Details about Eric Michel Renault

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Working Papers

2019

1. Indirect Inference With(Out) Constraints
   Papers, arXiv.org View citations (3)

2017

2. Testing Identification Strength
   Discussion Papers, Department of Economics, Simon Fraser University View citations (2)

2016

3. Efficient Two-Step Estimation via Targeting
   CIRANO Working Papers, CIRANO View citations (1)
4. Indirect Inference with Endogenously Missing Exogenous Variables
   CIRANO Working Papers, CIRANO
5. On the relevance of weaker instruments
   Discussion Papers, Department of Economics, Simon Fraser University View citations (2)

2013

6. Latest developments in heavy-tailed distributions
   ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (1)

2012

7. Efficient Inference with Poor Instruments: a General Framework
   Discussion Papers, Department of Economics, Simon Fraser University View citations (5)
8. Efficient Minimum Distance Estimation with Multiple Rates of Convergence
   Discussion Papers, Department of Economics, Simon Fraser University View citations (30)
   See also Journal Article Efficient minimum distance estimation with multiple rates of convergence, Journal of Econometrics, Elsevier (2012) View citations (30) (2012)
9. Testing for Common GARCH Factors
   CIRANO Working Papers, CIRANO View citations (2)
   Also in MPRA Paper, University Library of Munich, Germany (2011) View citations (1)

2011

10. Estimation of stable distributions with indirect inference
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (11)
11. Nonparametric Instrumental Regression
    Post-Print, HAL View citations (158)
    Also in Working Papers, Center for Research in Economics and Statistics (2000) View citations (8)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2002) View citations (88)
    IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse (2010) View citations (8)
    See also Journal Article Nonparametric Instrumental Regression, Econometrica, Econometric Society (2011) View citations (164) (2011)

2010

12. Efficient Derivative Pricing By The Extended Method of Moments
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (1)
    Also in University of St. Gallen Department of Economics working paper series 2005, Department of Economics, University of St. Gallen (2005)
    Working Papers, Center for Research in Economics and Statistics (2005) View citations (2)
    Working Papers, Center for Research in Economics and Statistics (2004) View citations (2)
    See also Journal Article Efficient Derivative Pricing by the Extended Method of Moments, Econometrica, Econometric Society (2011) View citations (33) (2011)

2008

13. On Portfolio Separation Theorems with Heterogeneous Beliefs and Attitudes towards Risk
    Staff Working Papers, Bank of Canada View citations (7)

2007

14. Implications of Asymmetry Risk for Portfolio Analysis and Asset Pricing
    Staff Working Papers, Bank of Canada View citations (6)

2006

15. Estimation of stable distributions by indirect inference
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (10)
    See also Journal Article Estimation of stable distributions by indirect inference, Journal of Econometrics, Elsevier (2011) View citations (24) (2011)

2005

16. State Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle
    Staff Working Papers, Bank of Canada
17. The Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order Moments
    Staff Working Papers, Bank of Canada

2004

18. Conditionally Heteroskedastic Factor Models: Identification and Instrumental Variables Estimation
    CIRANO Working Papers, CIRANO View citations (6)
    Also in THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (2004) View citations (3)
19. On the Efficient Use of the Informational Content of Estimating Equations: Implied Probabilities and Euclidean Empirical Likelihood
    CIRANO Working Papers, CIRANO View citations (5)
    See also Journal Article On the efficient use of the informational content of estimating equations: Implied probabilities and Euclidean empirical likelihood, Journal of Econometrics, Elsevier (2007) View citations (61) (2007)
20. Stochatic Volatility Models with Transaction Time Risk
    Discussion Paper, Tilburg University, Center for Economic Research View citations (9)
21. The Econometrics of Option Pricing
    CIRANO Working Papers, CIRANO View citations (24)

