Eric Michel Renault

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Research profile

author of:

• Kullback Causality Measures (RePEc:adr:anecst:y:1987:i:6-7:p:369-410)
  by Christian Gouriéroux & Alain Monfort & Eric Renault
• Tests sur le noyau, l'image et le rang de la matrice des coefficients d'un modéle linéaire multivarié (RePEc:adr:anecst:y:1993:i:32:p:81-111)
  by Christian Gouriéroux & Alain Monfort & Eric Renault
• Diffusion Processes with Polynomial Eigenfunctions (RePEc:adr:anecst:y:2007:i:85:p:115-130)
  by Christian Gouriéroux & Eric Renault & Pascale Valery
• Indirect Inference With(Out) Constraints (RePEc:arx:papers:1607.06163)
  by David T. Frazier & Eric Renault
• The Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order Moments (RePEc:bca:bocawp:05-2)
  by Fousseni Chabi-Yo & René Garcia & Eric Renault
• State Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle (RePEc:bca:bocawp:05-9)
  by Fousseni Chabi-Yo & René Garcia & Eric Renault
• Implications of Asymmetry Risk for Portfolio Analysis and Asset Pricing (RePEc:bca:bocawp:07-47)
  by Fousseni Chabi-Yo & Dietmar Leisen & Eric Renault
• On Portfolio Separation Theorems with Heterogeneous Beliefs and Attitudes towards Risk (RePEc:bca:bocawp:08-16)
  by Fousseni Chabi-Yo & Eric Ghysels & Eric Renault
• Statistical Inference for Random-Variance Option Pricing (RePEc:bes:jnlbes:v:18:y:2000:i:3:p:358-67)
  by Pastorello, Sergio & Renault, Eric & Touzi, Nizar
• Iterative and Recursive Estimation in Structural Nonadaptive Models (RePEc:bes:jnlbes:v:21:y:2003:i:4:p:449-82)
  by Pastorello, Sergio & Patilea, Valentin & Renault, Eric
• Iterative and Recursive Estimation in Structural Nonadaptive Models: Rejoinder (RePEc:bes:jnlbes:v:21:y:2003:i:4:p:503-09)
  by Pastorello, Sergio & Patilea, Valentin & Renault, Eric
• Option Hedging And Implied Volatilities In A Stochastic Volatility Model1 (RePEc:bla:mathfi:v:6:y:1996:i:3:p:279-302)
  by Eric Renault & Nizar Touzi
• A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models (RePEc:bla:mathfi:v:8:y:1998:i:2:p:153-161)
  by René Garcia & Èric Renault
• Long memory in continuous‐time stochastic volatility models (RePEc:bla:mathfi:v:8:y:1998:i:4:p:291-323)
  by Fabienne Comte & Eric Renault
• Semi-Parametric Indirect Inference (RePEc:cep:stiecm:392)
  by Ramdan Dridi & Eric Renault
• Efficient Derivative Pricing By The Extended Method of Moments (RePEc:chf:rpseri:rp1007)
  by Patrick GAGLIARDINI & Christian GOURIEROUX & Eric RENAULT
• Temporal Aggregation of Volatility Models (RePEc:cir:cirwor:2000s-22)
  by Nour Meddahi & Eric Renault
• Asymmetric Smiles, Leverage Effects and Structural Parameters (RePEc:cir:cirwor:2001s-01)
  by René Garcia & Richard Luger & Eric Renault
• Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note : Nouvelle version Février 2002) (RePEc:cir:cirwor:2001s-02)
  by René Garcia & Richard Luger & Eric Renault
• Risque de modèle de volatilité (RePEc:cir:cirwor:2001s-06)
  by Ali Alami & Eric Renault
• Iterative and Recursive Estimation in Structural Non-Adaptive Models (RePEc:cir:cirwor:2003s-08)
  by Sergio Pastorello & Valentin Patilea & Eric Renault
• Disentangling Risk Aversion and Intertemporal Substitution Through a Reference Level (RePEc:cir:cirwor:2003s-12)
  by René Garcia & Eric Renault & Andrei Semenov
• Short Run and Long Run Causality in Time Series: Inference (RePEc:cir:cirwor:2003s-61)
  by Jean-Marie Dufour & Denis Pelletier & Eric Renault
• The Econometrics of Option Pricing (RePEc:cir:cirwor:2004s-04)
  by René Garcia & Eric Ghysels & Eric Renault
• On the Efficient Use of the Informational Content of Estimating Equations: Implied Probabilities and Euclidean Empirical Likelihood (RePEc:cir:cirwor:2004s-18)
  by Hélène Bonnal & Eric Renault
