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Details about Eric Michel Renault

Workplace:Economics Department, Brown University, (more information at EDIRC)

Access statistics for papers by Eric Michel Renault.

Last updated 2016-11-16. Update your information in the RePEc Author Service.

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Working Papers

2017

  1. Testing Identification Strength
    Discussion Papers, Department of Economics, Simon Fraser University Downloads

2016

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

2013

  1. Latest developments in heavy-tailed distributions
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles

2012

  1. Efficient Inference with Poor Instruments: a General Framework
    Discussion Papers, Department of Economics, Simon Fraser University Downloads View citations (4)
  2. Efficient Minimum Distance Estimation with Multiple Rates of Convergence
    Discussion Papers, Department of Economics, Simon Fraser University Downloads View citations (16)
    See also Journal Article in Journal of Econometrics (2012)
  3. Testing for Common GARCH Factors
    CIRANO Working Papers, CIRANO Downloads View citations (2)
    Also in MPRA Paper, University Library of Munich, Germany (2011) Downloads View citations (1)

2011

  1. Estimation of stable distributions with indirect inference
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (6)
  2. Nonparametric Instrumental Regression
    Post-Print, HAL View citations (42)
    Also in Working Papers, Center for Research in Economics and Statistics (2000) Downloads View citations (8)
    IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse (2010) Downloads View citations (8)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2002) Downloads View citations (82)

    See also Journal Article in Econometrica (2011)

2010

  1. Efficient Derivative Pricing By The Extended Method of Moments
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads View citations (1)
    Also in Working Papers, Center for Research in Economics and Statistics (2005) Downloads View citations (2)
    Working Papers, Center for Research in Economics and Statistics (2004) Downloads View citations (1)
    University of St. Gallen Department of Economics working paper series 2005, Department of Economics, University of St. Gallen (2005) Downloads

    See also Journal Article in Econometrica (2011)

2008

  1. On Portfolio Separation Theorems with Heterogeneous Beliefs and Attitudes towards Risk
    Staff Working Papers, Bank of Canada Downloads

2007

  1. Implications of Asymmetry Risk for Portfolio Analysis and Asset Pricing
    Staff Working Papers, Bank of Canada Downloads View citations (1)

2006

  1. Estimation of stable distributions by indirect inference
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (11)
    See also Journal Article in Journal of Econometrics (2011)

2005

  1. State Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle
    Staff Working Papers, Bank of Canada Downloads View citations (1)
  2. 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 Downloads

2004

  1. Conditionally Heteroskedastic Factor Models: Identification and Instrumental Variables Estimation
    CIRANO Working Papers, CIRANO Downloads View citations (4)
    Also in THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (2004) Downloads View citations (3)
  2. On the Efficient Use of the Informational Content of Estimating Equations: Implied Probabilities and Euclidean Empirical Likelihood
    CIRANO Working Papers, CIRANO Downloads View citations (4)
    See also Journal Article in Journal of Econometrics (2007)
  3. Option Prices, Preferences, and State Variables
    Emory Economics, Department of Economics, Emory University (Atlanta) Downloads
  4. Stochatic Volatility Models with Transaction Time Risk
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (7)
  5. The Econometrics of Option Pricing
    CIRANO Working Papers, CIRANO Downloads View citations (21)

2003

  1. Disentangling Risk Aversion and Intertemporal Substitution Through a Reference Level
    CIRANO Working Papers, CIRANO Downloads View citations (1)
    See also Journal Article in Finance Research Letters (2006)
  2. GARCH and Irregularly Spaced Data
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (1)
    See also Journal Article in Economics Letters (2006)
  3. Iterative and Recursive Estimation in Structural Non-Adaptive Models
    CIRANO Working Papers, CIRANO Downloads View citations (13)
    See also Journal Article in Journal of Business & Economic Statistics (2003)
  4. Short Run and Long Run Causality in Time Series: Inference
    CIRANO Working Papers, CIRANO Downloads View citations (12)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2003) Downloads View citations (2)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (2003) Downloads View citations (11)