2003

22. Disentangling Risk Aversion and Intertemporal Substitution Through a Reference Level
    CIRANO Working Papers, CIRANO View citations (2)
    See also Journal Article Disentangling risk aversion and intertemporal substitution through a reference level, Finance Research Letters, Elsevier (2006) View citations (20) (2006)
23. GARCH and Irregularly Spaced Data
    Discussion Paper, Tilburg University, Center for Economic Research View citations (4)
    See also Journal Article GARCH and irregularly spaced data, Economics Letters, Elsevier (2006) View citations (15) (2006)
24. Iterative and Recursive Estimation in Structural Non-Adaptive Models
    CIRANO Working Papers, CIRANO View citations (22)
    See also Journal Article Iterative and Recursive Estimation in Structural Nonadaptive Models, Journal of Business & Economic Statistics, American Statistical Association (2003) View citations (29) (2003)
25. Short Run and Long Run Causality in Time Series: Inference
    CIRANO Working Papers, CIRANO View citations (12)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2003) View citations (3)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (2003) View citations (13)
    See also Journal Article Short run and long run causality in time series: inference, Journal of Econometrics, Elsevier (2006) View citations (93) (2006)

2001

26. Asymmetric Smiles, Leverage Effects and Structural Parameters
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (19)
    Also in CIRANO Working Papers, CIRANO (2001) View citations (14)
    Working Papers, Center for Research in Economics and Statistics (2000) View citations (1)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2001) View citations (14)
27. Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note: Nouvelle version Février 2002)
    CIRANO Working Papers, CIRANO
28. Empirical Assessment of an Intertemporal Option Pricing Model with Latent variables
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (4)
    Also in Working Papers, Center for Research in Economics and Statistics (2000) View citations (7)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (2001)
    See also Journal Article Empirical assessment of an intertemporal option pricing model with latent variables, Journal of Econometrics, Elsevier (2003) View citations (64) (2003)
29. Risque de modèle de volatilité
    CIRANO Working Papers, CIRANO

2000

30. Latent Variable Models for Stochastic Discount
    Working Papers, Center for Research in Economics and Statistics View citations (2)
31. Latent Variable Models for Stochastic Discount Factors
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (2)
    Also in CIRANO Working Papers, CIRANO (1999) View citations (3)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (2000)
32. Semi-Parametric Indirect Inference
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations (15)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2000) View citations (15)
33. Temporal Aggregation of Volatility Models
    CIRANO Working Papers, CIRANO View citations (35)
    See also Journal Article Temporal aggregation of volatility models, Journal of Econometrics, Elsevier (2004) View citations (83) (2004)

1998

34. Aggregations and Marginalization of GARCH and Stochastic Volatility Models
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (3)
    Also in Working Papers, Toulouse - GREMAQ (1996) View citations (28)
35. Quadratic M-Estimators for ARCH-Type Processes
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (6)
    Also in CIRANO Working Papers, CIRANO (1998) View citations (3)
36. Risk Aversion, Intertemporal Substitution, and Option Pricing
    CIRANO Working Papers, CIRANO View citations (12)
    Also in Working Papers, Center for Research in Economics and Statistics (1998) View citations (11)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1998) View citations (11)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1998) View citations (13)
37. Testing for Spurious Causality in Exchange Rates
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (20)
    See also Journal Article Testing for spurious causality in exchange rates, Journal of Empirical Finance, Elsevier (1998) View citations (20) (1998)

1997

38. A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models
    CIRANO Working Papers, CIRANO View citations (1)
    See also Journal Article A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models, Mathematical Finance, Wiley Blackwell (1998) View citations (13) (1998)
39. Continuously updated extremum estimators
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (1)
40. Nonparametric Methods and Option Pricing
    CIRANO Working Papers, CIRANO View citations (9)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1997) View citations (9)
41. Statistical Inference for Random Variance Option Pricing
    Working Papers, Center for Research in Economics and Statistics
    Also in Working Papers, Toulouse - GREMAQ (1995) View citations (1)
    See also Journal Article Statistical Inference for Random-Variance Option Pricing, Journal of Business & Economic Statistics, American Statistical Association (2000) View citations (23) (2000)

