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 13 3,359
Aggregations and Marginalization of GARCH and Stochastic Volatility Models 0 0 3 210 0 0 14 618
Aggregations and Marginalization of Garch and Stochastic Volatility Models 0 0 0 0 0 1 13 463
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 0 171 0 1 13 790
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 0 1 0 1 6 401
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 0 10 0 2 15 413
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 1 590 0 2 12 2,606
Calibrarion By Simulation for Small Sample Bias Correction 0 0 0 0 0 0 13 901
Causalites a court et a long terme dans les modeles VAR et ARIMA multivaries 0 0 0 0 0 0 3 405
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 12 760
Conditionaly Heteroskedastic Factor Models: Identificationand Instrumental variables Estmation 0 0 0 60 0 1 7 262
Consistent m-estimators in a semi-parametric model 0 0 2 28 0 0 23 225
Continuously updated extremum estimators 0 0 0 2 0 1 8 279
Disentangling Risk Aversion and Intertemporal Substitution Through a Reference Level 0 0 0 189 0 0 7 951
Econometric Models of Option Pricing Errors 0 0 0 1 0 1 7 1,761
Efficient Derivative Pricing By The Extended Method of Moments 0 0 0 42 0 1 8 143
Efficient Derivative Pricing by Extended Method of Moments 0 0 0 18 0 0 4 92
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 0 183 0 6 17 498
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 1 10 252
Efficient Two-Step Estimation via Targeting 0 0 0 37 0 2 10 72
Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables 0 0 0 8 0 1 8 299
Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note: Nouvelle version Février 2002) 0 0 0 442 0 1 9 2,283
Empirical Assessment of an Intertemporal Option Pricing Model with Latent variables 0 0 0 84 1 2 13 367
Empirical Assessment of an Intertemporal option Pricing Model with Latent variables 0 0 0 1 0 1 11 255
Estimation of stable distributions by indirect inference 0 0 1 75 0 0 13 268
Estimation of stable distributions with indirect inference 0 0 0 5 0 1 12 62
GARCH and Irregularly Spaced Data 0 0 0 1 0 2 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 1 6 210 907
Indirect Inference With(Out) Constraints 0 0 0 33 0 1 7 46
Indirect Inference with Endogenously Missing Exogenous Variables 0 0 0 36 1 1 11 76
Iterative and Recursive Estimation in Structural Non-Adaptive Models 0 0 0 104 1 2 12 518
Latent Variable Models for Stochastic Discount 0 0 0 3 0 1 18 248
Latent Variable Models for Stochastic Discount Factors 0 0 0 528 0 1 7 2,729
Latent Variable Models for Stochastic Discount Factors 0 0 0 128 0 2 6 531
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 1 2 7 259
Long Memory in Continuous Time Stochastic Volatility Models 0 0 0 2 0 5 27 1,315
Non Parametric Instrumental Regression 0 0 0 193 1 1 13 519
Nonparametric Instrumental Regression 0 0 0 0 1 3 17 86
Nonparametric Instrumental Regression 0 0 1 210 1 2 20 564
Nonparametric Instrumental Regression 0 0 0 33 1 2 14 320
Nonparametric Methods and Option Pricing 0 0 1 677 0 1 9 2,446
Nonparametric methods and option pricing 0 0 0 7 0 0 5 653
On Portfolio Separation Theorems with Heterogeneous Beliefs and Attitudes towards Risk 0 0 3 156 2 7 35 711
On the Efficient Use of the Informational Content of Estimating Equations: Implied Probabilities and Euclidean Empirical Likelihood 0 0 0 128 1 2 14 470
On the relevance of weaker instruments 0 0 0 119 0 2 12 285
Option Hedging and Implicit Volatilities 0 0 0 0 0 0 4 513
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 1 5 285
Quadratic M-Estimators for ARCH-Type Processes 0 0 0 209 0 1 12 960
Quadratic M-Estimators for ARCH-Type Processes 0 0 0 38 0 0 9 264
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 6 552
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 0 848 0 1 8 4,536
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 0 0 0 0 5 503
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 0 13 0 0 9 94
Risque de modèle de volatilité 0 0 0 665 1 2 15 2,463
Semi-Parametric Indirect Inference 0 1 1 8 0 1 18 74
Semi-parametric indirect inference 0 0 0 4 0 0 8 52
Short Run and Long Run Causality in Time Series: Inference 0 0 0 205 0 0 7 661
Short Run and Long Run Causality in Time Series: Inference 0 0 0 531 0 2 8 1,652
Short run and long run causality in time series: Inference 0 0 0 236 0 0 9 631
Short-Run and Long-Rub Causality in Time Series: Theory 0 0 0 70 0 3 12 248
Short-Run and Long-Rub Causality in Time Series: Theory 0 0 0 0 1 2 12 375
Simulated residuals 0 0 0 7 2 2 7 274
State Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle 0 0 0 111 0 2 17 348
Statistical Inference for Random Variance Option Pricing 0 0 0 1 0 1 5 682
Statistical Inference for Random Variance Option Pricing 0 0 0 23 0 0 8 72
Stochastic Volatility 0 0 5 2,093 0 3 48 4,852
Stochastic Volatility 0 0 0 8 0 4 39 3,562
Stochastic Volatility 0 0 0 37 1 3 28 271
Stochastic Volatility 0 0 0 3 0 2 31 1,673
Stochastic Volatility 0 0 3 478 0 3 39 1,676
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 0 0 7 241
Temporal Aggregation of Volatility Models 0 0 0 428 0 0 8 1,348
Testing Identification Strength 0 0 0 142 0 0 11 460
Testing for Common GARCH Factors 0 0 0 14 1 2 11 67
Testing for Common GARCH Factors 0 0 0 18 0 0 8 76
Testing for Spurious Causality in Exchange Rates 0 0 0 0 0 0 3 80
Testing unknown linear restrictions on parameter functions 0 0 0 4 0 1 8 291
The Econometrics of Option Pricing 0 1 1 1,259 0 1 12 3,145
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 14 778
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 0 2 22 13,694 18 109 1,260 67,912