• Conditionally Heteroskedastic Factor Models: Identification and Instrumental Variables Estimation (RePEc:cir:cirwor:2004s-37)
  by Catherine Doz & Eric Renault
• Testing for Common GARCH Factors (RePEc:cir:cirwor:2012s-34)
  by Prosper Dovonon & Eric Renault
• Indirect Inference with Endogenously Missing Exogenous Variables (RePEc:cir:cirwor:2016s-15)
  by Saraswata Chaudhuriy & David T. Frazierz & Eric Renault
• Efficient Two-Step Estimation via Targeting (RePEc:cir:cirwor:2016s-16)
  by David T. Frazierz & Eric Renault
• Stochastic Volatility (RePEc:cir:cirwor:95s-49)
  by Eric Ghysels & Andrew Harvey & Eric Renault
• A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models (RePEc:cir:cirwor:97s-13)
  by René Garcia & Eric Renault
• Nonparametric Methods and Option Pricing (RePEc:cir:cirwor:97s-19)
  by Eric Ghysels & Valentin Patilea & Eric Renault & Olivier Torrès
• Risk Aversion, Intertemporal Substitution, and Option Pricing (RePEc:cir:cirwor:98s-02)
  by René Garcia & Eric Renault
• Quadratic M-Estimators for ARCH-Type Processes (RePEc:cir:cirwor:98s-29)
  by Nour Meddahi & Eric Renault
• Latent Variable Models for Stochastic Discount Factors (RePEc:cir:cirwor:99s-47)
  by René Garcia & Eric Renault
• Viewpoint: Option prices, preferences, and state variables (RePEc:cje:issued:v:38:y:2005:i:1:p:1-27)
  by René Garcia & Richard Luger & Éric Renault
• Stochastic Volatility (RePEc:cor:louvco:1995069)
  by GHYSELS, Eric & HARVEY, Andrew & RENAULT, Eric
• Nonparametric methods and option pricing (RePEc:cor:louvco:1997075)
  by GHYSELS, Eric & PATILEA, Valentin & RENAULT, Eric & TORRES, Olivier
• Continuously updated extremum estimators (RePEc:cor:louvco:1997076)
  by PATILEA, Valentin & RENAULT, Eric
• Estimation of stable distributions by indirect inference (RePEc:cor:louvco:2006112)
  by GARCIA, René & RENAULT, Eric & VEREDAS, David
• Simulated residuals (RePEc:cpm:cepmap:8502)
  by Gourieroux Christian & Monfort Alain & Renault E & Trognon A
• Testing unknown linear restrictions on parameter functions (RePEc:cpm:cepmap:8516)
  by Gourieroux Christian & Monfort Alain & Renault E
• Consistent m-estimators in a semi-parametric model (RePEc:cpm:cepmap:8720)
  by Gourieroux Christian & Monfort Alain & Renault Eric
• Two stages generalized moment method with applications to regressions with heteroscedasticity of unkwnown form (RePEc:cpm:cepmap:9110)
  by Gourieroux Christian & Monfort Alain & Renault E
• Nonparametric Instrumental Regression (RePEc:crs:wpaper:2000-17)
  by Serge Darolles & Jean-Pierre Florens & Eric Renault
• Latent Variable Models for Stochastic Discount (RePEc:crs:wpaper:2000-19)
  by René Garcia & Eric Renault
• Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (RePEc:crs:wpaper:2000-56)
  by René Garcia & Richard Luger & Eric Renault
• Asymmetric Smiles, Leverage Effects and Structural Parameters (RePEc:crs:wpaper:2000-57)
  by René Garcia & Richard Luger & Eric Renault
• Efficient Derivative Pricing by Extended Method of Moments (RePEc:crs:wpaper:2004-30)
  by Patrick Gagliardini & Christian Gourieroux & Eric Renault
• Efficient Derivative Pricing by Extended Method of Moments (RePEc:crs:wpaper:2005-40)
  by Patrick Gagliardini & Christian Gourieroux & Eric Renault
• Statistical Inference for Random Variance Option Pricing (RePEc:crs:wpaper:97-60)
  by S, Pastorello & E, Renault & N, Touzi
• Risk Aversion, Intertemporal Substitution, and Option Pricing (RePEc:crs:wpaper:98-10)
  by René Garcia & Eric Renault
• Symposium on Marshall's Tendencies: 4 Comments on Marshall's Tendencies (RePEc:cup:ecnphi:v:18:y:2002:i:01:p:29-44_00)
  by Renault, Eric
• Noncausality in Continuous Time Models (RePEc:cup:etheor:v:12:y:1996:i:02:p:215-256_00)
  by Comte, F. & Renault, E.
