Shrinkage of Variance for Minimum Distance Based Tests 0 0 0 2 0 0 1 37
Simulated residuals 0 0 0 141 2 4 6 264
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 4 4 5 356
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 3 3 7 299
Testing for Common Conditionally Heteroskedastic Factors 1 1 1 45 3 3 5 211
Testing for Common Roots 0 0 0 31 0 0 0 202
Testing for spurious causality in exchange rates 0 0 0 69 0 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 1 1 1 41
The JFEC Invited Lecture at the 2009 SoFiE Conference 0 0 0 13 0 0 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 2 2 153
Total Journal Articles 1 6 54 4,985 49 110 294 15,683

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 8 655 4 7 22 1,755
Total Chapters 2 4 8 655 4 7 22 1,755

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Statistics updated 2025-12-06