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 2 2 13 3,358
Aggregations and Marginalization of GARCH and Stochastic Volatility Models 1 1 3 210 2 2 14 618
Aggregations and Marginalization of Garch and Stochastic Volatility Models 0 0 0 0 4 5 13 462
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 0 171 2 2 12 789
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 0 1 0 1 5 400
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 0 10 4 4 13 411
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 1 1 590 4 5 10 2,604
Calibrarion By Simulation for Small Sample Bias Correction 0 0 0 0 3 5 15 901
Causalites a court et a long terme dans les modeles VAR et ARIMA multivaries 0 0 0 0 1 1 3 405
Causalites a court et a long terme dans les modeles VAR et ARIMA multivaries 0 0 0 0 0 1 5 243
Conditionally Heteroskedastic Factor Models: Identification and Instrumental Variables Estimation 0 0 0 235 4 7 13 759
Conditionaly Heteroskedastic Factor Models: Identificationand Instrumental variables Estmation 0 0 0 60 3 3 6 261
Consistent m-estimators in a semi-parametric model 0 0 2 28 7 9 24 225
Continuously updated extremum estimators 0 0 0 2 0 1 7 278
Disentangling Risk Aversion and Intertemporal Substitution Through a Reference Level 0 0 0 189 2 3 8 951
Econometric Models of Option Pricing Errors 0 0 0 1 1 2 7 1,760
Efficient Derivative Pricing By The Extended Method of Moments 0 0 0 42 0 1 9 142
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 2 4 9 76
Efficient Derivative Pricing by Extended Method of Moments 0 0 0 183 3 4 12 492
Efficient Inference with Poor Instruments: a General Framework 0 0 0 69 2 3 10 204
Efficient Minimum Distance Estimation with Multiple Rates of Convergence 0 0 0 49 1 6 10 251
Efficient Two-Step Estimation via Targeting 0 0 0 37 1 3 10 70
Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables 0 0 0 8 2 3 7 298
Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note: Nouvelle version Février 2002) 0 0 0 442 1 1 8 2,282
Empirical Assessment of an Intertemporal Option Pricing Model with Latent variables 0 0 0 84 1 2 14 365
Empirical Assessment of an Intertemporal option Pricing Model with Latent variables 0 0 0 1 3 3 10 254
Estimation of stable distributions by indirect inference 0 1 1 75 3 7 13 268
Estimation of stable distributions with indirect inference 0 0 0 5 1 1 11 61
GARCH and Irregularly Spaced Data 0 0 0 1 3 3 6 32
Implications of Asymmetry Risk for Portfolio Analysis and Asset Pricing 0 0 0 88 0 5 12 234
Indirect Inference 0 0 0 4 8 61 207 901
Indirect Inference With(Out) Constraints 0 0 0 33 1 2 6 45
Indirect Inference with Endogenously Missing Exogenous Variables 0 0 0 36 2 3 12 75
Iterative and Recursive Estimation in Structural Non-Adaptive Models 0 0 0 104 4 6 12 516
Latent Variable Models for Stochastic Discount 0 0 0 3 4 5 17 247
Latent Variable Models for Stochastic Discount Factors 0 0 0 528 2 3 6 2,728
Latent Variable Models for Stochastic Discount Factors 0 0 0 128 0 1 4 529
Latest developments in heavy-tailed distributions 0 0 0 0 3 4 5 55
Letent Variable Models for Stochastic Discount Factors 0 0 0 0 0 0 5 257
Long Memory in Continuous Time Stochastic Volatility Models 0 0 0 2 10 12 25 1,310
Non Parametric Instrumental Regression 0 0 0 193 2 4 12 518
Nonparametric Instrumental Regression 0 0 0 33 1 4 14 318