• Testing For Embeddability By Stationary Reversible Continuous-Time Markov Processes (RePEc:cup:etheor:v:14:y:1998:i:06:p:744-769_14)
  by Florens, Jean-Pierre & Renault, Eric & Touzi, Nizar
• Realized Volatility When Sampling Times Are Possibly Endogenous (RePEc:cup:etheor:v:30:y:2014:i:03:p:580-605_00)
  by Li, Yingying & Mykland, Per A. & Renault, Eric & Zhang, Lan & Zheng, Xinghua
• Temporal Aggregation and Tests of Arbitrage Pricing Theory (RePEc:del:abcdef:90-01)
  by El Babsiri, M. & Renault, E.
• Testing for Common Roots (RePEc:ecm:emetrp:v:57:y:1989:i:1:p:171-85)
  by Gourieroux, Christian & Monfort, Alan & Renault, Eric
• Short Run and Long Run Causality in Time Series: Theory (RePEc:ecm:emetrp:v:66:y:1998:i:5:p:1099-1126)
  by Jean-Marie Dufour & Eric Renault
• Efficient Derivative Pricing by the Extended Method of Moments (RePEc:ecm:emetrp:v:79:y:2011:i:4:p:1181-1232)
  by P. Gagliardini & C. Gourieroux & E. Renault
• Nonparametric Instrumental Regression (RePEc:ecm:emetrp:v:79:y:2011:i:5:p:1541-1565)
  by S. Darolles & Y. Fan & J. P. Florens & E. Renault
• Testing for Common Conditionally Heteroskedastic Factors (RePEc:ecm:emetrp:v:81:y:2013:i:6:p:2561-2586)
  by Prosper Dovonon & Eric Renault
• Efficient GMM with nearly-weak instruments (RePEc:ect:emjrnl:v:12:y:2009:i:s1:p:s135-s171)
  by Bertille Antoine & Eric Renault
• Linear Inverse Problems in Structural Econometrics Estimation Based on Spectral Decomposition and Regularization (RePEc:eee:ecochp:6b-77)
  by Carrasco, Marine & Florens, Jean-Pierre & Renault, Eric
• GARCH and irregularly spaced data (RePEc:eee:ecolet:v:90:y:2006:i:2:p:200-204)
  by Meddahi, Nour & Renault, Eric & Werker, Bas
• Empirical assessment of an intertemporal option pricing model with latent variables (RePEc:eee:econom:v:116:y:2003:i:1-2:p:49-83)
  by Garcia, Rene & Luger, Richard & Renault, Eric
• Dynamic factor models (RePEc:eee:econom:v:119:y:2004:i:2:p:223-230)
  by Croux, Christophe & Renault, Eric & Werker, Bas
• Temporal aggregation of volatility models (RePEc:eee:econom:v:119:y:2004:i:2:p:355-379)
  by Meddahi, Nour & Renault, Eric
• Short run and long run causality in time series: inference (RePEc:eee:econom:v:132:y:2006:i:2:p:337-362)
  by Dufour, Jean-Marie & Pelletier, Denis & Renault, Eric
• Indirect inference and calibration of dynamic stochastic general equilibrium models (RePEc:eee:econom:v:136:y:2007:i:2:p:397-430)
  by Dridi, Ramdan & Guay, Alain & Renault, Eric
• On the efficient use of the informational content of estimating equations: Implied probabilities and Euclidean empirical likelihood (RePEc:eee:econom:v:138:y:2007:i:2:p:461-487)
  by Antoine, Bertille & Bonnal, Helene & Renault, Eric
• Estimation of objective and risk-neutral distributions based on moments of integrated volatility (RePEc:eee:econom:v:160:y:2011:i:1:p:22-32)
  by Garcia, René & Lewis, Marc-André & Pastorello, Sergio & Renault, Éric
• Causality effects in return volatility measures with random times (RePEc:eee:econom:v:160:y:2011:i:1:p:272-279)
  by Renault, Eric & Werker, Bas J.M.
