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 8 11 3,356
Aggregations and Marginalization of GARCH and Stochastic Volatility Models 0 0 2 209 0 7 12 616
Aggregations and Marginalization of Garch and Stochastic Volatility Models 0 0 0 0 0 3 8 457
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 0 171 0 7 11 787
Asymmetric Smiles, Leverage Effects and Structural Parameters 1 1 1 590 1 4 11 2,600
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 0 1 1 3 5 400
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 0 10 0 4 9 407
Calibrarion By Simulation for Small Sample Bias Correction 0 0 0 0 2 6 13 898
Causalites a court et a long terme dans les modeles VAR et ARIMA multivaries 0 0 0 0 0 2 2 404
Causalites a court et a long terme dans les modeles VAR et ARIMA multivaries 0 0 0 0 0 4 4 242
Conditionally Heteroskedastic Factor Models: Identification and Instrumental Variables Estimation 0 0 0 235 2 3 8 754
Conditionaly Heteroskedastic Factor Models: Identificationand Instrumental variables Estmation 0 0 0 60 0 2 3 258
Consistent m-estimators in a semi-parametric model 0 1 2 28 1 12 17 217
Continuously updated extremum estimators 0 0 0 2 1 6 7 278
Disentangling Risk Aversion and Intertemporal Substitution Through a Reference Level 0 0 0 189 1 4 6 949
Econometric Models of Option Pricing Errors 0 0 0 1 0 2 8 1,758
Efficient Derivative Pricing By The Extended Method of Moments 0 0 0 42 1 4 9 142
Efficient Derivative Pricing by Extended Method of Moments 0 0 0 6 2 6 7 74
Efficient Derivative Pricing by Extended Method of Moments 0 0 0 183 1 7 9 489
Efficient Derivative Pricing by Extended Method of Moments 0 0 1 18 0 3 5 92
Efficient Inference with Poor Instruments: a General Framework 0 0 0 69 0 5 7 201
Efficient Minimum Distance Estimation with Multiple Rates of Convergence 0 0 0 49 4 7 8 249
Efficient Two-Step Estimation via Targeting 0 0 0 37 2 5 9 69
Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables 0 0 0 8 1 5 5 296
Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note: Nouvelle version Février 2002) 0 0 0 442 0 6 7 2,281
Empirical Assessment of an Intertemporal Option Pricing Model with Latent variables 0 0 0 84 0 6 12 363
Empirical Assessment of an Intertemporal option Pricing Model with Latent variables 0 0 0 1 0 5 7 251
Estimation of stable distributions by indirect inference 1 1 1 75 4 9 10 265
Estimation of stable distributions with indirect inference 0 0 0 5 0 5 10 60
GARCH and Irregularly Spaced Data 0 0 0 1 0 2 3 29
Implications of Asymmetry Risk for Portfolio Analysis and Asset Pricing 0 0 0 88 5 8 12 234
Indirect Inference 0 0 0 4 36 172 182 876
Indirect Inference With(Out) Constraints 0 0 0 33 0 2 4 43
Indirect Inference with Endogenously Missing Exogenous Variables 0 0 0 36 1 7 10 73
Iterative and Recursive Estimation in Structural Non-Adaptive Models 0 0 0 104 1 4 7 511
Latent Variable Models for Stochastic Discount 0 0 0 3 1 12 13 243
Latent Variable Models for Stochastic Discount Factors 0 0 0 128 1 3 4 529
Latent Variable Models for Stochastic Discount Factors 0 0 0 528 0 2 3 2,725
Latest developments in heavy-tailed distributions 0 0 0 0 1 2 2 52
Letent Variable Models for Stochastic Discount Factors 0 0 0 0 0 2 5 257
Long Memory in Continuous Time Stochastic Volatility Models 0 0 0 2 1 5 15 1,299
Non Parametric Instrumental Regression 0 0 0 193 0 4 8 514
Nonparametric Instrumental Regression 0 0 2 210 2 11 18 559
Nonparametric Instrumental Regression 0 0 0 0 1 8 13 81
Nonparametric Instrumental Regression 0 0 0 33 2 7 12 316
Nonparametric Methods and Option Pricing 0 0 1 677 1 3 6 2,443