    See also Journal Article in Journal of Econometrics (2006)

2001

  1. Asymmetric Smiles, Leverage Effects and Structural Parameters
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (17)
    Also in Working Papers, Center for Research in Economics and Statistics (2000) Downloads
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2001) Downloads View citations (5)
    CIRANO Working Papers, CIRANO (2001) Downloads View citations (8)
  2. Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note: Nouvelle version Février 2002)
    CIRANO Working Papers, CIRANO Downloads
  3. Empirical Assessment of an Intertemporal Option Pricing Model with Latent variables
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques Downloads View citations (4)
    Also in Working Papers, Center for Research in Economics and Statistics (2000) Downloads View citations (6)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (2001)

    See also Journal Article in Journal of Econometrics (2003)
  4. Risque de modèle de volatilité
    CIRANO Working Papers, CIRANO Downloads

2000

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

1998

  1. Aggregations and Marginalization of GARCH and Stochastic Volatility Models
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques Downloads
    Also in Working Papers, Toulouse - GREMAQ (1996) View citations (27)
  2. Quadratic M-Estimators for ARCH-Type Processes
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques Downloads View citations (5)
    Also in CIRANO Working Papers, CIRANO (1998) Downloads View citations (1)
  3. Risk Aversion, Intertemporal Substitution, and Option Pricing
    CIRANO Working Papers, CIRANO Downloads View citations (10)
    Also in Working Papers, Center for Research in Economics and Statistics (1998) Downloads View citations (6)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1998) View citations (6)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1998) Downloads View citations (9)
  4. Testing for Spurious Causality in Exchange Rates
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (11)
    See also Journal Article in Journal of Empirical Finance (1998)

1997

  1. A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models
    CIRANO Working Papers, CIRANO Downloads View citations (1)
    See also Journal Article in Mathematical Finance (1998)
  2. Continuously updated extremum estimators
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (1)
  3. Nonparametric Methods and Option Pricing
    CIRANO Working Papers, CIRANO Downloads View citations (6)
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1997) Downloads View citations (6)
  4. Statistical Inference for Random Variance Option Pricing
    Working Papers, Center for Research in Economics and Statistics Downloads
    Also in Working Papers, Toulouse - GREMAQ (1995) View citations (1)

    See also Journal Article in Journal of Business & Economic Statistics (2000)

1996

  1. Calibrarion By Simulation for Small Sample Bias Correction
    Working Papers, Toulouse - GREMAQ View citations (2)
  2. Econometric Models of Option Pricing Errors
    Working Papers, Toulouse - GREMAQ View citations (1)
  3. Long Memory in Continuous Time Stochastic Volatility Models
    Working Papers, Toulouse - GREMAQ View citations (62)
    See also Journal Article in Mathematical Finance (1998)
  4. Stochastic Volatility
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques Downloads View citations (233)
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1995) Downloads View citations (14)
    CIRANO Working Papers, CIRANO (1995) Downloads View citations (14)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1996) View citations (234)
    Working Papers, Toulouse - GREMAQ (1995) View citations (113)

1995

  1. Short-Run and Long-Rub Causality in Time Series: Theory
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques Downloads View citations (1)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1995) View citations (1)

    See also Journal Article in Econometrica (1998)

1994

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

1993

  1. 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)
  2. Option Hedging and Implicit Volatilities
    Working Papers, Toulouse - GREMAQ
  3. Option Hedging and Implicit Volatilities in a Stochastic Volatility Model
    IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse
  4. Option Hedging and Implicit Volatilities. Non Causality in Continuous Time Varma Models
    Working Papers, Toulouse - GREMAQ

1992

  1. Indirect Inference
    Working Papers, Toulouse - GREMAQ View citations (6)
    See also Journal Article in Journal of Applied Econometrics (1993)

1991

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

1990

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

1987

  1. Consistent m-estimators in a semi-parametric model
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP Downloads

1985

  1. Simulated residuals
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP Downloads
    See also Journal Article in Journal of Econometrics (1987)
  2. Testing unknown linear restrictions on parameter functions
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP Downloads

