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 0 698 0 0 0 3,343
Aggregations and Marginalization of GARCH and Stochastic Volatility Models 1 1 1 206 1 1 10 600
Aggregations and Marginalization of Garch and Stochastic Volatility Models 0 0 0 0 0 0 2 447
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 0 10 0 0 1 397
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 0 170 0 0 1 772
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 0 589 0 0 2 2,587
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 0 1 0 0 2 390
Calibrarion By Simulation for Small Sample Bias Correction 0 0 0 0 0 0 13 876
Causalites a court et a long terme dans les modeles VAR et ARIMA multivaries 0 0 0 0 0 0 2 236
Causalites a court et a long terme dans les modeles VAR et ARIMA multivaries 0 0 0 0 0 0 2 398
Conditionally Heteroskedastic Factor Models: Identification and Instrumental Variables Estimation 0 1 2 230 1 2 8 731
Conditionaly Heteroskedastic Factor Models: Identificationand Instrumental variables Estmation 0 0 0 60 0 0 1 254
Consistent m-estimators in a semi-parametric model 1 3 4 20 1 4 6 185
Continuously updated extremum estimators 0 0 0 2 0 0 3 270
Disentangling Risk Aversion and Intertemporal Substitution Through a Reference Level 0 0 0 189 0 0 2 940
Econometric Models of Option Pricing Errors 0 0 0 1 1 3 7 1,713
Efficient Derivative Pricing By The Extended Method of Moments 0 0 0 42 0 0 4 129
Efficient Derivative Pricing by Extended Method of Moments 0 0 0 6 0 0 2 67
Efficient Derivative Pricing by Extended Method of Moments 0 0 1 17 0 0 5 85
Efficient Derivative Pricing by Extended Method of Moments 0 0 0 181 1 1 12 472
Efficient Inference with Poor Instruments: a General Framework 0 0 1 67 0 0 4 187
Efficient Minimum Distance Estimation with Multiple Rates of Convergence 0 0 0 49 0 2 5 238
Efficient Two-Step Estimation via Targeting 0 0 0 35 0 0 0 55
Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables 0 0 0 8 0 6 13 271
Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note: Nouvelle version Février 2002) 0 0 0 441 0 0 3 2,270
Empirical Assessment of an Intertemporal Option Pricing Model with Latent variables 0 0 0 83 0 0 1 348
Empirical Assessment of an Intertemporal option Pricing Model with Latent variables 0 0 0 1 0 0 1 240
Estimation of stable distributions by indirect inference 0 0 0 74 0 0 2 253
Estimation of stable distributions with indirect inference 0 0 0 5 0 0 2 47
GARCH and Irregularly Spaced Data 0 0 0 1 0 0 1 23
Implications of Asymmetry Risk for Portfolio Analysis and Asset Pricing 0 0 0 88 0 0 0 221
Indirect Inference 0 0 0 4 0 0 6 685
Indirect Inference With(Out) Constraints 0 0 0 33 0 0 2 38
Indirect Inference with Endogenously Missing Exogenous Variables 1 1 1 34 1 1 1 56
Iterative and Recursive Estimation in Structural Non-Adaptive Models 0 0 0 103 0 0 6 497
Latent Variable Models for Stochastic Discount 0 0 0 3 0 0 0 230
Latent Variable Models for Stochastic Discount Factors 0 0 1 128 0 0 5 523
Latent Variable Models for Stochastic Discount Factors 0 1 1 528 0 1 3 2,719
Latest developments in heavy-tailed distributions 0 0 0 0 0 0 2 48
Letent Variable Models for Stochastic Discount Factors 0 0 0 0 0 0 2 250
Long Memory in Continuous Time Stochastic Volatility Models 0 0 0 2 0 1 2 1,279
Non Parametric Instrumental Regression 0 0 3 188 0 4 10 494
Nonparametric Instrumental Regression 0 0 2 29 0 1 3 296
Nonparametric Instrumental Regression 0 0 0 0 0 2 5 62
Nonparametric Instrumental Regression 0 0 2 199 1 2 5 515
Nonparametric Methods and Option Pricing 0 0 0 672 1 1 1 2,423
