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 1 14 3,360
Aggregations and Marginalization of GARCH and Stochastic Volatility Models 0 1 2 211 0 1 13 619
Aggregations and Marginalization of Garch and Stochastic Volatility Models 0 0 0 0 0 1 13 464
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 1 590 0 2 14 2,608
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 0 1 1 3 9 404
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 0 171 0 1 14 791
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 0 10 1 1 15 414
Calibrarion By Simulation for Small Sample Bias Correction 0 0 0 0 0 0 12 901
Causalites a court et a long terme dans les modeles VAR et ARIMA multivaries 0 0 0 0 1 1 4 406
Causalites a court et a long terme dans les modeles VAR et ARIMA multivaries 0 0 0 0 0 0 5 243
Conditionally Heteroskedastic Factor Models: Identification and Instrumental Variables Estimation 0 0 0 235 0 1 13 761
Conditionaly Heteroskedastic Factor Models: Identificationand Instrumental variables Estmation 0 0 0 60 0 1 8 263
Consistent m-estimators in a semi-parametric model 0 0 1 28 1 1 23 226
Continuously updated extremum estimators 0 0 0 2 0 1 9 280
Disentangling Risk Aversion and Intertemporal Substitution Through a Reference Level 0 0 0 189 1 1 7 952
Econometric Models of Option Pricing Errors 0 0 0 1 0 0 7 1,761
Efficient Derivative Pricing By The Extended Method of Moments 0 0 0 42 0 1 9 144
Efficient Derivative Pricing by Extended Method of Moments 0 0 0 183 2 4 21 502
Efficient Derivative Pricing by Extended Method of Moments 0 0 0 6 0 0 9 76
Efficient Derivative Pricing by Extended Method of Moments 0 0 0 18 0 1 5 93
Efficient Inference with Poor Instruments: a General Framework 0 0 0 69 0 0 9 204
Efficient Minimum Distance Estimation with Multiple Rates of Convergence 0 0 0 49 0 0 10 252
Efficient Two-Step Estimation via Targeting 0 0 0 37 0 0 10 72
Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables 1 1 1 9 2 4 12 303
Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note: Nouvelle version Février 2002) 0 0 0 442 0 0 9 2,283
Empirical Assessment of an Intertemporal Option Pricing Model with Latent variables 0 0 0 84 1 2 14 368
Empirical Assessment of an Intertemporal option Pricing Model with Latent variables 0 0 0 1 0 0 11 255
Estimation of stable distributions by indirect inference 0 0 1 75 0 4 17 272
Estimation of stable distributions with indirect inference 0 0 0 5 0 0 12 62
GARCH and Irregularly Spaced Data 0 0 0 1 0 0 8 34
Implications of Asymmetry Risk for Portfolio Analysis and Asset Pricing 0 0 0 88 0 0 12 234
Indirect Inference 0 0 0 4 3 6 214 912
Indirect Inference With(Out) Constraints 0 0 0 33 1 2 9 48
Indirect Inference with Endogenously Missing Exogenous Variables 0 0 0 36 0 2 12 77
Iterative and Recursive Estimation in Structural Non-Adaptive Models 0 0 0 104 0 1 11 518
Latent Variable Models for Stochastic Discount 0 0 0 3 0 0 18 248
Latent Variable Models for Stochastic Discount Factors 0 0 0 528 1 1 8 2,730
Latent Variable Models for Stochastic Discount Factors 0 0 0 128 0 0 5 531
Latest developments in heavy-tailed distributions 0 0 0 0 0 0 5 55
Letent Variable Models for Stochastic Discount Factors 0 0 0 0 0 1 7 259
Long Memory in Continuous Time Stochastic Volatility Models 0 0 0 2 0 2 28 1,317
Non Parametric Instrumental Regression 0 0 0 193 0 1 13 519
Nonparametric Instrumental Regression 0 0 0 33 0 3 16 322
Nonparametric Instrumental Regression 0 0 0 210 0 1 18 564
Nonparametric Instrumental Regression 0 0 0 0 1 3 19 88
Nonparametric Methods and Option Pricing 0 0 0 677 0 2 9 2,448
