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 0 3,345
Aggregations and Marginalization of GARCH and Stochastic Volatility Models 0 0 0 207 0 2 3 604
Aggregations and Marginalization of Garch and Stochastic Volatility Models 0 0 0 0 0 1 1 449
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 0 171 1 2 3 777
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 0 1 0 1 2 395
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 0 10 0 0 0 398
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 0 589 5 5 5 2,594
Calibrarion By Simulation for Small Sample Bias Correction 0 0 0 0 0 0 3 885
Causalites a court et a long terme dans les modeles VAR et ARIMA multivaries 0 0 0 0 0 0 1 238
Causalites a court et a long terme dans les modeles VAR et ARIMA multivaries 0 0 0 0 0 0 2 402
Conditionally Heteroskedastic Factor Models: Identification and Instrumental Variables Estimation 0 2 3 235 0 3 4 746
Conditionaly Heteroskedastic Factor Models: Identificationand Instrumental variables Estmation 0 0 0 60 0 0 0 255
Consistent m-estimators in a semi-parametric model 0 1 2 26 0 5 7 200
Continuously updated extremum estimators 0 0 0 2 0 1 1 271
Disentangling Risk Aversion and Intertemporal Substitution Through a Reference Level 0 0 0 189 0 2 2 943
Econometric Models of Option Pricing Errors 0 0 0 1 1 1 18 1,751
Efficient Derivative Pricing By The Extended Method of Moments 0 0 0 42 0 0 0 133
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 0 0 17 0 0 1 87
Efficient Derivative Pricing by Extended Method of Moments 0 0 0 183 0 0 2 480
Efficient Inference with Poor Instruments: a General Framework 0 0 1 69 0 1 3 194
Efficient Minimum Distance Estimation with Multiple Rates of Convergence 0 0 0 49 0 1 2 241
Efficient Two-Step Estimation via Targeting 0 0 1 37 0 0 3 60
Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables 0 0 0 8 0 0 0 291
Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note: Nouvelle version Février 2002) 0 0 0 442 0 1 2 2,274
Empirical Assessment of an Intertemporal Option Pricing Model with Latent variables 0 0 0 84 0 0 0 351
Empirical Assessment of an Intertemporal option Pricing Model with Latent variables 0 0 0 1 0 0 1 244
Estimation of stable distributions by indirect inference 0 0 0 74 0 1 1 255
Estimation of stable distributions with indirect inference 0 0 0 5 0 1 3 50
GARCH and Irregularly Spaced Data 0 0 0 1 0 1 1 26
Implications of Asymmetry Risk for Portfolio Analysis and Asset Pricing 0 0 0 88 0 0 1 222
Indirect Inference 0 0 0 4 0 0 2 694
Indirect Inference With(Out) Constraints 0 0 0 33 0 0 1 39
Indirect Inference with Endogenously Missing Exogenous Variables 0 0 1 36 0 2 4 63
Iterative and Recursive Estimation in Structural Non-Adaptive Models 0 0 0 104 0 2 3 504
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 1 1 2,722
Latent Variable Models for Stochastic Discount Factors 0 0 0 128 0 0 0 525
Latest developments in heavy-tailed distributions 0 0 0 0 0 0 0 50
Letent Variable Models for Stochastic Discount Factors 0 0 0 0 0 0 1 252
Long Memory in Continuous Time Stochastic Volatility Models 0 0 0 2 0 1 3 1,284
Non Parametric Instrumental Regression 0 0 1 193 0 2 4 506
Nonparametric Instrumental Regression 0 0 0 33 0 0 1 304
Nonparametric Instrumental Regression 0 0 5 208 0 0 8 541
Nonparametric Instrumental Regression 0 0 0 0 0 0 0 68
Nonparametric Methods and Option Pricing 0 0 0 676 0 0 5 2,437
Nonparametric methods and option pricing 0 0 1 7 0 1 2 648
