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 0 697 1 3 9 3,332
Aggregations and Marginalization of GARCH and Stochastic Volatility Models 0 0 1 199 0 0 8 573
Aggregations and Marginalization of Garch and Stochastic Volatility Models 0 0 0 0 0 0 3 445
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 2 588 1 2 10 2,569
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 2 169 0 0 7 766
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 0 1 2 2 6 385
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 0 9 1 2 8 392
Calibrarion By Simulation for Small Sample Bias Correction 0 0 0 0 0 5 10 846
Causalites a court et a long terme dans les modeles VAR et ARIMA multivaries 0 0 0 0 1 1 5 395
Causalites a court et a long terme dans les modeles VAR et ARIMA multivaries 0 0 0 0 1 1 6 233
Conditionally Heteroskedastic Factor Models: Identification and Instrumental Variables Estimation 0 1 5 225 0 6 23 704
Conditionaly Heteroskedastic Factor Models: Identificationand Instrumental variables Estmation 0 0 0 60 0 0 6 250
Consistent m-estimators in a semi-parametric model 0 1 2 14 0 1 10 176
Continuously updated extremum estimators 0 0 0 2 1 6 14 263
Disentangling Risk Aversion and Intertemporal Substitution Through a Reference Level 1 1 1 189 1 5 10 921
Econometric Models of Option Pricing Errors 0 0 0 1 0 2 12 1,697
Efficient Derivative Pricing By The Extended Method of Moments 0 0 0 42 0 6 12 116
Efficient Derivative Pricing by Extended Method of Moments 0 0 1 15 0 1 6 68
Efficient Derivative Pricing by Extended Method of Moments 0 0 0 6 0 1 7 55
Efficient Derivative Pricing by Extended Method of Moments 0 0 1 180 1 3 12 443
Efficient Inference with Poor Instruments: a General Framework 0 0 2 64 0 0 7 176
Efficient Minimum Distance Estimation with Multiple Rates of Convergence 0 0 0 49 2 2 11 228
Efficient Two-Step Estimation via Targeting 0 0 0 35 0 0 4 46
Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables 0 0 0 8 1 4 10 245
Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note: Nouvelle version Février 2002) 0 0 0 440 0 1 4 2,255
Empirical Assessment of an Intertemporal Option Pricing Model with Latent variables 0 0 0 83 1 1 4 342
Empirical Assessment of an Intertemporal option Pricing Model with Latent variables 0 0 0 1 1 1 4 236
Estimation of stable distributions by indirect inference 0 0 0 74 1 1 6 247
Estimation of stable distributions with indirect inference 0 0 0 5 0 0 5 40
GARCH and Irregularly Spaced Data 0 0 0 1 0 0 1 19
Implications of Asymmetry Risk for Portfolio Analysis and Asset Pricing 0 0 0 87 0 0 9 216
Indirect Inference 0 0 0 4 0 0 13 672
Indirect Inference With(Out) Constraints 0 0 1 33 0 0 6 35
Indirect Inference with Endogenously Missing Exogenous Variables 0 0 1 32 0 0 6 43
Iterative and Recursive Estimation in Structural Non-Adaptive Models 0 0 3 102 2 2 9 468
Latent Variable Models for Stochastic Discount 0 0 0 3 0 0 4 229
Latent Variable Models for Stochastic Discount Factors 0 1 5 127 1 5 22 509
Latent Variable Models for Stochastic Discount Factors 0 0 2 527 0 0 8 2,704
Latest developments in heavy-tailed distributions 0 0 0 0 0 0 2 44
Letent Variable Models for Stochastic Discount Factors 0 0 0 0 0 0 10 247
Long Memory in Continuous Time Stochastic Volatility Models 0 0 0 2 2 5 21 1,270
Non Parametric Instrumental Regression 0 0 0 185 0 1 11 476
