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 0 1 3,344
Aggregations and Marginalization of GARCH and Stochastic Volatility Models 0 0 1 206 0 0 1 600
Aggregations and Marginalization of Garch and Stochastic Volatility Models 0 0 0 0 0 0 1 448
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 0 1 0 0 1 391
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 0 589 0 0 1 2,588
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 0 170 0 0 0 772
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 0 10 0 0 0 397
Calibrarion By Simulation for Small Sample Bias Correction 0 0 0 0 2 2 3 879
Causalites a court et a long terme dans les modeles VAR et ARIMA multivaries 0 0 0 0 0 0 2 400
Causalites a court et a long terme dans les modeles VAR et ARIMA multivaries 0 0 0 0 0 0 0 236
Conditionally Heteroskedastic Factor Models: Identification and Instrumental Variables Estimation 0 0 2 232 1 2 8 738
Conditionaly Heteroskedastic Factor Models: Identificationand Instrumental variables Estmation 0 0 0 60 0 0 1 255
Consistent m-estimators in a semi-parametric model 0 0 5 24 0 0 8 191
Continuously updated extremum estimators 0 0 0 2 0 0 0 270
Disentangling Risk Aversion and Intertemporal Substitution Through a Reference Level 0 0 0 189 0 0 0 940
Econometric Models of Option Pricing Errors 0 0 0 1 2 5 15 1,727
Efficient Derivative Pricing By The Extended Method of Moments 0 0 0 42 0 1 4 133
Efficient Derivative Pricing by Extended Method of Moments 0 0 0 17 0 0 0 85
Efficient Derivative Pricing by Extended Method of Moments 0 0 0 6 0 0 0 67
Efficient Derivative Pricing by Extended Method of Moments 0 1 1 182 1 2 6 477
Efficient Inference with Poor Instruments: a General Framework 0 0 1 68 1 1 3 190
Efficient Minimum Distance Estimation with Multiple Rates of Convergence 0 0 0 49 0 0 0 238
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 4 26 291
Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note: Nouvelle version Février 2002) 0 0 0 441 0 0 1 2,271
Empirical Assessment of an Intertemporal Option Pricing Model with Latent variables 0 0 0 83 0 0 1 349
Empirical Assessment of an Intertemporal option Pricing Model with Latent variables 0 0 0 1 0 0 2 242
Estimation of stable distributions by indirect inference 0 0 0 74 0 0 0 253
Estimation of stable distributions with indirect inference 0 0 0 5 0 0 0 47
GARCH and Irregularly Spaced Data 0 0 0 1 0 0 0 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 1 5 690
Indirect Inference With(Out) Constraints 0 0 0 33 0 0 0 38
Indirect Inference with Endogenously Missing Exogenous Variables 0 0 2 35 0 0 2 57
Iterative and Recursive Estimation in Structural Non-Adaptive Models 0 0 0 103 1 2 2 499
Latent Variable Models for Stochastic Discount 0 0 0 3 0 0 0 230
Latent Variable Models for Stochastic Discount Factors 0 0 0 528 0 0 0 2,719
Latent Variable Models for Stochastic Discount Factors 0 0 0 128 0 0 1 524
Latest developments in heavy-tailed distributions 0 0 0 0 0 0 1 49
Letent Variable Models for Stochastic Discount Factors 0 0 0 0 0 1 1 251
Long Memory in Continuous Time Stochastic Volatility Models 0 0 0 2 0 1 2 1,281
Non Parametric Instrumental Regression 0 0 1 189 1 1 7 499
Nonparametric Instrumental Regression 1 1 3 32 2 2 5 301
Nonparametric Instrumental Regression 0 0 2 201 2 4 14 528
Nonparametric Instrumental Regression 0 0 0 0 0 1 6 67
Nonparametric Methods and Option Pricing 0 1 3 675 0 1 7 2,429