Journal Articles

2015

  1. Causality and separability
    Statistics & Probability Letters, 2015, 99, (C), 1-5 Downloads View citations (1)
  2. Maximization by parts in extremum estimation
    Econometrics Journal, 2015, 18, (2), 147-171 Downloads View citations (4)
  3. Shrinkage of Variance for Minimum Distance Based Tests
    Econometric Reviews, 2015, 34, (3), 328-351 Downloads

2014

  1. Aggregation of preferences for skewed asset returns
    Journal of Economic Theory, 2014, 154, (C), 453-489 Downloads View citations (6)
  2. Estimating scale economies in financial intermediation: a doubly indirect inference
    Journal of Productivity Analysis, 2014, 41, (3), 351-365 Downloads
  3. REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS
    Econometric Theory, 2014, 30, (03), 580-605 Downloads View citations (20)
  4. The dynamic mixed hitting-time model for multiple transaction prices and times
    Journal of Econometrics, 2014, 180, (2), 233-250 Downloads View citations (6)

2013

  1. Editorial Announcement
    Journal of Financial Econometrics, 2013, 12, (1), 1-2 Downloads
  2. Testing for Common Conditionally Heteroskedastic Factors
    Econometrica, 2013, 81, (6), 2561-2586 Downloads View citations (13)

2012

  1. Affine fractional stochastic volatility models
    Annals of Finance, 2012, 8, (2), 337-378 Downloads View citations (17)
  2. Efficient minimum distance estimation with multiple rates of convergence
    Journal of Econometrics, 2012, 170, (2), 350-367 Downloads View citations (21)
    See also Working Paper (2012)
  3. THE ET INTERVIEW: CHRISTIAN GOURIÉROUX AND ALAIN MONFORT
    Econometric Theory, 2012, 28, (04), 889-914 Downloads

2011

  1. Causality effects in return volatility measures with random times
    Journal of Econometrics, 2011, 160, (1), 272-279 Downloads View citations (10)
  2. Efficient Derivative Pricing by the Extended Method of Moments
    Econometrica, 2011, 79, (4), 1181-1232 View citations (15)
    See also Working Paper (2010)
  3. Estimation of objective and risk-neutral distributions based on moments of integrated volatility
    Journal of Econometrics, 2011, 160, (1), 22-32 Downloads View citations (22)
  4. Estimation of stable distributions by indirect inference
    Journal of Econometrics, 2011, 161, (2), 325-337 Downloads View citations (16)
    See also Working Paper (2006)
  5. Nonparametric Instrumental Regression
    Econometrica, 2011, 79, (5), 1541-1565 Downloads View citations (80)
    See also Working Paper (2011)
  6. The JFEC Invited Lecture at the 2009 SoFiE Conference
    Journal of Financial Econometrics, 2011, 9, (1), 1-2 Downloads

2009

  1. Efficient GMM with nearly-weak instruments
    Econometrics Journal, 2009, 12, (s1), S135-S171 Downloads View citations (21)

2008

  1. State Dependence Can Explain the Risk Aversion Puzzle
    Review of Financial Studies, 2008, 21, (2), 973-1011 Downloads View citations (30)

2007

  1. Diffusion Processes with Polynomial Eigenfunctions
    Annals of Economics and Statistics, 2007, (85), 115-130 Downloads
  2. Indirect inference and calibration of dynamic stochastic general equilibrium models
    Journal of Econometrics, 2007, 136, (2), 397-430 Downloads View citations (63)
  3. 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 Downloads View citations (49)
    See also Working Paper (2004)
  4. Proper Conditioning for Coherent VaR in Portfolio Management
    Management Science, 2007, 53, (3), 483-494 Downloads View citations (23)