Nonparametric methods and option pricing 0 0 0 7 0 1 6 654
On Portfolio Separation Theorems with Heterogeneous Beliefs and Attitudes towards Risk 0 0 3 156 0 4 37 713
On the Efficient Use of the Informational Content of Estimating Equations: Implied Probabilities and Euclidean Empirical Likelihood 0 0 0 128 1 2 13 471
On the relevance of weaker instruments 0 0 0 119 0 1 13 286
Option Hedging and Implicit Volatilities 0 0 0 0 1 1 5 514
Option Hedging and Implicit Volatilities in a Stochastic Volatility Model 0 0 0 0 0 0 3 242
Option Hedging and Implicit Volatilities. Non Causality in Continuous Time Varma Models 0 0 0 0 0 0 5 285
Quadratic M-Estimators for ARCH-Type Processes 0 0 0 38 0 0 9 264
Quadratic M-Estimators for ARCH-Type Processes 0 0 0 209 0 0 11 960
Recursive Utility, Precautionary Saving and the Demand for Insurance 0 0 0 269 0 0 5 831
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 0 110 0 1 7 553
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 0 13 0 1 10 95
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 0 848 0 1 9 4,537
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 0 0 0 2 7 505
Risque de modèle de volatilité 0 0 0 665 0 1 15 2,463
Semi-Parametric Indirect Inference 0 0 1 8 0 0 18 74
Semi-parametric indirect inference 0 0 0 4 0 2 10 54
Short Run and Long Run Causality in Time Series: Inference 0 0 0 205 1 2 9 663
Short Run and Long Run Causality in Time Series: Inference 0 0 0 531 3 3 10 1,655
Short run and long run causality in time series: Inference 0 0 0 236 0 1 10 632
Short-Run and Long-Rub Causality in Time Series: Theory 0 0 0 70 1 2 14 250
Short-Run and Long-Rub Causality in Time Series: Theory 0 0 0 0 0 1 12 375
Simulated residuals 0 0 0 7 0 2 7 274
State Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle 0 0 0 111 0 0 16 348
Statistical Inference for Random Variance Option Pricing 0 0 0 1 1 1 6 683
Statistical Inference for Random Variance Option Pricing 0 0 0 23 0 1 9 73
Stochastic Volatility 0 0 4 2,093 0 2 47 4,854
Stochastic Volatility 0 0 0 3 0 0 30 1,673
Stochastic Volatility 0 0 2 478 1 2 39 1,678
Stochastic Volatility 0 0 0 37 0 2 28 272
Stochastic Volatility 0 0 0 8 0 0 38 3,562
Stochatic Volatility Models with Transaction Time Risk 0 0 0 0 0 0 15 42
Temporal Aggregation and Tests of Arbitrage Pricing Theory 0 0 0 0 1 1 7 242
Temporal Aggregation of Volatility Models 0 1 1 429 1 3 11 1,351
Testing Identification Strength 0 0 0 142 0 1 11 461
Testing for Common GARCH Factors 0 0 0 14 0 1 11 67
Testing for Common GARCH Factors 0 0 0 18 1 1 9 77
Testing for Spurious Causality in Exchange Rates 0 0 0 0 1 1 4 81
Testing unknown linear restrictions on parameter functions 0 0 0 4 0 0 8 291
The Econometrics of Option Pricing 0 0 1 1,259 1 1 11 3,146
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 13 778
True Versus Spurious Instantaneous Causality 0 0 0 3 0 0 7 438
Two stages generalized moment method with applications to regressions with heteroscedasticity of unkwnown form 0 0 0 4 0 0 6 286
Total Working Papers 1 3 18 13,697 30 102 1,311 67,996

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 10 73
Affine fractional stochastic volatility models 0 0 3 45 0 3 18 162
Aggregation of preferences for skewed asset returns 0 0 0 36 1 1 15 112
Causality and separability 0 0 0 12 0 1 6 50
Causality effects in return volatility measures with random times 0 0 0 41 0 3 16 173
Diffusion Processes with Polynomial Eigenfunctions 0 0 2 15 0 3 16 50
Disentangling risk aversion and intertemporal substitution through a reference level 0 0 0 54 0 2 14 213
Dynamic factor models 0 0 0 67 0 0 9 195