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 1 152 0 0 3 669
On the Efficient Use of the Informational Content of Estimating Equations: Implied Probabilities and Euclidean Empirical Likelihood 0 0 1 123 0 0 1 448
On the relevance of weaker instruments 0 0 2 115 0 0 6 257
Option Hedging and Implicit Volatilities 0 0 0 0 0 0 1 506
Option Hedging and Implicit Volatilities in a Stochastic Volatility Model 0 0 0 0 1 2 5 234
Option Hedging and Implicit Volatilities. Non Causality in Continuous Time Varma Models 0 0 0 0 0 0 2 274
Quadratic M-Estimators for ARCH-Type Processes 0 0 1 209 0 0 1 944
Quadratic M-Estimators for ARCH-Type Processes 0 0 0 38 0 0 0 254
Recursive Utility, Precautionary Saving and the Demand for Insurance 0 0 0 269 0 1 2 820
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 0 0 0 0 1 496
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 0 12 0 0 1 83
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 0 847 0 0 1 4,522
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 0 110 0 1 1 544
Risque de modèle de volatilité 0 0 0 665 0 0 1 2,442
Semi-Parametric Indirect Inference 0 0 0 6 0 0 1 50
Semi-parametric indirect inference 0 0 0 4 0 0 0 42
Short Run and Long Run Causality in Time Series: Inference 0 0 0 530 0 0 1 1,637
Short Run and Long Run Causality in Time Series: Inference 0 0 3 205 0 0 5 651
Short run and long run causality in time series: Inference 0 0 0 236 0 0 0 618
Short-Run and Long-Rub Causality in Time Series: Theory 0 0 0 0 0 0 0 355
Short-Run and Long-Rub Causality in Time Series: Theory 0 0 1 69 0 1 5 232
Simulated residuals 0 0 0 7 0 0 0 267
State Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle 0 0 0 111 0 0 0 328
Statistical Inference for Random Variance Option Pricing 0 1 1 22 0 1 3 60
Statistical Inference for Random Variance Option Pricing 0 0 0 1 0 0 0 676
Stochastic Volatility 0 0 5 464 0 3 17 1,612
Stochastic Volatility 0 0 1 36 0 0 3 234
Stochastic Volatility 0 0 0 3 0 0 6 1,627
Stochastic Volatility 0 0 0 8 2 8 47 3,466
Stochastic Volatility 0 0 2 2,079 1 3 13 4,778
Stochatic Volatility Models with Transaction Time Risk 0 0 0 0 0 0 0 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 0 1,335
Testing Identification Strength 0 0 0 142 0 0 0 442
Testing for Common GARCH Factors 0 0 0 14 0 0 0 56
Testing for Common GARCH Factors 0 0 0 17 0 0 0 65
Testing for Spurious Causality in Exchange Rates 0 0 0 0 1 1 1 73
Testing unknown linear restrictions on parameter functions 0 0 0 4 0 0 0 282
The Econometrics of Option Pricing 0 1 1 1,257 1 2 7 3,126
The Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order Moments 1 1 1 191 1 1 3 760
True Versus Spurious Instantaneous Causality 0 0 0 3 0 3 6 427
Two stages generalized moment method with applications to regressions with heteroscedasticity of unkwnown form 0 0 0 4 0 0 1 277
Total Working Papers 2 6 41 13,601 20 58 283 66,152

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 63
Affine fractional stochastic volatility models 0 0 2 39 0 1 7 134
Aggregation of preferences for skewed asset returns 0 1 1 34 0 1 1 93
Causality and separability 0 0 0 12 0 1 4 41
Causality effects in return volatility measures with random times 0 0 0 40 0 0 0 151
Diffusion Processes with Polynomial Eigenfunctions 0 0 1 12 0 0 1 32
Disentangling risk aversion and intertemporal substitution through a reference level 0 0 2 51 0 2 7 190
Dynamic factor models 0 0 1 67 0 0 1 182