Nonparametric Instrumental Regression 0 0 2 210 2 5 21 562
Nonparametric Instrumental Regression 0 0 0 0 2 3 15 83
Nonparametric Methods and Option Pricing 0 0 1 677 2 3 8 2,445
Nonparametric methods and option pricing 0 0 0 7 2 3 5 653
On Portfolio Separation Theorems with Heterogeneous Beliefs and Attitudes towards Risk 0 0 3 156 9 15 31 704
On the Efficient Use of the Informational Content of Estimating Equations: Implied Probabilities and Euclidean Empirical Likelihood 0 0 1 128 2 4 15 468
On the relevance of weaker instruments 0 0 0 119 1 3 10 283
Option Hedging and Implicit Volatilities 0 0 0 0 1 2 5 513
Option Hedging and Implicit Volatilities in a Stochastic Volatility Model 0 0 0 0 1 1 3 242
Option Hedging and Implicit Volatilities. Non Causality in Continuous Time Varma Models 0 0 0 0 1 3 5 284
Quadratic M-Estimators for ARCH-Type Processes 0 0 0 38 1 3 9 264
Quadratic M-Estimators for ARCH-Type Processes 0 0 0 209 4 5 11 959
Recursive Utility, Precautionary Saving and the Demand for Insurance 0 0 0 269 3 3 5 831
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 0 110 1 2 5 551
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 0 13 1 1 9 94
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 0 0 2 2 5 503
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 1 848 3 5 9 4,535
Risque de modèle de volatilité 0 0 0 665 5 7 15 2,461
Semi-Parametric Indirect Inference 0 0 1 7 2 7 18 73
Semi-parametric indirect inference 0 0 0 4 2 2 8 52
Short Run and Long Run Causality in Time Series: Inference 0 0 0 205 0 5 7 661
Short Run and Long Run Causality in Time Series: Inference 0 0 0 531 1 1 6 1,650
Short run and long run causality in time series: Inference 0 0 0 236 2 4 10 631
Short-Run and Long-Rub Causality in Time Series: Theory 0 0 0 70 3 3 9 245
Short-Run and Long-Rub Causality in Time Series: Theory 0 0 0 0 2 5 10 373
Simulated residuals 0 0 0 7 0 2 5 272
State Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle 0 0 0 111 3 6 16 346
Statistical Inference for Random Variance Option Pricing 0 0 0 23 2 5 9 72
Statistical Inference for Random Variance Option Pricing 0 0 0 1 2 2 4 681
Stochastic Volatility 1 1 7 2,093 12 19 49 4,849
Stochastic Volatility 0 0 0 3 8 9 29 1,671
Stochastic Volatility 0 0 3 478 11 13 37 1,673
Stochastic Volatility 0 0 0 37 9 9 26 268
Stochastic Volatility 0 0 0 8 9 11 40 3,558
Stochatic Volatility Models with Transaction Time Risk 0 0 0 0 2 2 15 42
Temporal Aggregation and Tests of Arbitrage Pricing Theory 0 0 0 0 3 3 7 241
Temporal Aggregation of Volatility Models 0 0 0 428 1 2 9 1,348
Testing Identification Strength 0 0 0 142 4 6 11 460
Testing for Common GARCH Factors 0 0 0 14 4 5 9 65
Testing for Common GARCH Factors 0 0 0 18 2 4 8 76
Testing for Spurious Causality in Exchange Rates 0 0 0 0 1 1 4 80
Testing unknown linear restrictions on parameter functions 0 0 0 4 0 1 7 290
The Econometrics of Option Pricing 0 0 1 1,258 3 5 14 3,144
The Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order Moments 0 0 0 191 4 6 17 778
True Versus Spurious Instantaneous Causality 0 0 0 3 3 5 7 438
Two stages generalized moment method with applications to regressions with heteroscedasticity of unkwnown form 0 0 0 4 3 3 6 286
Total Working Papers 2 4 27 13,692 240 420 1,221 67,803