2006

  1. Disentangling risk aversion and intertemporal substitution through a reference level
    Finance Research Letters, 2006, 3, (3), 181-193 Downloads View citations (12)
    See also Working Paper (2003)
  2. Factor Stochastic Volatility in Mean Models: A GMM Approach
    Econometric Reviews, 2006, 25, (2-3), 275-309 Downloads View citations (15)
  3. GARCH and irregularly spaced data
    Economics Letters, 2006, 90, (2), 200-204 Downloads View citations (10)
    See also Working Paper (2003)
  4. Short run and long run causality in time series: inference
    Journal of Econometrics, 2006, 132, (2), 337-362 Downloads View citations (62)
    See also Working Paper (2003)

2005

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

2004

  1. Dynamic factor models
    Journal of Econometrics, 2004, 119, (2), 223-230 Downloads View citations (2)
  2. Temporal aggregation of volatility models
    Journal of Econometrics, 2004, 119, (2), 355-379 Downloads View citations (54)
    See also Working Paper (2000)

2003

  1. Empirical assessment of an intertemporal option pricing model with latent variables
    Journal of Econometrics, 2003, 116, (1-2), 49-83 Downloads View citations (42)
    See also Working Paper (2001)
  2. Iterative and Recursive Estimation in Structural Nonadaptive Models
    Journal of Business & Economic Statistics, 2003, 21, (4), 449-82 View citations (21)
    See also Working Paper (2003)
  3. Iterative and Recursive Estimation in Structural Nonadaptive Models: Rejoinder
    Journal of Business & Economic Statistics, 2003, 21, (4), 503-09 View citations (21)

2002

  1. Symposium on Marshall's Tendencies: 4 Comments on Marshall's Tendencies
    Economics and Philosophy, 2002, 18, (01), 29-44 Downloads

2000

  1. Econometric methods for derivative securities and risk management
    Journal of Econometrics, 2000, 94, (1-2), 1-7 Downloads
  2. Statistical Inference for Random-Variance Option Pricing
    Journal of Business & Economic Statistics, 2000, 18, (3), 358-67 View citations (21)
    See also Working Paper (1997)

1998

  1. A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models
    Mathematical Finance, 1998, 8, (2), 153-161 Downloads View citations (9)
    See also Working Paper (1997)
  2. Long memory in continuous-time stochastic volatility models
    Mathematical Finance, 1998, 8, (4), 291-323 Downloads View citations (172)
    See also Working Paper (1996)
  3. Short Run and Long Run Causality in Time Series: Theory
    Econometrica, 1998, 66, (5), 1099-1126 View citations (111)
    See also Working Paper (1995)
  4. TESTING FOR EMBEDDABILITY BY STATIONARY REVERSIBLE CONTINUOUS-TIME MARKOV PROCESSES
    Econometric Theory, 1998, 14, (06), 744-769 Downloads View citations (14)
  5. Testing for spurious causality in exchange rates
    Journal of Empirical Finance, 1998, 5, (1), 47-66 Downloads View citations (16)
    See also Working Paper (1998)

1997

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

1996

  1. Long memory continuous time models
    Journal of Econometrics, 1996, 73, (1), 101-149 Downloads View citations (56)
  2. Noncausality in Continuous Time Models
    Econometric Theory, 1996, 12, (02), 215-256 Downloads View citations (12)
  3. OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL
    Mathematical Finance, 1996, 6, (3), 279-302 Downloads View citations (66)

1993

  1. Indirect Inference
    Journal of Applied Econometrics, 1993, 8, (S), S85-118 Downloads View citations (516)
    See also Working Paper (1992)
  2. 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 Downloads

1989

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

1987

  1. Generalised residuals
    Journal of Econometrics, 1987, 34, (1-2), 5-32 Downloads View citations (173)
  2. Kullback Causality Measures
    Annals of Economics and Statistics, 1987, (6-7), 369-410 Downloads View citations (4)
  3. Simulated residuals
    Journal of Econometrics, 1987, 34, (1-2), 201-252 Downloads View citations (21)
    See also Working Paper (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 Downloads View citations (68)

Editor

  1. Journal of Financial Econometrics
    Society for Financial Econometrics
 
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