• Estimation of stable distributions by indirect inference (RePEc:eee:econom:v:161:y:2011:i:2:p:325-337)
  by Garcia, René & Renault, Eric & Veredas, David
• Efficient minimum distance estimation with multiple rates of convergence (RePEc:eee:econom:v:170:y:2012:i:2:p:350-367)
  by Antoine, Bertille & Renault, Eric
• The dynamic mixed hitting-time model for multiple transaction prices and times (RePEc:eee:econom:v:180:y:2014:i:2:p:233-250)
  by Renault, Eric & van der Heijden, Thijs & Werker, Bas J.M.
• Simulated residuals (RePEc:eee:econom:v:34:y:1987:i:1-2:p:201-252)
  by Gourieroux, Christian & Monfort, Alain & Renault, Eric & Trognon, Alain
• Generalised residuals (RePEc:eee:econom:v:34:y:1987:i:1-2:p:5-32)
  by Gourieroux, Christian & Monfort, Alain & Renault, Eric & Trognon, Alain
• Long memory continuous time models (RePEc:eee:econom:v:73:y:1996:i:1:p:101-149)
  by Comte, F. & Renault, E.
• Econometric methods for derivative securities and risk management (RePEc:eee:econom:v:94:y:2000:i:1-2:p:1-7)
  by Garcia, R. & Ghysels, E. & Renault, E.
• Testing for spurious causality in exchange rates (RePEc:eee:empfin:v:5:y:1998:i:1:p:47-66)
  by Renault, Eric & Sekkat, Khalid & Szafarz, Ariane
• Disentangling risk aversion and intertemporal substitution through a reference level (RePEc:eee:finlet:v:3:y:2006:i:3:p:181-193)
  by Garcia, Rene & Renault, Eric & Semenov, Andrei
• Aggregation of preferences for skewed asset returns (RePEc:eee:jetheo:v:154:y:2014:i:c:p:453-489)
  by Chabi-Yo, Fousseni & Leisen, Dietmar P.J. & Renault, Eric
• Causality and separability (RePEc:eee:stapro:v:99:y:2015:i:c:p:1-5)
  by Renault, Eric & Triacca, Umberto
• Semi-parametric indirect inference (RePEc:ehl:lserod:6864)
  by Dridi, Ramdan & Renault, Eric
• Conditionaly Heteroskedastic Factor Models : Identificationand Instrumental variables Estmation (RePEc:ema:worpap:2004-13)
  by Catherine Doz & Eric Renault
• Indirect Inference (RePEc:fth:gremaq:92.279)
  by Gourieroux, C. & Monfort, A. & Renault, E.
• Causalites a court et a long terme dans les modeles VAR et ARIMA multivaries (RePEc:fth:gremaq:92.286)
  by Dufour, J.M. & Renault, E.
• Option Hedging and Implicit Volatilities (RePEc:fth:gremaq:93.297)
  by Renault, E. & Touzi, N.
• Option Hedging and Implicit Volatilities. Non Causality in Continuous Time Varma Models (RePEc:fth:gremaq:93.298)
  by Renault, E. & Comte, F.
• Stochastic Volatility (RePEc:fth:gremaq:95.400)
  by Ghysels, E. & Harvey, A. & Renault, E.
• Statistical Inference for Random Variance Option Pricing (RePEc:fth:gremaq:95.403)
  by Pastorello, S. & Renault, E. & Touzi, N.
• Long Memory in Continuous Time Stochastic Volatility Models (RePEc:fth:gremaq:96.406)
  by Comte, F. & Renault, E.