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 4 6 10 73
Affine fractional stochastic volatility models 1 3 5 45 3 8 17 158
Aggregation of preferences for skewed asset returns 0 0 0 36 1 2 14 109
Causality and separability 0 0 0 12 1 1 6 49
Causality effects in return volatility measures with random times 0 0 0 41 3 5 14 170
Diffusion Processes with Polynomial Eigenfunctions 1 1 1 14 5 7 12 45
Disentangling risk aversion and intertemporal substitution through a reference level 0 0 1 54 2 4 14 211
Dynamic factor models 0 0 0 67 1 1 10 195
Econometric methods for derivative securities and risk management 0 0 0 84 4 5 9 223
Editorial Announcement 0 0 0 11 2 2 8 56
Efficient Derivative Pricing by the Extended Method of Moments 0 0 0 0 3 4 9 248
Efficient GMM with nearly-weak instruments 0 0 0 58 1 1 3 237
Efficient minimum distance estimation with multiple rates of convergence 0 0 1 27 1 5 11 143
Empirical assessment of an intertemporal option pricing model with latent variables 0 0 0 89 0 1 9 307
Estimating scale economies in financial intermediation: a doubly indirect inference 0 0 0 7 0 0 6 46
Estimation of objective and risk-neutral distributions based on moments of integrated volatility 0 0 0 51 1 1 3 222
Estimation of stable distributions by indirect inference 0 0 0 87 4 5 11 269
Factor Stochastic Volatility in Mean Models: A GMM Approach 0 0 0 47 1 3 9 144
GARCH and irregularly spaced data 0 0 0 43 2 3 6 136
Generalised residuals 0 0 7 977 4 5 22 1,697
Indirect Inference 0 2 6 1,590 12 22 75 4,185
Indirect inference and calibration of dynamic stochastic general equilibrium models 0 0 0 167 1 3 6 391
Iterative and Recursive Estimation in Structural Nonadaptive Models 0 0 0 0 0 3 9 294
Iterative and Recursive Estimation in Structural Nonadaptive Models: Rejoinder 0 0 0 0 3 5 8 167
Kullback Causality Measures 0 0 1 23 2 3 9 63
Les techniques quantitatives de la gestion de portefeuille 0 0 1 29 2 4 10 178
Long memory continuous time models 1 1 5 216 2 2 21 410
Long memory in continuous‐time stochastic volatility models 0 1 7 95 7 22 61 325
Maximization by parts in extremum estimation 0 0 0 3 0 1 9 40
Noncausality in Continuous Time Models 0 0 0 20 0 2 8 70
Nonparametric Instrumental Regression 0 0 0 91 4 5 21 345
OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL1 0 2 5 201 3 8 22 399
On the efficient use of the informational content of estimating equations: Implied probabilities and Euclidean empirical likelihood 0 0 1 90 1 2 10 247
Proper Conditioning for Coherent VaR in Portfolio Management 0 0 1 15 3 5 13 91
REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS 0 0 1 8 0 2 13 73
Short Run and Long Run Causality in Time Series: Theory 0 0 0 0 0 1 11 1,177
Short run and long run causality in time series: inference 0 0 0 210 4 8 18 650
Shrinkage of Variance for Minimum Distance Based Tests 0 0 0 2 4 6 9 46
Simulated residuals 0 0 0 141 3 6 13 272
State Dependence Can Explain the Risk Aversion Puzzle 0 0 0 37 2 5 10 125
Statistical Inference for Random-Variance Option Pricing 0 0 0 0 1 1 10 361
Symposium on Marshall's Tendencies: 4 Comments on Marshall's Tendencies 0 0 0 5 1 1 2 33
TESTING FOR EMBEDDABILITY BY STATIONARY REVERSIBLE CONTINUOUS-TIME MARKOV PROCESSES 1 1 1 12 1 2 3 60
Temporal aggregation of volatility models 1 1 2 78 3 5 30 324
Testing for Common Conditionally Heteroskedastic Factors 0 0 1 45 1 1 9 217
Testing for Common Roots 0 0 0 31 3 4 4 206
Testing for spurious causality in exchange rates 0 0 0 69 1 2 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 4 7 47
The JFEC Invited Lecture at the 2009 SoFiE Conference 0 0 0 13 0 0 3 70
The dynamic mixed hitting-time model for multiple transaction prices and times 0 0 1 13 1 1 4 67
Viewpoint: Option prices, preferences, and state variables 0 0 0 29 2 3 7 158
Total Journal Articles 5 12 48 5,003 112 208 647 16,134

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 0 7 655 4 9 27 1,768
Total Chapters 0 0 7 655 4 9 27 1,768

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 statistics 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

Since October 2025, abstract view statistics are potentially heavily influenced by traffic from AI bots and tools that we could not eliminate despite our best efforts.

Statistics updated 2026-05-06