1996

42. Calibrarion By Simulation for Small Sample Bias Correction
    Working Papers, Toulouse - GREMAQ View citations (2)
43. Econometric Models of Option Pricing Errors
    Working Papers, Toulouse - GREMAQ View citations (2)
44. Long Memory in Continuous Time Stochastic Volatility Models
    Working Papers, Toulouse - GREMAQ View citations (92)
    See also Journal Article Long memory in continuous‐time stochastic volatility models, Mathematical Finance, Wiley Blackwell (1998) View citations (264) (1998)
45. Stochastic Volatility
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (252)
    Also in Working Papers, Toulouse - GREMAQ (1995) View citations (113)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1996) View citations (250)
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1995) View citations (14)
    CIRANO Working Papers, CIRANO (1995) View citations (14)

1995

46. Short-Run and Long-Rub Causality in Time Series: Theory
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (1)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1995) View citations (1)
    See also Journal Article Short Run and Long Run Causality in Time Series: Theory, Econometrica, Econometric Society (1998) View citations (192) (1998)

1994

47. Recursive Utility, Precautionary Saving and the Demand for Insurance
    Working Papers, Risk and Insurance Archive

1993

48. Causalites a court et a long terme dans les modeles VAR et ARIMA multivaries
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ
    Also in Working Papers, Toulouse - GREMAQ (1992)
49. Option Hedging and Implicit Volatilities
    Working Papers, Toulouse - GREMAQ
50. Option Hedging and Implicit Volatilities in a Stochastic Volatility Model
    IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse
51. Option Hedging and Implicit Volatilities. Non Causality in Continuous Time Varma Models
    Working Papers, Toulouse - GREMAQ

1992

52. Indirect Inference
    Working Papers, Toulouse - GREMAQ View citations (6)
    See also Journal Article Indirect Inference, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (1993) View citations (527) (1993)

1991

53. True Versus Spurious Instantaneous Causality
    Working Papers, Universite Libre de Bruxelles - C.E.M.E. View citations (6)
54. Two stages generalized moment method with applications to regressions with heteroscedasticity of unkwnown form
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP

1990

55. Temporal Aggregation and Tests of Arbitrage Pricing Theory
    DELTA Working Papers, DELTA (Ecole normale supérieure)

1987

56. Consistent m-estimators in a semi-parametric model
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP View citations (2)

1985

57. Simulated residuals
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP
    See also Journal Article Simulated residuals, Journal of Econometrics, Elsevier (1987) View citations (21) (1987)
58. Testing unknown linear restrictions on parameter functions
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP View citations (1)

Journal Articles

2015

1. Causality and separability
   Statistics & Probability Letters, 2015, 99, (C), 1-5 View citations (1)
2. Maximization by parts in extremum estimation
   Econometrics Journal, 2015, 18, (2), 147-171 View citations (8)
3. Shrinkage of Variance for Minimum Distance Based Tests
   Econometric Reviews, 2015, 34, (3), 328-351 View citations (1)

2014

4. Aggregation of preferences for skewed asset returns
   Journal of Economic Theory, 2014, 154, (C), 453-489 View citations (14)
5. Estimating scale economies in financial intermediation: a doubly indirect inference
   Journal of Productivity Analysis, 2014, 41, (3), 351-365 View citations (1)
6. REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS
   Econometric Theory, 2014, 30, (3), 580-605 View citations (32)
7. The dynamic mixed hitting-time model for multiple transaction prices and times
   Journal of Econometrics, 2014, 180, (2), 233-250 View citations (6)

2013

8. Editorial Announcement
   Journal of Financial Econometrics, 2013, 12, (1), 1-2
9. Testing for Common Conditionally Heteroskedastic Factors
   Econometrica, 2013, 81, (6), 2561-2586 View citations (30)

2012

10. Affine fractional stochastic volatility models
    Annals of Finance, 2012, 8, (2), 337-378 View citations (58)
11. Efficient minimum distance estimation with multiple rates of convergence
    Journal of Econometrics, 2012, 170, (2), 350-367 View citations (30)
    See also Working Paper Efficient Minimum Distance Estimation with Multiple Rates of Convergence, Discussion Papers (2012) View citations (30) (2012)