• Econometric Models of Option Pricing Errors (RePEc:fth:gremaq:96.407)
  by Renault, E.
• Calibrarion By Simulation for Small Sample Bias Correction (RePEc:fth:gremaq:96.428)
  by Gourieroux, C. & Renault, E. & Touzi, N.
• Aggregations and Marginalization of Garch and Stochastic Volatility Models (RePEc:fth:gremaq:96.433)
  by Meddahi, N & Renault, E.
• True Versus Spurious Instantaneous Causality (RePEc:fth:ulbeme:9103)
  by Renault, E. & Szafarz, A.
• Nonparametric Instrumental Regression (RePEc:hal:journl:halshs-00677716)
  by Serge Darolles & Jean-Pierre Florens & Yanqin Fan & Eric Renault
• Non Parametric Instrumental Regression (RePEc:ide:wpaper:1034)
  by Darolles, Serge & Fan, Yanqin & Florens, Jean-Pierre & Renault, Eric
• Option Hedging and Implicit Volatilities in a Stochastic Volatility Model (RePEc:ide:wpaper:757)
  by Renault, Eric & Touzi, Nizar
• Proper Conditioning for Coherent VaR in Portfolio Management (RePEc:inm:ormnsc:v:53:y:2007:i:3:p:483-494)
  by René Garcia & Éric Renault & Georges Tsafack
• Indirect Inference (RePEc:jae:japmet:v:8:y:1993:i:s:p:s85-118)
  by Gourieroux, C & Monfort, A & Renault, E
• Affine fractional stochastic volatility models (RePEc:kap:annfin:v:8:y:2012:i:2:p:337-378)
  by F. Comte & L. Coutin & E. Renault
• Estimating scale economies in financial intermediation: a doubly indirect inference (RePEc:kap:jproda:v:41:y:2014:i:3:p:351-365)
  by Mokhtar Kouki & Sang Park & Eric Renault
• Latent Variable Models for Stochastic Discount Factors (RePEc:mtl:montde:2000-01)
  by GARCIA, René & RENAULT, Éric
• Asymmetric Smiles, Leverage Effects and Structural Parameters (RePEc:mtl:montde:2001-09)
  by GARCIA,René & LUGER, Richard & RENAULT, Éric
• Empirical Assessment of an Intertemporal Option Pricing Model with Latent variables (RePEc:mtl:montde:2001-10)
  by GARCIA,René & LUGER, Richard & RENAULT, Éric
• Nonparametric Instrumental Regression (RePEc:mtl:montde:2002-05)
  by DAROLLES, Serge & FLORENS, Jean-Pierre & RENAULT, Éric
• Short run and long run causality in time series: Inference (RePEc:mtl:montde:2003-16)
  by DUFOUR, Jean-Marie & PELLETIER, Denis & RENAULT, Éric
• Short-Run and Long-Rub Causality in Time Series: Theory (RePEc:mtl:montde:9538)
  by Dufour, J.M. & Renault, E.
• Stochastic Volatility (RePEc:mtl:montde:9613)
  by Ghysels, E. & Harvey, A. & Renault, E.
• Risk Aversion, Intertemporal Substitution, and Option Pricing (RePEc:mtl:montde:9801)
  by GARCIA, René & RENAULT, Éric
• Quadratic M-Estimators for ARCH-Type Processes (RePEc:mtl:montde:9814)
  by MEDDAHI, Nour & RENAULT, Éric
• Aggregations and Marginalization of GARCH and Stochastic Volatility Models (RePEc:mtl:montde:9818)
  by MEDDAHI, Nour & RENAULT, Éric
• Short Run and Long Run Causality in Time Series : Inference (RePEc:mtl:montec:14-2003)
  by DUFOUR, Jean-Marie & PELLETIER, Denis & RENAULT, Éric
• Letent Variable Models for Stochastic Discount Factors (RePEc:mtl:montec:2000-01)
  by Garcia, R. & Renault, E.
• Asymmetric Smiles, Leverage Effects and Structural Parameters (RePEc:mtl:montec:2001-09)
  by Garcia, R. & Luger, R. & Renault, E.
• Empirical Assessment of an Intertemporal option Pricing Model with Latent variables (RePEc:mtl:montec:2001-10)
  by Garcia, R. & Luger, R. & Renault, E.
