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 4 5 3,350
Aggregations and Marginalization of GARCH and Stochastic Volatility Models 0 0 2 209 2 5 9 611
Aggregations and Marginalization of Garch and Stochastic Volatility Models 0 0 0 0 2 5 8 456
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 0 171 0 3 5 780
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 0 1 1 3 4 398
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 0 589 0 2 7 2,596
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 0 10 1 5 6 404
Calibrarion By Simulation for Small Sample Bias Correction 0 0 0 0 1 4 8 893
Causalites a court et a long terme dans les modeles VAR et ARIMA multivaries 0 0 0 0 0 0 0 402
Causalites a court et a long terme dans les modeles VAR et ARIMA multivaries 0 0 0 0 0 0 0 238
Conditionally Heteroskedastic Factor Models: Identification and Instrumental Variables Estimation 0 0 2 235 1 4 9 752
Conditionaly Heteroskedastic Factor Models: Identificationand Instrumental variables Estmation 0 0 0 60 1 2 2 257
Consistent m-estimators in a semi-parametric model 1 1 3 28 4 6 14 209
Continuously updated extremum estimators 0 0 0 2 1 2 3 273
Disentangling Risk Aversion and Intertemporal Substitution Through a Reference Level 0 0 0 189 1 1 5 946
Econometric Models of Option Pricing Errors 0 0 0 1 0 2 6 1,756
Efficient Derivative Pricing By The Extended Method of Moments 0 0 0 42 1 4 6 139
Efficient Derivative Pricing by Extended Method of Moments 0 0 1 18 1 2 3 90
Efficient Derivative Pricing by Extended Method of Moments 0 0 0 6 3 4 4 71
Efficient Derivative Pricing by Extended Method of Moments 0 0 0 183 3 4 5 485
Efficient Inference with Poor Instruments: a General Framework 0 0 0 69 2 3 5 198
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 3 5 65
Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables 0 0 0 8 1 1 1 292
Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note: Nouvelle version Février 2002) 0 0 0 442 2 3 4 2,277
Empirical Assessment of an Intertemporal Option Pricing Model with Latent variables 0 0 0 84 3 6 9 360
Empirical Assessment of an Intertemporal option Pricing Model with Latent variables 0 0 0 1 2 4 4 248
Estimation of stable distributions by indirect inference 0 0 0 74 2 3 4 258
Estimation of stable distributions with indirect inference 0 0 0 5 2 7 8 57
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 5 5 227
Indirect Inference 0 0 0 4 50 56 60 754
Indirect Inference With(Out) Constraints 0 0 0 33 0 2 2 41
Indirect Inference with Endogenously Missing Exogenous Variables 0 0 0 36 3 4 8 69
Iterative and Recursive Estimation in Structural Non-Adaptive Models 0 0 0 104 1 1 6 508
Latent Variable Models for Stochastic Discount 0 0 0 3 9 10 10 240
Latent Variable Models for Stochastic Discount Factors 0 0 0 528 1 2 3 2,724
Latent Variable Models for Stochastic Discount Factors 0 0 0 128 1 1 2 527
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 2 5 5 257
Long Memory in Continuous Time Stochastic Volatility Models 0 0 0 2 1 6 12 1,295
Non Parametric Instrumental Regression 0 0 0 193 0 4 6 510
Nonparametric Instrumental Regression 0 0 0 33 0 3 5 309
Nonparametric Instrumental Regression 0 0 0 0 0 4 5 73
Nonparametric Instrumental Regression 0 0 2 210 4 6 11 552
Nonparametric Methods and Option Pricing 0 0 1 677 0 1 3 2,440
Nonparametric methods and option pricing 0 0 0 7 0 1 2 649
On Portfolio Separation Theorems with Heterogeneous Beliefs and Attitudes towards Risk 1 2 2 155 7 9 15 685
On the Efficient Use of the Informational Content of Estimating Equations: Implied Probabilities and Euclidean Empirical Likelihood 0 0 4 128 0 4 12 462
On the relevance of weaker instruments 0 0 0 119 3 5 9 278
Option Hedging and Implicit Volatilities 0 0 0 0 0 0 2 509
Option Hedging and Implicit Volatilities in a Stochastic Volatility Model 0 0 0 0 1 1 2 240
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 4 4 8 953
Quadratic M-Estimators for ARCH-Type Processes 0 0 0 38 1 1 1 256
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 1 848 0 1 5 4,529
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 0 110 0 1 1 547
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 0 13 1 4 4 89
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 0 0 1 1 2 499
Risque de modèle de volatilité 0 0 0 665 4 5 9 2,453
Semi-Parametric Indirect Inference 0 0 1 7 2 6 8 62
Semi-parametric indirect inference 0 0 0 4 2 2 2 46
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 2 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 0 3 4 4 367
Short-Run and Long-Rub Causality in Time Series: Theory 0 0 0 70 0 2 2 238
Simulated residuals 0 0 0 7 0 1 1 268
State Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle 0 0 0 111 5 6 10 338
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 0 0 37 7 11 14 255
Stochastic Volatility 0 0 0 3 6 12 14 1,655
Stochastic Volatility 2 3 10 2,092 8 19 34 4,826
Stochastic Volatility 1 2 6 478 6 8 17 1,647
Stochastic Volatility 0 0 0 8 8 17 33 3,541
Stochatic Volatility Models with Transaction Time Risk 0 0 0 0 1 3 4 30
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 1 2 3 1,342
Testing Identification Strength 0 0 0 142 1 2 7 452
Testing for Common GARCH Factors 0 0 0 18 0 2 3 70
Testing for Common GARCH Factors 0 0 0 14 1 2 2 58
Testing for Spurious Causality in Exchange Rates 0 0 0 0 1 1 4 78
Testing unknown linear restrictions on parameter functions 0 0 0 4 1 5 6 288
The Econometrics of Option Pricing 0 0 1 1,258 0 4 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 2 5 9 770
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 2 3 4 283
Total Working Papers 5 8 36 13,687 192 361 575 67,046