Nonparametric methods and option pricing 0 0 0 6 0 0 0 645
On Portfolio Separation Theorems with Heterogeneous Beliefs and Attitudes towards Risk 0 0 0 151 0 0 0 666
On the Efficient Use of the Informational Content of Estimating Equations: Implied Probabilities and Euclidean Empirical Likelihood 0 1 1 122 0 2 7 447
On the relevance of weaker instruments 0 0 4 113 2 2 10 253
Option Hedging and Implicit Volatilities 0 0 0 0 0 0 1 505
Option Hedging and Implicit Volatilities in a Stochastic Volatility Model 0 0 0 0 1 1 2 230
Option Hedging and Implicit Volatilities. Non Causality in Continuous Time Varma Models 0 0 0 0 0 1 1 273
Quadratic M-Estimators for ARCH-Type Processes 0 0 0 208 0 0 1 943
Quadratic M-Estimators for ARCH-Type Processes 0 0 0 38 0 0 3 254
Recursive Utility, Precautionary Saving and the Demand for Insurance 0 0 0 269 0 0 0 818
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 0 0 0 1 2 496
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 0 110 0 0 2 543
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 0 847 0 1 5 4,522
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 0 12 0 2 5 83
Risque de modèle de volatilité 0 0 0 665 0 0 0 2,441
Semi-Parametric Indirect Inference 0 0 0 6 0 0 3 49
Semi-parametric indirect inference 0 0 0 4 0 0 0 42
Short Run and Long Run Causality in Time Series: Inference 0 0 1 530 1 3 6 1,637
Short Run and Long Run Causality in Time Series: Inference 1 1 1 203 2 2 2 648
Short run and long run causality in time series: Inference 0 1 1 236 0 1 2 618
Short-Run and Long-Rub Causality in Time Series: Theory 0 0 0 0 0 1 1 355
Short-Run and Long-Rub Causality in Time Series: Theory 1 1 2 69 2 3 6 229
Simulated residuals 0 0 1 7 0 0 3 267
State Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle 0 0 0 111 0 0 3 328
Statistical Inference for Random Variance Option Pricing 0 0 0 21 0 0 2 57
Statistical Inference for Random Variance Option Pricing 0 0 0 1 0 0 2 676
Stochastic Volatility 0 0 0 3 1 3 7 1,623
Stochastic Volatility 0 0 0 8 8 22 55 3,432
Stochastic Volatility 1 5 11 460 3 10 22 1,600
Stochastic Volatility 0 0 0 35 0 2 6 231
Stochastic Volatility 1 2 5 2,078 3 6 16 4,768
Stochatic Volatility Models with Transaction Time Risk 0 0 0 0 0 0 2 24
Temporal Aggregation and Tests of Arbitrage Pricing Theory 0 0 0 0 0 0 0 234
Temporal Aggregation of Volatility Models 0 0 0 427 0 0 4 1,335
Testing Identification Strength 0 0 0 142 0 0 2 442
Testing for Common GARCH Factors 0 0 0 17 0 0 1 65
Testing for Common GARCH Factors 0 0 0 14 0 0 3 56
Testing for Spurious Causality in Exchange Rates 0 0 0 0 0 0 0 72
Testing unknown linear restrictions on parameter functions 0 0 0 4 0 0 0 282
The Econometrics of Option Pricing 0 0 2 1,256 1 5 17 3,123
The Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order Moments 0 0 0 190 1 1 1 758
True Versus Spurious Instantaneous Causality 0 0 0 3 0 0 0 421
Two stages generalized moment method with applications to regressions with heteroscedasticity of unkwnown form 0 0 1 4 0 0 1 276
Total Working Papers 7 18 49 13,567 33 101 376 65,927


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 1 62
Affine fractional stochastic volatility models 0 1 7 38 0 1 16 128
Aggregation of preferences for skewed asset returns 0 0 0 33 0 0 1 92
Causality and separability 0 0 1 12 0 0 1 37
Causality effects in return volatility measures with random times 0 0 0 40 0 0 0 151
Diffusion Processes with Polynomial Eigenfunctions 0 0 4 11 0 0 4 31
Disentangling risk aversion and intertemporal substitution through a reference level 1 3 3 51 1 6 15 186