Econometric methods for derivative securities and risk management 0 0 0 84 1 1 10 224
Editorial Announcement 0 0 0 11 0 0 8 56
Efficient Derivative Pricing by the Extended Method of Moments 0 0 0 0 0 0 10 249
Efficient GMM with nearly-weak instruments 0 0 0 58 0 2 5 239
Efficient minimum distance estimation with multiple rates of convergence 0 0 1 28 0 1 13 146
Empirical assessment of an intertemporal option pricing model with latent variables 0 0 0 89 0 0 6 307
Estimating scale economies in financial intermediation: a doubly indirect inference 1 1 1 8 1 1 5 47
Estimation of objective and risk-neutral distributions based on moments of integrated volatility 0 0 0 51 0 0 2 222
Estimation of stable distributions by indirect inference 0 0 0 87 0 1 12 270
Factor Stochastic Volatility in Mean Models: A GMM Approach 0 0 0 47 0 0 10 145
GARCH and irregularly spaced data 1 1 1 44 1 1 8 138
Generalised residuals 1 2 3 979 2 5 18 1,702
Indirect Inference 1 5 10 1,597 4 21 81 4,211
Indirect inference and calibration of dynamic stochastic general equilibrium models 0 0 0 167 3 6 12 398
Iterative and Recursive Estimation in Structural Nonadaptive Models 0 0 0 0 1 1 13 298
Iterative and Recursive Estimation in Structural Nonadaptive Models: Rejoinder 0 0 0 0 0 0 8 167
Kullback Causality Measures 0 0 0 23 1 2 10 66
Les techniques quantitatives de la gestion de portefeuille 0 0 1 29 0 0 9 178
Long memory continuous time models 0 0 2 216 0 1 15 412
Long memory in continuous‐time stochastic volatility models 1 2 7 98 1 6 62 333
Maximization by parts in extremum estimation 0 0 0 3 0 1 11 43
Noncausality in Continuous Time Models 0 0 0 20 0 0 7 70
Nonparametric Instrumental Regression 0 0 0 91 1 2 21 348
OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL1 0 0 4 202 1 2 20 404
On the efficient use of the informational content of estimating equations: Implied probabilities and Euclidean empirical likelihood 0 0 0 90 1 2 10 249
Proper Conditioning for Coherent VaR in Portfolio Management 0 0 0 15 1 2 13 93
REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS 0 0 0 8 0 0 12 74
Short Run and Long Run Causality in Time Series: Theory 0 0 0 0 1 2 10 1,180
Short run and long run causality in time series: inference 0 0 0 210 2 2 20 653
Shrinkage of Variance for Minimum Distance Based Tests 0 0 0 2 0 0 9 46
Simulated residuals 0 0 0 141 1 2 16 276
State Dependence Can Explain the Risk Aversion Puzzle 0 0 0 37 2 3 13 128
Statistical Inference for Random-Variance Option Pricing 0 0 0 0 0 0 9 361
Symposium on Marshall's Tendencies: 4 Comments on Marshall's Tendencies 0 0 0 5 0 1 3 34
TESTING FOR EMBEDDABILITY BY STATIONARY REVERSIBLE CONTINUOUS-TIME MARKOV PROCESSES 0 0 1 12 0 0 4 61
Temporal aggregation of volatility models 0 0 1 78 1 3 32 328
Testing for Common Conditionally Heteroskedastic Factors 0 0 1 45 0 0 9 217
Testing for Common Roots 0 1 1 32 0 1 6 208
Testing for spurious causality in exchange rates 0 0 0 69 1 1 10 306
Tests sur le noyau, l'image et le rang de la matrice des coefficients d'un modéle linéaire multivarié 0 0 0 5 0 4 11 51
The JFEC Invited Lecture at the 2009 SoFiE Conference 0 0 0 13 1 1 2 71
The dynamic mixed hitting-time model for multiple transaction prices and times 0 0 1 13 0 0 4 67
Viewpoint: Option prices, preferences, and state variables 0 0 0 29 0 2 9 160
Total Journal Articles 5 12 40 5,021 29 93 682 16,264

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 1 2 5 658 4 8 29 1,779
Total Chapters 1 2 5 658 4 8 29 1,779

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Statistics updated 2026-10-11