Nonparametric Instrumental Regression 0 0 0 195 2 3 4 504
Nonparametric Instrumental Regression 0 0 1 25 0 0 6 289
Nonparametric Instrumental Regression 0 0 0 0 1 1 13 54
Nonparametric Methods and Option Pricing 0 0 1 669 0 0 5 2,411
Nonparametric methods and option pricing 0 0 0 4 0 0 3 636
On Portfolio Separation Theorems with Heterogeneous Beliefs and Attitudes towards Risk 0 0 2 149 0 2 6 662
On the Efficient Use of the Informational Content of Estimating Equations: Implied Probabilities and Euclidean Empirical Likelihood 1 1 1 117 1 3 9 417
On the relevance of weaker instruments 0 0 2 107 0 1 15 234
Option Hedging and Implicit Volatilities 0 0 0 0 1 2 7 500
Option Hedging and Implicit Volatilities in a Stochastic Volatility Model 0 0 0 0 0 0 10 227
Option Hedging and Implicit Volatilities. Non Causality in Continuous Time Varma Models 0 0 0 0 0 0 3 271
Quadratic M-Estimators for ARCH-Type Processes 0 0 0 208 0 2 9 932
Quadratic M-Estimators for ARCH-Type Processes 0 0 0 38 2 2 7 246
Recursive Utility, Precautionary Saving and the Demand for Insurance 0 0 0 269 0 0 5 814
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 0 0 1 1 3 493
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 1 12 1 1 11 75
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 0 110 1 1 7 539
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 1 847 1 2 6 4,508
Risque de modèle de volatilité 0 0 1 664 1 4 13 2,429
Semi-Parametric Indirect Inference 0 0 1 6 0 1 10 38
Semi-parametric indirect inference 0 0 0 4 0 0 6 40
Short Run and Long Run Causality in Time Series: Inference 0 0 1 201 2 3 13 640
Short Run and Long Run Causality in Time Series: Inference 0 0 0 526 0 0 10 1,617
Short run and long run causality in time series: Inference 0 0 0 234 1 1 8 612
Short-Run and Long-Rub Causality in Time Series: Theory 0 0 0 0 0 5 16 347
Short-Run and Long-Rub Causality in Time Series: Theory 0 0 3 65 0 1 16 215
Simulated residuals 0 1 3 6 1 2 6 260
State Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle 0 0 0 110 0 0 3 322
Statistical Inference for Random Variance Option Pricing 0 0 0 21 0 0 1 54
Statistical Inference for Random Variance Option Pricing 0 0 0 1 0 1 4 674
Stochastic Volatility 0 0 0 8 7 19 129 3,325
Stochastic Volatility 0 0 2 35 1 2 18 219
Stochastic Volatility 0 0 0 3 1 3 26 1,608
Stochastic Volatility 0 1 13 2,065 2 6 45 4,713
Stochastic Volatility 3 7 27 445 6 10 62 1,547
Stochatic Volatility Models with Transaction Time Risk 0 0 0 0 0 1 9 19
Temporal Aggregation and Tests of Arbitrage Pricing Theory 0 0 0 0 0 0 3 233
Temporal Aggregation of Volatility Models 0 0 1 427 0 1 11 1,318
Testing Identification Strength 0 0 0 142 4 5 23 434
Testing for Common GARCH Factors 0 0 0 13 0 0 5 51
Testing for Common GARCH Factors 0 0 0 17 0 0 5 50
Testing for Spurious Causality in Exchange Rates 0 0 0 0 0 0 9 70
Testing unknown linear restrictions on parameter functions 0 0 0 3 0 0 3 281
The Econometrics of Option Pricing 0 0 1 1,252 0 3 20 3,082
The Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order Moments 0 0 0 190 0 0 8 750
True Versus Spurious Instantaneous Causality 0 0 0 3 1 1 13 416
Two stages generalized moment method with applications to regressions with heteroscedasticity of unkwnown form 0 0 0 3 0 0 5 275
Total Working Papers 5 14 91 13,453 59 160 990 64,827