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 0 3 7 147
Aggregation of preferences for skewed asset returns 0 0 0 36 0 2 4 99
Causality and separability 0 0 0 12 1 1 2 45
Causality effects in return volatility measures with random times 0 0 0 41 1 2 4 159
Diffusion Processes with Polynomial Eigenfunctions 0 0 0 13 1 1 2 35
Disentangling risk aversion and intertemporal substitution through a reference level 0 0 2 54 3 5 9 204
Dynamic factor models 0 0 0 67 4 5 6 191
Econometric methods for derivative securities and risk management 0 0 0 84 0 1 1 215
Editorial Announcement 0 0 0 11 4 4 5 52
Efficient Derivative Pricing by the Extended Method of Moments 0 0 0 0 0 2 2 241
Efficient GMM with nearly-weak instruments 0 0 0 58 1 1 4 235
Efficient minimum distance estimation with multiple rates of convergence 0 0 1 27 2 4 7 137
Empirical assessment of an intertemporal option pricing model with latent variables 0 0 0 89 3 3 6 304
Estimating scale economies in financial intermediation: a doubly indirect inference 0 0 0 7 2 2 4 44
Estimation of objective and risk-neutral distributions based on moments of integrated volatility 0 0 0 51 1 1 2 221
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 2 3 6 138
GARCH and irregularly spaced data 0 0 0 43 1 2 2 132
Generalised residuals 0 0 8 976 3 7 21 1,691
Indirect Inference 0 1 8 1,588 7 27 61 4,157
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 1 4 5 289
Iterative and Recursive Estimation in Structural Nonadaptive Models: Rejoinder 0 0 0 0 1 1 1 160
Kullback Causality Measures 0 0 2 23 2 2 6 58
Les techniques quantitatives de la gestion de portefeuille 0 1 1 29 1 3 5 172
Long memory continuous time models 0 0 4 214 3 6 15 403
Long memory in continuous‐time stochastic volatility models 1 2 8 93 5 15 35 286
Maximization by parts in extremum estimation 0 0 0 3 4 4 5 36
Noncausality in Continuous Time Models 0 0 0 20 2 5 6 68
Nonparametric Instrumental Regression 0 0 0 91 2 9 12 336
OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL1 1 1 6 199 3 6 19 390
On the efficient use of the informational content of estimating equations: Implied probabilities and Euclidean empirical likelihood 0 0 1 90 0 3 7 242
Proper Conditioning for Coherent VaR in Portfolio Management 0 0 1 15 1 2 4 82
REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS 0 0 2 8 2 4 9 66
Short Run and Long Run Causality in Time Series: Theory 0 0 0 0 2 5 9 1,175
Short run and long run causality in time series: inference 0 0 0 210 0 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 0 4 6 264
State Dependence Can Explain the Risk Aversion Puzzle 0 0 0 37 2 2 4 117
Statistical Inference for Random-Variance Option Pricing 0 0 0 0 2 6 7 358
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 6 10 302
Testing for Common Conditionally Heteroskedastic Factors 0 1 1 45 3 6 8 214
Testing for Common Roots 0 0 0 31 0 0 0 202
Testing for spurious causality in exchange rates 0 0 0 69 1 3 3 299
Tests sur le noyau, l'image et le rang de la matrice des coefficients d'un modéle linéaire multivarié 0 0 0 5 1 2 2 42
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 0 2 2 153
Total Journal Articles 2 6 51 4,987 77 178 355 15,760

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 8 655 1 6 21 1,756
Total Chapters 0 2 8 655 1 6 21 1,756

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Statistics updated 2026-01-09