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 2 12 3,358
Aggregations and Marginalization of GARCH and Stochastic Volatility Models 0 1 3 210 0 2 14 618
Aggregations and Marginalization of Garch and Stochastic Volatility Models 0 0 0 0 0 5 13 462
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 0 171 0 2 12 789
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 0 10 2 6 15 413
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 1 590 2 6 12 2,606
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 0 1 0 0 5 400
Calibrarion By Simulation for Small Sample Bias Correction 0 0 0 0 0 3 14 901
Causalites a court et a long terme dans les modeles VAR et ARIMA multivaries 0 0 0 0 0 1 5 243
Causalites a court et a long terme dans les modeles VAR et ARIMA multivaries 0 0 0 0 0 1 3 405
Conditionally Heteroskedastic Factor Models: Identification and Instrumental Variables Estimation 0 0 0 235 0 5 12 759
Conditionaly Heteroskedastic Factor Models: Identificationand Instrumental variables Estmation 0 0 0 60 1 4 7 262
Consistent m-estimators in a semi-parametric model 0 0 2 28 0 8 24 225
Continuously updated extremum estimators 0 0 0 2 1 1 8 279
Disentangling Risk Aversion and Intertemporal Substitution Through a Reference Level 0 0 0 189 0 2 8 951
Econometric Models of Option Pricing Errors 0 0 0 1 1 3 7 1,761
Efficient Derivative Pricing By The Extended Method of Moments 0 0 0 42 1 1 9 143
Efficient Derivative Pricing by Extended Method of Moments 0 0 0 183 3 6 14 495
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 2 9 76
Efficient Inference with Poor Instruments: a General Framework 0 0 0 69 0 3 10 204
Efficient Minimum Distance Estimation with Multiple Rates of Convergence 0 0 0 49 0 2 9 251
Efficient Two-Step Estimation via Targeting 0 0 0 37 2 3 11 72
Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables 0 0 0 8 1 3 8 299
Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note: Nouvelle version Février 2002) 0 0 0 442 0 1 8 2,282
Empirical Assessment of an Intertemporal Option Pricing Model with Latent variables 0 0 0 84 1 3 12 366
Empirical Assessment of an Intertemporal option Pricing Model with Latent variables 0 0 0 1 0 3 10 254
Estimation of stable distributions by indirect inference 0 0 1 75 0 3 13 268
Estimation of stable distributions with indirect inference 0 0 0 5 1 2 12 62
GARCH and Irregularly Spaced Data 0 0 0 1 2 5 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 4 29 209 905
Indirect Inference With(Out) Constraints 0 0 0 33 1 3 7 46
Indirect Inference with Endogenously Missing Exogenous Variables 0 0 0 36 0 2 12 75
Iterative and Recursive Estimation in Structural Non-Adaptive Models 0 0 0 104 0 5 11 516
Latent Variable Models for Stochastic Discount 0 0 0 3 1 5 18 248
Latent Variable Models for Stochastic Discount Factors 0 0 0 128 2 2 6 531
Latent Variable Models for Stochastic Discount Factors 0 0 0 528 0 3 6 2,728
Latest developments in heavy-tailed distributions 0 0 0 0 0 3 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 2 13 27 1,312
Non Parametric Instrumental Regression 0 0 0 193 0 4 12 518
Nonparametric Instrumental Regression 0 0 0 33 1 3 13 319
Nonparametric Instrumental Regression 0 0 0 0 0 2 14 83
Nonparametric Instrumental Regression 0 0 1 210 0 3 19 562
Nonparametric Methods and Option Pricing 0 0 1 677 1 3 9 2,446
Nonparametric methods and option pricing 0 0 0 7 0 3 5 653
On Portfolio Separation Theorems with Heterogeneous Beliefs and Attitudes towards Risk 0 0 3 156 4 18 33 708
On the Efficient Use of the Informational Content of Estimating Equations: Implied Probabilities and Euclidean Empirical Likelihood 0 0 0 128 1 3 14 469
On the relevance of weaker instruments 0 0 0 119 2 4 12 285
Option Hedging and Implicit Volatilities 0 0 0 0 0 2 5 513
Option Hedging and Implicit Volatilities in a Stochastic Volatility Model 0 0 0 0 0 1 3 242
Option Hedging and Implicit Volatilities. Non Causality in Continuous Time Varma Models 0 0 0 0 0 1 5 284
Quadratic M-Estimators for ARCH-Type Processes 0 0 0 209 1 6 12 960
Quadratic M-Estimators for ARCH-Type Processes 0 0 0 38 0 2 9 264
Recursive Utility, Precautionary Saving and the Demand for Insurance 0 0 0 269 0 3 5 831
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 0 848 0 4 8 4,535
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 0 13 0 1 9 94
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 0 0 0 2 5 503
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 0 110 0 2 5 551
Risque de modèle de volatilité 0 0 0 665 1 7 14 2,462
Semi-Parametric Indirect Inference 1 1 2 8 1 5 19 74
Semi-parametric indirect inference 0 0 0 4 0 2 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 1 2 7 1,651
Short run and long run causality in time series: Inference 0 0 0 236 0 2 9 631
Short-Run and Long-Rub Causality in Time Series: Theory 0 0 0 0 0 4 10 373
Short-Run and Long-Rub Causality in Time Series: Theory 0 0 0 70 2 5 11 247
Simulated residuals 0 0 0 7 0 0 5 272
State Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle 0 0 0 111 2 7 17 348
Statistical Inference for Random Variance Option Pricing 0 0 0 23 0 3 9 72
Statistical Inference for Random Variance Option Pricing 0 0 0 1 1 3 5 682
Stochastic Volatility 0 0 0 8 2 12 40 3,560
Stochastic Volatility 0 0 3 478 2 15 38 1,675
Stochastic Volatility 0 0 0 37 0 9 26 268
Stochastic Volatility 0 1 6 2,093 1 14 49 4,850
Stochastic Volatility 0 0 0 3 1 10 30 1,672
Stochatic Volatility Models with Transaction Time Risk 0 0 0 0 0 2 15 42
Temporal Aggregation and Tests of Arbitrage Pricing Theory 0 0 0 0 0 3 7 241
Temporal Aggregation of Volatility Models 0 0 0 428 0 1 9 1,348
Testing Identification Strength 0 0 0 142 0 4 11 460
Testing for Common GARCH Factors 0 0 0 14 1 5 10 66
Testing for Common GARCH Factors 0 0 0 18 0 2 8 76
Testing for Spurious Causality in Exchange Rates 0 0 0 0 0 1 3 80
Testing unknown linear restrictions on parameter functions 0 0 0 4 0 0 7 290
The Econometrics of Option Pricing 1 1 1 1,259 1 6 14 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 5 17 778
True Versus Spurious Instantaneous Causality 0 0 0 3 0 5 7 438
Two stages generalized moment method with applications to regressions with heteroscedasticity of unkwnown form 0 0 0 4 0 3 6 286
Total Working Papers 2 4 24 13,694 54 357 1,241 67,857