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 2 56
Affine fractional stochastic volatility models 0 0 0 26 1 2 16 91
Aggregation of preferences for skewed asset returns 0 1 3 32 0 2 9 86
Causality and separability 0 0 4 10 0 0 6 33
Causality effects in return volatility measures with random times 1 1 1 38 1 3 11 145
Diffusion Processes with Polynomial Eigenfunctions 0 0 2 5 0 1 7 22
Disentangling risk aversion and intertemporal substitution through a reference level 0 1 1 47 0 2 6 165
Dynamic factor models 0 0 0 64 0 1 5 176
Econometric methods for derivative securities and risk management 0 1 1 83 0 1 3 206
Editorial Announcement 0 0 0 11 0 0 3 44
Efficient Derivative Pricing by the Extended Method of Moments 0 0 0 0 0 4 14 221
Efficient GMM with nearly-weak instruments 0 0 0 58 0 0 4 224
Efficient minimum distance estimation with multiple rates of convergence 0 0 0 23 1 3 10 116
Empirical assessment of an intertemporal option pricing model with latent variables 0 1 1 85 0 2 12 277
Estimating scale economies in financial intermediation: a doubly indirect inference 0 0 1 7 0 1 5 34
Estimation of objective and risk-neutral distributions based on moments of integrated volatility 0 0 1 51 1 2 7 203
Estimation of stable distributions by indirect inference 0 0 1 83 0 1 8 246
Factor Stochastic Volatility in Mean Models: A GMM Approach 0 0 0 36 0 0 4 115
GARCH and irregularly spaced data 0 0 0 42 0 1 3 122
Generalised residuals 4 10 27 876 6 15 51 1,522
Indirect Inference 1 4 14 1,538 6 15 68 3,875
Indirect inference and calibration of dynamic stochastic general equilibrium models 0 2 9 142 1 4 18 330
Iterative and Recursive Estimation in Structural Nonadaptive Models 0 0 0 0 3 3 10 237
Iterative and Recursive Estimation in Structural Nonadaptive Models: Rejoinder 0 0 0 0 2 6 16 132
Kullback Causality Measures 0 2 6 11 1 3 13 27
Les techniques quantitatives de la gestion de portefeuille 0 0 1 27 0 2 6 158
Long memory continuous time models 0 3 13 164 2 9 25 305
Long memory in continuous‐time stochastic volatility models 0 0 2 52 1 3 15 143
Maximization by parts in extremum estimation 0 0 0 2 0 0 3 25
Noncausality in Continuous Time Models 0 0 0 16 0 0 4 51
Nonparametric Instrumental Regression 0 0 2 82 1 6 19 291
OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL1 1 2 7 146 1 4 16 277
On the efficient use of the informational content of estimating equations: Implied probabilities and Euclidean empirical likelihood 0 0 0 86 1 1 4 226
Proper Conditioning for Coherent VaR in Portfolio Management 0 0 0 13 0 1 9 71
REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS 0 0 0 5 0 2 6 49
Short Run and Long Run Causality in Time Series: Theory 0 0 0 0 2 8 24 1,127
Short run and long run causality in time series: inference 1 2 4 191 2 4 20 570
Shrinkage of Variance for Minimum Distance Based Tests 0 0 0 2 0 2 4 30
Simulated residuals 0 1 1 141 0 1 4 250
State Dependence Can Explain the Risk Aversion Puzzle 0 1 1 33 1 3 12 102
Statistical Inference for Random-Variance Option Pricing 0 0 0 0 0 1 3 326
Symposium on Marshall's Tendencies: 4 Comments on Marshall's Tendencies 0 0 0 5 0 0 6 26
TESTING FOR EMBEDDABILITY BY STATIONARY REVERSIBLE CONTINUOUS-TIME MARKOV PROCESSES 0 0 0 11 0 0 1 54
Temporal aggregation of volatility models 0 1 3 68 1 2 16 258
Testing for Common Conditionally Heteroskedastic Factors 1 2 5 41 3 10 25 193
Testing for Common Roots 0 0 0 28 0 4 7 191
Testing for spurious causality in exchange rates 0 0 0 66 0 0 7 280
Tests sur le noyau, l'image et le rang de la matrice des coefficients d'un modéle linéaire multivarié 0 0 0 2 3 7 16 23
The JFEC Invited Lecture at the 2009 SoFiE Conference 0 0 0 13 0 0 1 65
The dynamic mixed hitting-time model for multiple transaction prices and times 0 0 0 10 0 0 2 54
Viewpoint: Option prices, preferences, and state variables 0 0 0 29 1 1 2 150
Total Journal Articles 9 35 111 4,516 42 144 568 14,000

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 18 588 2 7 44 1,578
Total Chapters 2 4 18 588 2 7 44 1,578

logo

LogEc Home

Top Working Papers
Top Journal Articles
Top Books
Top Chapters
Top Software Items

Top Authors

Top Working Paper series and Journals

About LogEc

Authors with papers registered in the RePEc Author Service.

Register yourself as an author or register more papers in the RePEc Author Service.

Authors with no registered papers

RePEc
LogEc provides access and usage for services based on the RePEc data set.

Örebro UniversityLogEc is hosted by the Örebro University School of Business.

Questions or comments? Please see our explanation of how the statistics are collected or e-mail

Statistics updated 2021-01-03