Nonparametric methods and option pricing 0 0 0 7 0 1 2 650
On Portfolio Separation Theorems with Heterogeneous Beliefs and Attitudes towards Risk 0 2 3 156 1 12 19 690
On the Efficient Use of the Informational Content of Estimating Equations: Implied Probabilities and Euclidean Empirical Likelihood 0 0 2 128 2 4 14 466
On the relevance of weaker instruments 0 0 0 119 1 6 9 281
Option Hedging and Implicit Volatilities 0 0 0 0 0 2 3 511
Option Hedging and Implicit Volatilities in a Stochastic Volatility Model 0 0 0 0 0 2 2 241
Option Hedging and Implicit Volatilities. Non Causality in Continuous Time Varma Models 0 0 0 0 2 3 4 283
Quadratic M-Estimators for ARCH-Type Processes 0 0 0 38 1 7 7 262
Quadratic M-Estimators for ARCH-Type Processes 0 0 0 209 0 5 6 954
Recursive Utility, Precautionary Saving and the Demand for Insurance 0 0 0 269 0 1 2 828
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 0 0 0 3 3 501
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 1 848 1 2 6 4,531
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 0 13 0 5 8 93
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 0 110 0 2 3 549
Risque de modèle de volatilité 0 0 0 665 1 6 9 2,455
Semi-Parametric Indirect Inference 0 0 1 7 3 9 15 69
Semi-parametric indirect inference 0 0 0 4 0 6 6 50
Short Run and Long Run Causality in Time Series: Inference 0 0 0 531 0 2 7 1,649
Short Run and Long Run Causality in Time Series: Inference 0 0 0 205 5 7 7 661
Short run and long run causality in time series: Inference 0 0 0 236 2 6 8 629
Short-Run and Long-Rub Causality in Time Series: Theory 0 0 0 70 0 4 6 242
Short-Run and Long-Rub Causality in Time Series: Theory 0 0 0 0 1 5 6 369
Simulated residuals 0 0 0 7 2 4 5 272
State Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle 0 0 0 111 1 8 11 341
Statistical Inference for Random Variance Option Pricing 0 0 0 23 2 5 6 69
Statistical Inference for Random Variance Option Pricing 0 0 0 1 0 2 2 679
Stochastic Volatility 0 1 6 478 0 19 28 1,660
Stochastic Volatility 0 0 0 3 0 13 20 1,662
Stochastic Volatility 0 0 0 37 0 11 17 259
Stochastic Volatility 0 0 0 8 1 15 36 3,548
Stochastic Volatility 0 2 9 2,092 6 18 42 4,836
Stochatic Volatility Models with Transaction Time Risk 0 0 0 0 0 11 13 40
Temporal Aggregation and Tests of Arbitrage Pricing Theory 0 0 0 0 0 3 4 238
Temporal Aggregation of Volatility Models 0 0 0 428 1 6 8 1,347
Testing Identification Strength 0 0 0 142 2 5 8 456
Testing for Common GARCH Factors 0 0 0 14 1 4 5 61
Testing for Common GARCH Factors 0 0 0 18 2 4 6 74
Testing for Spurious Causality in Exchange Rates 0 0 0 0 0 2 5 79
Testing unknown linear restrictions on parameter functions 0 0 0 4 1 3 8 290
The Econometrics of Option Pricing 0 0 1 1,258 0 0 10 3,139
The Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order Moments 0 0 0 191 1 5 12 773
True Versus Spurious Instantaneous Causality 0 0 0 3 0 2 2 433
Two stages generalized moment method with applications to regressions with heteroscedasticity of unkwnown form 0 0 0 4 0 2 3 283
Total Working Papers 2 8 33 13,690 117 646 960 67,500

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 2 5 6 69
Affine fractional stochastic volatility models 1 1 3 43 2 5 12 152
Aggregation of preferences for skewed asset returns 0 0 0 36 0 8 12 107
Causality and separability 0 0 0 12 0 4 5 48
Causality effects in return volatility measures with random times 0 0 0 41 0 7 9 165
Diffusion Processes with Polynomial Eigenfunctions 0 0 0 13 2 6 7 40
Disentangling risk aversion and intertemporal substitution through a reference level 0 0 1 54 1 7 11 208