Dynamic factor models 0 1 1 66 0 1 2 181
Econometric methods for derivative securities and risk management 0 0 1 84 1 1 5 213
Editorial Announcement 0 0 0 11 0 0 1 47
Efficient Derivative Pricing by the Extended Method of Moments 0 0 0 0 0 0 2 236
Efficient GMM with nearly-weak instruments 0 0 0 58 0 0 0 227
Efficient minimum distance estimation with multiple rates of convergence 0 0 1 26 0 0 6 127
Empirical assessment of an intertemporal option pricing model with latent variables 0 1 2 88 1 2 4 289
Estimating scale economies in financial intermediation: a doubly indirect inference 0 0 0 7 1 1 1 38
Estimation of objective and risk-neutral distributions based on moments of integrated volatility 0 0 0 51 0 0 1 210
Estimation of stable distributions by indirect inference 0 0 2 85 0 0 3 253
Factor Stochastic Volatility in Mean Models: A GMM Approach 1 1 3 39 1 1 6 122
GARCH and irregularly spaced data 0 0 0 43 0 0 1 126
Generalised residuals 2 4 26 925 3 5 36 1,600
Indirect Inference 1 3 17 1,564 2 11 52 3,993
Indirect inference and calibration of dynamic stochastic general equilibrium models 1 4 8 157 2 5 15 364
Iterative and Recursive Estimation in Structural Nonadaptive Models 0 0 0 0 0 1 7 252
Iterative and Recursive Estimation in Structural Nonadaptive Models: Rejoinder 0 0 0 0 0 0 2 155
Kullback Causality Measures 0 0 4 19 0 0 6 45
Les techniques quantitatives de la gestion de portefeuille 0 0 0 27 0 0 4 164
Long memory continuous time models 2 4 11 199 2 6 25 366
Long memory in continuous‐time stochastic volatility models 0 0 1 53 0 3 12 162
Maximization by parts in extremum estimation 0 0 1 3 0 0 4 30
Noncausality in Continuous Time Models 0 0 1 19 0 0 3 59
Nonparametric Instrumental Regression 0 0 0 83 0 3 9 305
OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL1 1 1 11 161 4 6 24 319
On the efficient use of the informational content of estimating equations: Implied probabilities and Euclidean empirical likelihood 0 0 1 89 0 0 2 233
Proper Conditioning for Coherent VaR in Portfolio Management 0 0 0 13 0 0 3 76
REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS 0 0 0 6 0 1 1 55
Short Run and Long Run Causality in Time Series: Theory 0 0 0 0 2 2 12 1,153
Short run and long run causality in time series: inference 0 1 5 202 0 4 18 604
Shrinkage of Variance for Minimum Distance Based Tests 0 0 0 2 0 0 1 32
Simulated residuals 0 0 0 141 0 0 2 257
State Dependence Can Explain the Risk Aversion Puzzle 0 0 1 35 0 0 4 108
Statistical Inference for Random-Variance Option Pricing 0 0 0 0 0 2 9 338
Symposium on Marshall's Tendencies: 4 Comments on Marshall's Tendencies 0 0 0 5 0 0 1 28
TESTING FOR EMBEDDABILITY BY STATIONARY REVERSIBLE CONTINUOUS-TIME MARKOV PROCESSES 0 0 0 11 0 0 1 55
Temporal aggregation of volatility models 0 1 4 74 0 1 12 282
Testing for Common Conditionally Heteroskedastic Factors 0 0 0 43 0 0 4 202
Testing for Common Roots 0 0 1 29 0 0 4 199
Testing for spurious causality in exchange rates 0 1 2 69 1 2 5 292
Tests sur le noyau, l'image et le rang de la matrice des coefficients d'un modéle linéaire multivarié 0 0 0 2 0 0 5 37
The JFEC Invited Lecture at the 2009 SoFiE Conference 0 0 0 13 0 0 0 66
The dynamic mixed hitting-time model for multiple transaction prices and times 0 1 2 12 1 2 3 60
Viewpoint: Option prices, preferences, and state variables 0 0 0 29 0 0 0 150
Total Journal Articles 9 27 121 4,743 22 67 356 14,797


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 3 5 14 608 6 14 37 1,641
Total Chapters 3 5 14 608 6 14 37 1,641


Statistics updated 2022-11-05