2011

12. Causality effects in return volatility measures with random times
    Journal of Econometrics, 2011, 160, (1), 272-279 View citations (14)
13. Efficient Derivative Pricing by the Extended Method of Moments
    Econometrica, 2011, 79, (4), 1181-1232 View citations (33)
    See also Working Paper Efficient Derivative Pricing By The Extended Method of Moments, Swiss Finance Institute Research Paper Series (2010) View citations (1) (2010)
14. Estimation of objective and risk-neutral distributions based on moments of integrated volatility
    Journal of Econometrics, 2011, 160, (1), 22-32 View citations (27)
15. Estimation of stable distributions by indirect inference
    Journal of Econometrics, 2011, 161, (2), 325-337 View citations (24)
    See also Working Paper Estimation of stable distributions by indirect inference, LIDAM Discussion Papers CORE (2006) View citations (10) (2006)
16. Nonparametric Instrumental Regression
    Econometrica, 2011, 79, (5), 1541-1565 View citations (164)
    See also Working Paper Nonparametric Instrumental Regression, Post-Print (2011) View citations (158) (2011)
17. The JFEC Invited Lecture at the 2009 SoFiE Conference
    Journal of Financial Econometrics, 2011, 9, (1), 1-2

2009

18. Efficient GMM with nearly-weak instruments
    Econometrics Journal, 2009, 12, (s1), S135-S171 View citations (38)

2008

19. State Dependence Can Explain the Risk Aversion Puzzle
    The Review of Financial Studies, 2008, 21, (2), 973-1011 View citations (51)

2007

20. Diffusion Processes with Polynomial Eigenfunctions
    Annals of Economics and Statistics, 2007, (85), 115-130
21. Indirect inference and calibration of dynamic stochastic general equilibrium models
    Journal of Econometrics, 2007, 136, (2), 397-430 View citations (102)
22. On the efficient use of the informational content of estimating equations: Implied probabilities and Euclidean empirical likelihood
    Journal of Econometrics, 2007, 138, (2), 461-487 View citations (61)
    See also Working Paper On the Efficient Use of the Informational Content of Estimating Equations: Implied Probabilities and Euclidean Empirical Likelihood, CIRANO Working Papers (2004) View citations (5) (2004)
23. Proper Conditioning for Coherent VaR in Portfolio Management
    Management Science, 2007, 53, (3), 483-494 View citations (36)

2006

24. Disentangling risk aversion and intertemporal substitution through a reference level
    Finance Research Letters, 2006, 3, (3), 181-193 View citations (20)
    See also Working Paper Disentangling Risk Aversion and Intertemporal Substitution Through a Reference Level, CIRANO Working Papers (2003) View citations (2) (2003)
25. Factor Stochastic Volatility in Mean Models: A GMM Approach
    Econometric Reviews, 2006, 25, (2-3), 275-309 View citations (16)
26. GARCH and irregularly spaced data
    Economics Letters, 2006, 90, (2), 200-204 View citations (15)
    See also Working Paper GARCH and Irregularly Spaced Data, Discussion Paper (2003) View citations (4) (2003)
27. Short run and long run causality in time series: inference
    Journal of Econometrics, 2006, 132, (2), 337-362 View citations (93)
    See also Working Paper Short Run and Long Run Causality in Time Series: Inference, CIRANO Working Papers (2003) View citations (12) (2003)

2005

28. Viewpoint: Option prices, preferences, and state variables
    Canadian Journal of Economics, 2005, 38, (1), 1-27 View citations (3)

2004

29. Dynamic factor models
    Journal of Econometrics, 2004, 119, (2), 223-230 View citations (2)
30. Temporal aggregation of volatility models
    Journal of Econometrics, 2004, 119, (2), 355-379 View citations (83)
    See also Working Paper Temporal Aggregation of Volatility Models, CIRANO Working Papers (2000) View citations (35) (2000)

