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 3,346
Aggregations and Marginalization of GARCH and Stochastic Volatility Models 0 0 0 207 0 0 2 604
Aggregations and Marginalization of Garch and Stochastic Volatility Models 0 0 0 0 0 1 2 450
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 0 1 0 0 1 395
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 0 171 0 0 2 777
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 0 10 1 1 1 399
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 0 589 0 0 5 2,594
Calibrarion By Simulation for Small Sample Bias Correction 0 0 0 0 1 2 4 889
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 0 402
Conditionally Heteroskedastic Factor Models: Identification and Instrumental Variables Estimation 0 0 2 235 0 1 5 748
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 0 2 26 0 1 8 202
Continuously updated extremum estimators 0 0 0 2 0 0 1 271
Disentangling Risk Aversion and Intertemporal Substitution Through a Reference Level 0 0 0 189 1 2 4 945
Econometric Models of Option Pricing Errors 0 0 0 1 0 0 12 1,754
Efficient Derivative Pricing By The Extended Method of Moments 0 0 0 42 0 1 2 135
Efficient Derivative Pricing by Extended Method of Moments 0 0 1 18 0 0 1 88
Efficient Derivative Pricing by Extended Method of Moments 0 0 0 183 0 0 1 481
Efficient Derivative Pricing by Extended Method of Moments 0 0 0 6 0 0 0 67
Efficient Inference with Poor Instruments: a General Framework 0 0 0 69 0 1 2 195
Efficient Minimum Distance Estimation with Multiple Rates of Convergence 0 0 0 49 0 0 2 242
Efficient Two-Step Estimation via Targeting 0 0 0 37 0 1 4 62
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 0 1 2,274
Empirical Assessment of an Intertemporal Option Pricing Model with Latent variables 0 0 0 84 0 0 3 354
Empirical Assessment of an Intertemporal option Pricing Model with Latent variables 0 0 0 1 0 0 0 244
Estimation of stable distributions by indirect inference 0 0 0 74 0 0 1 255
Estimation of stable distributions with indirect inference 0 0 0 5 0 0 3 50
GARCH and Irregularly Spaced Data 0 0 0 1 0 0 1 26
Implications of Asymmetry Risk for Portfolio Analysis and Asset Pricing 0 0 0 88 0 0 0 222
Indirect Inference 0 0 0 4 0 1 3 697
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 6 65
Iterative and Recursive Estimation in Structural Non-Adaptive Models 0 0 0 104 1 2 5 507
Latent Variable Models for Stochastic Discount 0 0 0 3 0 0 0 230
Latent Variable Models for Stochastic Discount Factors 0 0 0 128 1 1 1 526
Latent Variable Models for Stochastic Discount Factors 0 0 0 528 0 0 1 2,722
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 3 7 1,288
Non Parametric Instrumental Regression 0 0 0 193 0 0 2 506
Nonparametric Instrumental Regression 0 0 0 33 0 0 2 306
Nonparametric Instrumental Regression 0 0 0 0 0 0 1 69
Nonparametric Instrumental Regression 1 1 3 210 2 3 9 546
Nonparametric Methods and Option Pricing 0 0 0 676 1 1 2 2,438
Nonparametric methods and option pricing 0 0 1 7 0 0 2 648
On Portfolio Separation Theorems with Heterogeneous Beliefs and Attitudes towards Risk 0 0 1 153 0 1 7 676
On the Efficient Use of the Informational Content of Estimating Equations: Implied Probabilities and Euclidean Empirical Likelihood 0 0 4 128 2 3 8 458
On the relevance of weaker instruments 0 0 1 119 0 0 7 273
Option Hedging and Implicit Volatilities 0 0 0 0 0 1 3 509
Option Hedging and Implicit Volatilities in a Stochastic Volatility Model 0 0 0 0 0 0 2 239
Option Hedging and Implicit Volatilities. Non Causality in Continuous Time Varma Models 0 0 0 0 0 1 4 280
Quadratic M-Estimators for ARCH-Type Processes 0 0 0 38 0 0 1 255
Quadratic M-Estimators for ARCH-Type Processes 0 0 0 209 1 1 5 949
Recursive Utility, Precautionary Saving and the Demand for Insurance 0 0 0 269 0 0 2 826
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 1 848 0 1 4 4,528
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 1 13 0 0 1 85
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 0 0 0 0 1 498
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 0 110 0 0 1 546
Risque de modèle de volatilité 0 0 0 665 0 0 4 2,448
Semi-Parametric Indirect Inference 0 1 1 7 0 1 3 56
Semi-parametric indirect inference 0 0 0 4 0 0 0 44
Short Run and Long Run Causality in Time Series: Inference 0 0 0 531 0 0 3 1,644
Short Run and Long Run Causality in Time Series: Inference 0 0 0 205 0 0 0 654
Short run and long run causality in time series: Inference 0 0 0 236 0 0 4 622
Short-Run and Long-Rub Causality in Time Series: Theory 0 0 0 0 0 0 2 363
Short-Run and Long-Rub Causality in Time Series: Theory 0 0 0 70 0 0 0 236
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 3 331
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 1 1 64
Stochastic Volatility 0 0 0 3 1 1 9 1,643
Stochastic Volatility 0 0 0 8 1 4 25 3,524
Stochastic Volatility 1 1 6 476 1 1 11 1,638
Stochastic Volatility 1 2 8 2,089 3 6 21 4,807
Stochastic Volatility 0 0 0 37 1 2 4 244
Stochatic Volatility Models with Transaction Time Risk 0 0 0 0 0 0 1 27
Temporal Aggregation and Tests of Arbitrage Pricing Theory 0 0 0 0 1 1 1 235
Temporal Aggregation of Volatility Models 0 0 0 428 0 1 3 1,340
Testing Identification Strength 0 0 0 142 1 1 6 450
Testing for Common GARCH Factors 0 0 1 18 0 0 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 0 0 4 77
Testing unknown linear restrictions on parameter functions 0 0 0 4 0 0 1 283
The Econometrics of Option Pricing 0 0 1 1,258 1 3 6 3,134
The Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order Moments 0 0 0 191 1 4 4 765
True Versus Spurious Instantaneous Causality 0 0 0 3 0 0 2 431
Two stages generalized moment method with applications to regressions with heteroscedasticity of unkwnown form 0 0 0 4 0 0 2 280
Total Working Papers 3 5 35 13,675 22 58 282 66,674