On Portfolio Separation Theorems with Heterogeneous Beliefs and Attitudes towards Risk 0 0 1 153 0 1 2 671
On the Efficient Use of the Informational Content of Estimating Equations: Implied Probabilities and Euclidean Empirical Likelihood 0 2 2 126 0 2 2 452
On the relevance of weaker instruments 0 0 2 119 0 3 11 272
Option Hedging and Implicit Volatilities 0 0 0 0 0 1 2 508
Option Hedging and Implicit Volatilities in a Stochastic Volatility Model 0 0 0 0 0 1 4 239
Option Hedging and Implicit Volatilities. Non Causality in Continuous Time Varma Models 0 0 0 0 0 1 4 279
Quadratic M-Estimators for ARCH-Type Processes 0 0 0 209 0 3 4 948
Quadratic M-Estimators for ARCH-Type Processes 0 0 0 38 0 0 1 255
Recursive Utility, Precautionary Saving and the Demand for Insurance 0 0 0 269 0 0 3 826
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 0 847 1 2 3 4,526
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 0 0 0 1 2 498
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 0 110 0 0 2 546
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 1 13 0 0 2 85
Risque de modèle de volatilité 0 0 0 665 0 2 2 2,446
Semi-Parametric Indirect Inference 0 0 0 6 1 1 2 55
Semi-parametric indirect inference 0 0 0 4 0 0 1 44
Short Run and Long Run Causality in Time Series: Inference 0 0 0 531 2 3 4 1,644
Short Run and Long Run Causality in Time Series: Inference 0 0 0 205 0 0 2 654
Short run and long run causality in time series: Inference 0 0 0 236 0 2 3 621
Short-Run and Long-Rub Causality in Time Series: Theory 0 0 0 70 0 0 2 236
Short-Run and Long-Rub Causality in Time Series: Theory 0 0 0 0 0 0 4 363
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 2 2 330
Statistical Inference for Random Variance Option Pricing 0 0 0 1 0 0 0 677
Statistical Inference for Random Variance Option Pricing 0 0 0 23 0 0 0 63
Stochastic Volatility 0 0 1 37 0 1 4 242
Stochastic Volatility 1 1 5 473 1 3 13 1,633
Stochastic Volatility 1 2 4 2,084 4 6 16 4,798
Stochastic Volatility 0 0 0 3 0 1 9 1,642
Stochastic Volatility 0 0 0 8 1 5 30 3,513
Stochatic Volatility Models with Transaction Time Risk 0 0 0 0 0 1 1 27
Temporal Aggregation and Tests of Arbitrage Pricing Theory 0 0 0 0 0 0 0 234
Temporal Aggregation of Volatility Models 0 0 0 428 0 0 3 1,339
Testing Identification Strength 0 0 0 142 0 3 5 448
Testing for Common GARCH Factors 0 0 1 18 0 1 3 68
Testing for Common GARCH Factors 0 0 0 14 0 0 0 56
Testing for Spurious Causality in Exchange Rates 0 0 0 0 2 2 3 76
Testing unknown linear restrictions on parameter functions 0 0 0 4 1 1 1 283
The Econometrics of Option Pricing 0 0 0 1,257 0 0 2 3,129
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 0 761
True Versus Spurious Instantaneous Causality 0 0 0 3 0 1 2 431
Two stages generalized moment method with applications to regressions with heteroscedasticity of unkwnown form 0 0 0 4 0 1 3 280
Total Working Papers 2 8 32 13,659 20 89 266 66,560

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 0 63
Affine fractional stochastic volatility models 0 0 1 40 1 1 5 141
Aggregation of preferences for skewed asset returns 0 0 1 36 0 0 1 95
Causality and separability 0 0 0 12 0 0 1 43
Causality effects in return volatility measures with random times 0 0 0 41 0 1 4 156
Diffusion Processes with Polynomial Eigenfunctions 0 0 0 13 0 0 0 33
Disentangling risk aversion and intertemporal substitution through a reference level 0 1 2 53 0 2 4 197
Dynamic factor models 0 0 0 67 0 0 3 185
Econometric methods for derivative securities and risk management 0 0 0 84 0 0 1 214