2003

31. Empirical assessment of an intertemporal option pricing model with latent variables
    Journal of Econometrics, 2003, 116, (1-2), 49-83 View citations (64)
    See also Working Paper Empirical Assessment of an Intertemporal Option Pricing Model with Latent variables, Cahiers de recherche (2001) View citations (4) (2001)
32. Iterative and Recursive Estimation in Structural Nonadaptive Models
    Journal of Business & Economic Statistics, 2003, 21, (4), 449-82 View citations (29)
    See also Working Paper Iterative and Recursive Estimation in Structural Non-Adaptive Models, CIRANO Working Papers (2003) View citations (22) (2003)
33. Iterative and Recursive Estimation in Structural Nonadaptive Models: Rejoinder
    Journal of Business & Economic Statistics, 2003, 21, (4), 503-09 View citations (29)

2002

34. Symposium on Marshall's Tendencies: 4 Comments on Marshall's Tendencies
    Economics and Philosophy, 2002, 18, (1), 29-44

2000

35. Econometric methods for derivative securities and risk management
    Journal of Econometrics, 2000, 94, (1-2), 1-7
36. Statistical Inference for Random-Variance Option Pricing
    Journal of Business & Economic Statistics, 2000, 18, (3), 358-67 View citations (23)
    See also Working Paper Statistical Inference for Random Variance Option Pricing, Working Papers (1997) (1997)

1998

37. A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models
    Mathematical Finance, 1998, 8, (2), 153-161 View citations (13)
    See also Working Paper A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models, CIRANO Working Papers (1997) View citations (1) (1997)
38. Long memory in continuous‐time stochastic volatility models
    Mathematical Finance, 1998, 8, (4), 291-323 View citations (264)
    See also Working Paper Long Memory in Continuous Time Stochastic Volatility Models, Working Papers (1996) View citations (92) (1996)
39. Short Run and Long Run Causality in Time Series: Theory
    Econometrica, 1998, 66, (5), 1099-1126 View citations (192)
    See also Working Paper Short-Run and Long-Rub Causality in Time Series: Theory, Cahiers de recherche (1995) View citations (1) (1995)
40. TESTING FOR EMBEDDABILITY BY STATIONARY REVERSIBLE CONTINUOUS-TIME MARKOV PROCESSES
    Econometric Theory, 1998, 14, (6), 744-769 View citations (17)
41. Testing for spurious causality in exchange rates
    Journal of Empirical Finance, 1998, 5, (1), 47-66 View citations (20)
    See also Working Paper Testing for Spurious Causality in Exchange Rates, ULB Institutional Repository (1998) View citations (20) (1998)

1997

42. Les techniques quantitatives de la gestion de portefeuille
    L'Actualité Economique, 1997, 73, (1), 265-310

1996

43. Long memory continuous time models
    Journal of Econometrics, 1996, 73, (1), 101-149 View citations (81)
44. Noncausality in Continuous Time Models
    Econometric Theory, 1996, 12, (2), 215-256 View citations (18)
45. OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL1
    Mathematical Finance, 1996, 6, (3), 279-302 View citations (89)

1993

46. Indirect Inference
    Journal of Applied Econometrics, 1993, 8, (S), S85-118 View citations (527)
    See also Working Paper Indirect Inference, Working Papers (1992) View citations (6) (1992)
47. Tests sur le noyau, l'image et le rang de la matrice des coefficients d'un modéle linéaire multivarié
    Annals of Economics and Statistics, 1993, (32), 81-111 View citations (4)

1989

48. Testing for Common Roots
    Econometrica, 1989, 57, (1), 171-85 View citations (1)

1987

49. Generalised residuals
    Journal of Econometrics, 1987, 34, (1-2), 5-32 View citations (209)
50. Kullback Causality Measures
    Annals of Economics and Statistics, 1987, (6-7), 369-410 View citations (19)
51. Simulated residuals
    Journal of Econometrics, 1987, 34, (1-2), 201-252 View citations (21)
    See also Working Paper Simulated residuals, CEPREMAP Working Papers (Couverture Orange) (1985) (1985)

Chapters

2007

1. Linear Inverse Problems in Structural Econometrics Estimation Based on Spectral Decomposition and Regularization
   Chapter 77 in Handbook of Econometrics, 2007, vol. 6B View citations (210)

Editor

1. Journal of Financial Econometrics
   Oxford University Press