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 1 3 42 0 2 7 144
Aggregation of preferences for skewed asset returns 0 0 1 36 1 2 3 97
Causality and separability 0 0 0 12 1 1 1 44
Causality effects in return volatility measures with random times 0 0 0 41 0 0 4 157
Diffusion Processes with Polynomial Eigenfunctions 0 0 0 13 1 1 1 34
Disentangling risk aversion and intertemporal substitution through a reference level 0 1 3 54 0 1 5 199
Dynamic factor models 0 0 0 67 0 1 3 186
Econometric methods for derivative securities and risk management 0 0 0 84 0 0 0 214
Editorial Announcement 0 0 0 11 0 0 1 48
Efficient Derivative Pricing by the Extended Method of Moments 0 0 0 0 0 0 0 239
Efficient GMM with nearly-weak instruments 0 0 0 58 0 0 5 234
Efficient minimum distance estimation with multiple rates of convergence 0 1 1 27 0 1 3 133
Empirical assessment of an intertemporal option pricing model with latent variables 0 0 0 89 1 1 4 300
Estimating scale economies in financial intermediation: a doubly indirect inference 0 0 0 7 0 1 2 42
Estimation of objective and risk-neutral distributions based on moments of integrated volatility 0 0 0 51 1 1 3 220
Estimation of stable distributions by indirect inference 0 0 1 87 0 0 3 258
Factor Stochastic Volatility in Mean Models: A GMM Approach 0 0 2 47 0 0 5 135
GARCH and irregularly spaced data 0 0 0 43 0 0 1 130
Generalised residuals 2 4 12 976 2 5 20 1,683
Indirect Inference 0 0 9 1,587 3 11 48 4,129
Indirect inference and calibration of dynamic stochastic general equilibrium models 0 0 2 167 1 1 5 386
Iterative and Recursive Estimation in Structural Nonadaptive Models 0 0 0 0 0 0 3 285
Iterative and Recursive Estimation in Structural Nonadaptive Models: Rejoinder 0 0 0 0 0 0 0 159
Kullback Causality Measures 0 0 3 23 0 1 5 56
Les techniques quantitatives de la gestion de portefeuille 0 0 0 28 0 0 2 169
Long memory continuous time models 0 1 5 213 0 3 11 393
Long memory in continuous‐time stochastic volatility models 0 2 11 90 1 6 36 270
Maximization by parts in extremum estimation 0 0 0 3 0 0 1 32
Noncausality in Continuous Time Models 0 0 0 20 1 1 1 63
Nonparametric Instrumental Regression 0 0 0 91 1 2 3 327
OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL1 0 0 9 198 1 2 20 384
On the efficient use of the informational content of estimating equations: Implied probabilities and Euclidean empirical likelihood 0 0 1 90 0 1 4 239
Proper Conditioning for Coherent VaR in Portfolio Management 0 0 1 15 0 0 1 79
REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS 0 1 2 8 0 2 6 62
Short Run and Long Run Causality in Time Series: Theory 0 0 0 0 0 1 4 1,170
Short run and long run causality in time series: inference 0 0 1 210 0 1 8 633
Shrinkage of Variance for Minimum Distance Based Tests 0 0 0 2 0 0 2 37
Simulated residuals 0 0 0 141 0 1 2 260
State Dependence Can Explain the Risk Aversion Puzzle 0 0 0 37 0 0 3 115
Statistical Inference for Random-Variance Option Pricing 0 0 0 0 0 1 1 352
Symposium on Marshall's Tendencies: 4 Comments on Marshall's Tendencies 0 0 0 5 0 0 2 31
TESTING FOR EMBEDDABILITY BY STATIONARY REVERSIBLE CONTINUOUS-TIME MARKOV PROCESSES 0 0 0 11 0 0 2 57
Temporal aggregation of volatility models 0 0 1 77 0 1 4 296
Testing for Common Conditionally Heteroskedastic Factors 0 0 0 44 0 0 2 208
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 1 296
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 1 2 3 69
The dynamic mixed hitting-time model for multiple transaction prices and times 0 0 0 12 0 0 3 63
Viewpoint: Option prices, preferences, and state variables 0 0 0 29 0 0 1 151
Total Journal Articles 2 11 68 4,979 16 54 255 15,573

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 1 8 651 1 4 23 1,748
Total Chapters 0 1 8 651 1 4 23 1,748

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Statistics updated 2025-09-05