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 1 15 159
Aggregation of preferences for skewed asset returns 0 0 0 36 0 2 15 111
Causality and separability 0 0 0 12 1 1 7 50
Causality effects in return volatility measures with random times 0 0 0 41 1 1 14 171
Diffusion Processes with Polynomial Eigenfunctions 0 1 2 15 2 4 16 49
Disentangling risk aversion and intertemporal substitution through a reference level 0 0 0 54 1 1 13 212
Dynamic factor models 0 0 0 67 0 0 9 195
Econometric methods for derivative securities and risk management 0 0 0 84 0 0 9 223
Editorial Announcement 0 0 0 11 0 0 8 56
Efficient Derivative Pricing by the Extended Method of Moments 0 0 0 0 0 1 10 249
Efficient GMM with nearly-weak instruments 0 0 0 58 1 1 4 238
Efficient minimum distance estimation with multiple rates of convergence 0 1 1 28 1 3 13 146
Empirical assessment of an intertemporal option pricing model with latent variables 0 0 0 89 0 0 8 307
Estimating scale economies in financial intermediation: a doubly indirect inference 0 0 0 7 0 0 4 46
Estimation of objective and risk-neutral distributions based on moments of integrated volatility 0 0 0 51 0 0 3 222
Estimation of stable distributions by indirect inference 0 0 0 87 0 0 11 269
Factor Stochastic Volatility in Mean Models: A GMM Approach 0 0 0 47 0 1 10 145
GARCH and irregularly spaced data 0 0 0 43 0 1 7 137
Generalised residuals 1 1 4 978 2 2 18 1,699
Indirect Inference 0 2 5 1,592 7 12 71 4,197
Indirect inference and calibration of dynamic stochastic general equilibrium models 0 0 0 167 2 3 9 394
Iterative and Recursive Estimation in Structural Nonadaptive Models 0 0 0 0 0 3 12 297
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 9 65
Les techniques quantitatives de la gestion de portefeuille 0 0 1 29 0 0 9 178
Long memory continuous time models 0 0 3 216 1 2 19 412
Long memory in continuous‐time stochastic volatility models 0 1 6 96 4 6 62 331
Maximization by parts in extremum estimation 0 0 0 3 0 2 10 42
Noncausality in Continuous Time Models 0 0 0 20 0 0 8 70
Nonparametric Instrumental Regression 0 0 0 91 1 2 21 347
OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL1 0 1 4 202 1 4 20 403
On the efficient use of the informational content of estimating equations: Implied probabilities and Euclidean empirical likelihood 0 0 0 90 1 1 9 248
Proper Conditioning for Coherent VaR in Portfolio Management 0 0 0 15 1 1 13 92
REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS 0 0 0 8 0 1 12 74
Short Run and Long Run Causality in Time Series: Theory 0 0 0 0 0 1 8 1,178
Short run and long run causality in time series: inference 0 0 0 210 0 1 18 651
Shrinkage of Variance for Minimum Distance Based Tests 0 0 0 2 0 0 9 46
Simulated residuals 0 0 0 141 1 3 15 275
State Dependence Can Explain the Risk Aversion Puzzle 0 0 0 37 1 1 11 126
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 1 1 3 34
TESTING FOR EMBEDDABILITY BY STATIONARY REVERSIBLE CONTINUOUS-TIME MARKOV PROCESSES 0 0 1 12 0 1 4 61
Temporal aggregation of volatility models 0 0 1 78 2 3 31 327
Testing for Common Conditionally Heteroskedastic Factors 0 0 1 45 0 0 9 217
Testing for Common Roots 1 1 1 32 1 2 6 208
Testing for spurious causality in exchange rates 0 0 0 69 0 0 9 305
Tests sur le noyau, l'image et le rang de la matrice des coefficients d'un modéle linéaire multivarié 0 0 0 5 2 2 9 49
The JFEC Invited Lecture at the 2009 SoFiE Conference 0 0 0 13 0 0 2 70
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 1 1 8 159
Total Journal Articles 2 8 34 5,011 37 74 651 16,208

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 1 5 656 1 4 25 1,772
Total Chapters 0 1 5 656 1 4 25 1,772

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Statistics updated 2026-08-07