Econometric methods for derivative securities and risk management 0 0 0 84 0 0 1 213
Editorial Announcement 0 0 0 11 0 0 0 47
Efficient Derivative Pricing by the Extended Method of Moments 0 0 0 0 0 0 1 237
Efficient GMM with nearly-weak instruments 0 0 0 58 0 0 1 228
Efficient minimum distance estimation with multiple rates of convergence 0 0 0 26 0 0 2 129
Empirical assessment of an intertemporal option pricing model with latent variables 0 0 1 89 0 0 4 292
Estimating scale economies in financial intermediation: a doubly indirect inference 0 0 0 7 0 0 1 38
Estimation of objective and risk-neutral distributions based on moments of integrated volatility 0 0 0 51 0 0 4 214
Estimation of stable distributions by indirect inference 0 0 1 86 0 0 1 254
Factor Stochastic Volatility in Mean Models: A GMM Approach 0 0 3 41 0 0 3 124
GARCH and irregularly spaced data 0 0 0 43 0 0 0 126
Generalised residuals 4 10 24 945 4 10 34 1,629
Indirect Inference 2 2 8 1,570 3 8 40 4,028
Indirect inference and calibration of dynamic stochastic general equilibrium models 1 1 9 162 2 2 16 375
Iterative and Recursive Estimation in Structural Nonadaptive Models 0 0 0 0 1 8 27 278
Iterative and Recursive Estimation in Structural Nonadaptive Models: Rejoinder 0 0 0 0 1 2 3 158
Kullback Causality Measures 1 1 1 20 1 1 4 49
Les techniques quantitatives de la gestion de portefeuille 0 1 1 28 0 2 3 167
Long memory continuous time models 0 2 7 204 1 4 12 375
Long memory in continuous‐time stochastic volatility models 0 1 3 56 3 6 27 188
Maximization by parts in extremum estimation 0 0 0 3 0 0 1 31
Noncausality in Continuous Time Models 0 0 1 20 0 0 2 61
Nonparametric Instrumental Regression 0 1 5 88 0 2 11 314
OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL1 1 3 16 176 3 5 25 340
On the efficient use of the informational content of estimating equations: Implied probabilities and Euclidean empirical likelihood 0 0 0 89 0 0 0 233
REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS 0 0 0 6 0 0 0 55
Short Run and Long Run Causality in Time Series: Theory 0 0 0 0 0 1 7 1,158
Short run and long run causality in time series: inference 0 1 4 206 1 3 11 614
Shrinkage of Variance for Minimum Distance Based Tests 0 0 0 2 0 1 2 34
Simulated residuals 0 0 0 141 0 0 0 257
State Dependence Can Explain the Risk Aversion Puzzle 0 0 0 35 0 0 1 109
Statistical Inference for Random-Variance Option Pricing 0 0 0 0 0 0 10 348
Symposium on Marshall's Tendencies: 4 Comments on Marshall's Tendencies 0 0 0 5 0 0 0 28
TESTING FOR EMBEDDABILITY BY STATIONARY REVERSIBLE CONTINUOUS-TIME MARKOV PROCESSES 0 0 0 11 0 0 0 55
Temporal aggregation of volatility models 0 1 3 76 0 1 6 287
Testing for Common Conditionally Heteroskedastic Factors 0 0 0 43 0 0 1 203
Testing for Common Roots 0 2 2 31 0 2 2 201
Testing for spurious causality in exchange rates 0 0 1 69 1 2 4 294
Tests sur le noyau, l'image et le rang de la matrice des coefficients d'un modéle linéaire multivarié 0 0 2 4 0 0 2 39
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 0 0 12 0 0 1 60
Viewpoint: Option prices, preferences, and state variables 0 0 0 29 0 0 0 150
Total Journal Articles 9 27 99 4,810 21 65 292 14,972
1 registered items for which data could not be found

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 6 19 624 7 15 52 1,685
Total Chapters 3 6 19 624 7 15 52 1,685

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Statistics updated 2023-09-06