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 4 10 73
Affine fractional stochastic volatility models 0 2 4 45 1 7 17 159
Aggregation of preferences for skewed asset returns 0 0 0 36 0 2 14 109
Causality and separability 0 0 0 12 0 1 6 49
Causality effects in return volatility measures with random times 0 0 0 41 0 5 13 170
Diffusion Processes with Polynomial Eigenfunctions 1 2 2 15 2 7 14 47
Disentangling risk aversion and intertemporal substitution through a reference level 0 0 1 54 0 3 13 211
Dynamic factor models 0 0 0 67 0 1 10 195
Econometric methods for derivative securities and risk management 0 0 0 84 0 5 9 223
Editorial Announcement 0 0 0 11 0 2 8 56
Efficient Derivative Pricing by the Extended Method of Moments 0 0 0 0 0 4 9 248
Efficient GMM with nearly-weak instruments 0 0 0 58 0 1 3 237
Efficient minimum distance estimation with multiple rates of convergence 0 0 1 27 0 3 11 143
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 5 46
Estimation of objective and risk-neutral distributions based on moments of integrated volatility 0 0 0 51 0 1 3 222
Estimation of stable distributions by indirect inference 0 0 0 87 0 5 11 269
Factor Stochastic Volatility in Mean Models: A GMM Approach 0 0 0 47 1 2 10 145
GARCH and irregularly spaced data 0 0 0 43 0 2 6 136
Generalised residuals 0 0 5 977 0 5 19 1,697
Indirect Inference 1 2 4 1,591 2 19 69 4,187
Indirect inference and calibration of dynamic stochastic general equilibrium models 0 0 0 167 1 2 7 392
Iterative and Recursive Estimation in Structural Nonadaptive Models 0 0 0 0 2 2 11 296
Iterative and Recursive Estimation in Structural Nonadaptive Models: Rejoinder 0 0 0 0 0 3 8 167
Kullback Causality Measures 0 0 0 23 0 3 8 63
Les techniques quantitatives de la gestion de portefeuille 0 0 1 29 0 3 9 178
Long memory continuous time models 0 1 4 216 0 2 20 410
Long memory in continuous‐time stochastic volatility models 1 1 8 96 2 13 63 327
Maximization by parts in extremum estimation 0 0 0 3 2 2 10 42
Noncausality in Continuous Time Models 0 0 0 20 0 0 8 70
Nonparametric Instrumental Regression 0 0 0 91 1 6 21 346
OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL1 1 2 4 202 2 6 19 401
On the efficient use of the informational content of estimating equations: Implied probabilities and Euclidean empirical likelihood 0 0 0 90 0 2 9 247
Proper Conditioning for Coherent VaR in Portfolio Management 0 0 0 15 0 5 12 91
REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS 0 0 1 8 0 0 13 73
Short Run and Long Run Causality in Time Series: Theory 0 0 0 0 0 0 8 1,177
Short run and long run causality in time series: inference 0 0 0 210 0 4 18 650
Shrinkage of Variance for Minimum Distance Based Tests 0 0 0 2 0 4 9 46
Simulated residuals 0 0 0 141 2 6 15 274
State Dependence Can Explain the Risk Aversion Puzzle 0 0 0 37 0 3 10 125
Statistical Inference for Random-Variance Option Pricing 0 0 0 0 0 1 10 361
Symposium on Marshall's Tendencies: 4 Comments on Marshall's Tendencies 0 0 0 5 0 1 2 33
TESTING FOR EMBEDDABILITY BY STATIONARY REVERSIBLE CONTINUOUS-TIME MARKOV PROCESSES 0 1 1 12 1 3 4 61
Temporal aggregation of volatility models 0 1 1 78 0 5 29 324
Testing for Common Conditionally Heteroskedastic Factors 0 0 1 45 0 1 9 217
Testing for Common Roots 0 0 0 31 1 5 5 207
Testing for spurious causality in exchange rates 0 0 0 69 0 1 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 0 2 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 0 1 4 67
Viewpoint: Option prices, preferences, and state variables 0 0 0 29 0 2 7 158
Total Journal Articles 4 12 39 5,007 20 167 635 16,154

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 1 1 6 656 2 10 26 1,770
Total Chapters 1 1 6 656 2 10 26 1,770

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Statistics updated 2026-06-04