Dynamic factor models 0 0 0 67 0 7 9 194
Econometric methods for derivative securities and risk management 0 0 0 84 0 3 4 218
Editorial Announcement 0 0 0 11 0 6 6 54
Efficient Derivative Pricing by the Extended Method of Moments 0 0 0 0 0 3 5 244
Efficient GMM with nearly-weak instruments 0 0 0 58 0 2 3 236
Efficient minimum distance estimation with multiple rates of convergence 0 0 1 27 2 5 9 140
Empirical assessment of an intertemporal option pricing model with latent variables 0 0 0 89 1 6 9 307
Estimating scale economies in financial intermediation: a doubly indirect inference 0 0 0 7 0 4 6 46
Estimation of objective and risk-neutral distributions based on moments of integrated volatility 0 0 0 51 0 1 2 221
Estimation of stable distributions by indirect inference 0 0 0 87 0 6 6 264
Factor Stochastic Volatility in Mean Models: A GMM Approach 0 0 0 47 2 7 9 143
GARCH and irregularly spaced data 0 0 0 43 1 3 4 134
Generalised residuals 0 1 8 977 0 4 19 1,692
Indirect Inference 1 1 6 1,589 5 18 65 4,168
Indirect inference and calibration of dynamic stochastic general equilibrium models 0 0 1 167 2 4 6 390
Iterative and Recursive Estimation in Structural Nonadaptive Models 0 0 0 0 3 6 9 294
Iterative and Recursive Estimation in Structural Nonadaptive Models: Rejoinder 0 0 0 0 2 5 5 164
Kullback Causality Measures 0 0 2 23 0 4 8 60
Les techniques quantitatives de la gestion de portefeuille 0 0 1 29 1 4 7 175
Long memory continuous time models 0 1 4 215 0 8 19 408
Long memory in continuous‐time stochastic volatility models 1 3 8 95 11 33 55 314
Maximization by parts in extremum estimation 0 0 0 3 1 8 9 40
Noncausality in Continuous Time Models 0 0 0 20 2 4 8 70
Nonparametric Instrumental Regression 0 0 0 91 0 6 16 340
OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL1 1 2 5 200 4 8 20 395
On the efficient use of the informational content of estimating equations: Implied probabilities and Euclidean empirical likelihood 0 0 1 90 0 3 8 245
Proper Conditioning for Coherent VaR in Portfolio Management 0 0 1 15 0 5 8 86
REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS 0 0 1 8 2 9 13 73
Short Run and Long Run Causality in Time Series: Theory 0 0 0 0 1 4 11 1,177
Short run and long run causality in time series: inference 0 0 0 210 4 12 14 646
Shrinkage of Variance for Minimum Distance Based Tests 0 0 0 2 2 5 5 42
Simulated residuals 0 0 0 141 2 4 9 268
State Dependence Can Explain the Risk Aversion Puzzle 0 0 0 37 2 7 9 122
Statistical Inference for Random-Variance Option Pricing 0 0 0 0 0 4 9 360
Symposium on Marshall's Tendencies: 4 Comments on Marshall's Tendencies 0 0 0 5 0 1 1 32
TESTING FOR EMBEDDABILITY BY STATIONARY REVERSIBLE CONTINUOUS-TIME MARKOV PROCESSES 0 0 0 11 0 1 1 58
Temporal aggregation of volatility models 0 0 1 77 0 20 25 319
Testing for Common Conditionally Heteroskedastic Factors 0 0 1 45 0 5 9 216
Testing for Common Roots 0 0 0 31 0 0 0 202
Testing for spurious causality in exchange rates 0 0 0 69 1 6 8 304
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 5 45
The JFEC Invited Lecture at the 2009 SoFiE Conference 0 0 0 13 0 1 3 70
The dynamic mixed hitting-time model for multiple transaction prices and times 0 1 1 13 0 3 5 66
Viewpoint: Option prices, preferences, and state variables 0 0 0 29 1 3 5 156
Total Journal Articles 4 10 46 4,995 61 304 528 15,987

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 8 655 1 5 23 1,760
Total Chapters 0 0 8 655 1 5 23 1,760

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Statistics updated 2026-03-04