Editorial Announcement 0 0 0 11 0 1 1 48
Efficient Derivative Pricing by the Extended Method of Moments 0 0 0 0 0 0 1 239
Efficient GMM with nearly-weak instruments 0 0 0 58 0 2 5 233
Efficient minimum distance estimation with multiple rates of convergence 0 0 0 26 0 1 2 131
Empirical assessment of an intertemporal option pricing model with latent variables 0 0 0 89 0 0 4 298
Estimating scale economies in financial intermediation: a doubly indirect inference 0 0 0 7 0 0 1 40
Estimation of objective and risk-neutral distributions based on moments of integrated volatility 0 0 0 51 0 0 5 219
Estimation of stable distributions by indirect inference 0 0 1 87 0 2 3 258
Factor Stochastic Volatility in Mean Models: A GMM Approach 0 1 3 47 0 2 6 134
GARCH and irregularly spaced data 0 0 0 43 0 0 1 130
Generalised residuals 0 1 12 969 0 3 24 1,673
Indirect Inference 1 4 9 1,584 6 13 48 4,109
Indirect inference and calibration of dynamic stochastic general equilibrium models 0 1 3 166 0 1 6 384
Iterative and Recursive Estimation in Structural Nonadaptive Models 0 0 0 0 0 1 4 285
Iterative and Recursive Estimation in Structural Nonadaptive Models: Rejoinder 0 0 0 0 0 0 0 159
Kullback Causality Measures 0 0 1 21 0 0 1 52
Les techniques quantitatives de la gestion de portefeuille 0 0 0 28 0 1 1 168
Long memory continuous time models 0 1 5 211 0 1 11 389
Long memory in continuous‐time stochastic volatility models 0 2 13 87 2 10 35 261
Maximization by parts in extremum estimation 0 0 0 3 0 0 0 31
Noncausality in Continuous Time Models 0 0 0 20 0 0 0 62
Nonparametric Instrumental Regression 0 0 0 91 0 0 2 324
OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL1 1 3 12 196 2 6 24 377
On the efficient use of the informational content of estimating equations: Implied probabilities and Euclidean empirical likelihood 0 0 0 89 0 2 2 237
Proper Conditioning for Coherent VaR in Portfolio Management 0 0 1 14 0 0 2 78
REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS 0 1 1 7 0 3 4 60
Short Run and Long Run Causality in Time Series: Theory 0 0 0 0 0 0 2 1,166
Short run and long run causality in time series: inference 0 0 2 210 0 2 11 632
Shrinkage of Variance for Minimum Distance Based Tests 0 0 0 2 0 1 2 37
Simulated residuals 0 0 0 141 0 1 1 259
State Dependence Can Explain the Risk Aversion Puzzle 0 0 0 37 2 2 3 115
Statistical Inference for Random-Variance Option Pricing 0 0 0 0 0 0 0 351
Symposium on Marshall's Tendencies: 4 Comments on Marshall's Tendencies 0 0 0 5 0 2 2 31
TESTING FOR EMBEDDABILITY BY STATIONARY REVERSIBLE CONTINUOUS-TIME MARKOV PROCESSES 0 0 0 11 0 2 2 57
Temporal aggregation of volatility models 0 0 0 76 0 2 3 294
Testing for Common Conditionally Heteroskedastic Factors 0 0 0 44 1 2 4 208
Testing for Common Roots 0 0 0 31 0 0 0 202
Testing for spurious causality in exchange rates 0 0 0 69 0 0 2 296
Tests sur le noyau, l'image et le rang de la matrice des coefficients d'un modéle linéaire multivarié 0 0 0 5 0 0 0 40
The JFEC Invited Lecture at the 2009 SoFiE Conference 0 0 0 13 0 1 1 67
The dynamic mixed hitting-time model for multiple transaction prices and times 0 0 0 12 2 2 3 63
Viewpoint: Option prices, preferences, and state variables 0 0 0 29 0 0 1 151
Total Journal Articles 2 15 67 4,951 16 70 249 15,475

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 16 647 0 2 30 1,737
Total Chapters 0 0 16 647 0 2 30 1,737

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Statistics updated 2025-04-04