• Causalites a court et a long terme dans les modeles VAR et ARIMA multivaries (RePEc:mtl:montec:9324)
  by Dufour, J.M. & Renault, E.
• Short-Run and Long-Rub Causality in Time Series: Theory (RePEc:mtl:montec:9538)
  by Dufour, J.M. & Renault, E.
• Stochastic Volatility (RePEc:mtl:montec:9613)
  by Ghysels, E. & Harvey, A. & Renault, E.
• Risk Aversion, Intertemporal Substitution, and Option Pricing (RePEc:mtl:montec:9801)
  by Garcia, R. & Renault, E.
• Journal of Financial Econometrics (RePEc:oup:jfinec)
  from Oxford University Press as editor
• Editorial Announcement (RePEc:oup:jfinec:v:12:y:2013:i:1:p:1-2)
  by Eric Ghysels & Eric Renault
• The JFEC Invited Lecture at the 2009 SoFiE Conference (RePEc:oup:jfinec:v:9:y:2011:i:1:p:1-2)
  by René Garcia, Eric Ghysels and Eric Renault
• State Dependence Can Explain the Risk Aversion Puzzle (RePEc:oup:rfinst:v:21:y:2008:i:2:p:973-1011)
  by Fousseni Chabi-Yo & René Garcia & Eric Renault
• Testing for Common GARCH Factors (RePEc:pra:mprapa:40224)
  by Dovonon, Prosper & Renault, Eric
• Les techniques quantitatives de la gestion de portefeuille (RePEc:ris:actuec:v:73:y:1997:i:1:p:265-310)
  by Renault, Éric & Rochet, Jean-Charles
• Efficient Minimum Distance Estimation with Multiple Rates of Convergence (RePEc:sfu:sfudps:dp12-03)
  by Bertille Antoine & Eric Renault
• Efficient Inference with Poor Instruments: a General Framework (RePEc:sfu:sfudps:dp12-04)
  by Bertille Antoine & Eric Renault
• Testing Identification Strength (RePEc:sfu:sfudps:dp12-17)
  by Bertille Antoine & Eric Renault
• On the relevance of weaker instruments (RePEc:sfu:sfudps:dp14-04)
  by Bertille Antoine & Eric Renault
• Factor Stochastic Volatility in Mean Models: A GMM Approach (RePEc:taf:emetrv:v:25:y:2006:i:2-3:p:275-309)
  by Catherine Doz & Eric Renault
• Shrinkage of Variance for Minimum Distance Based Tests (RePEc:taf:emetrv:v:34:y:2015:i:3:p:328-351)
  by Saraswata Chaudhuri & Eric Renault
• Stochatic Volatility Models with Transaction Time Risk (RePEc:tiu:tiucen:06337eb0-e3eb-4d91-baeb-d05af7410b36)
  by Renault, E. & Werker, B.J.M.
• GARCH and Irregularly Spaced Data (RePEc:tiu:tiucen:cde7c8bd-37ac-4692-836c-c73b60a900a0)
  by Meddahi, N. & Renault, E. & Werker, B.J.M.
• Estimation of stable distributions with indirect inference (RePEc:ulb:ulbeco:2013/136186)
  by Rene Garcia & Eric Renault & David Veredas
• Latest developments in heavy-tailed distributions (RePEc:ulb:ulbeco:2013/136284)
  by Marc Paolella & Eric Renault & Gennady Samorodnitsky & David Veredas
• Testing for Spurious Causality in Exchange Rates (RePEc:ulb:ulbeco:2013/709)
  by Eric Renault & Khalid Sekkat & Ariane Szafarz
• Efficient Derivative Pricing by Extended Method of Moments (RePEc:usg:dp2005:2005-05)
  by Patrick Gagliardini & C. Gourieroux & E. Renault
• Maximization by parts in extremum estimation (RePEc:wly:emjrnl:v:18:y:2015:i:2:p:147-171)
  by Yanqin Fan & Sergio Pastorello & Eric Renault
• Recursive Utility, Precautionary Saving and the Demand for Insurance (RePEc:wop:riskar:019)
  by GOLLIER, Christian & Eric RENAULT & Jean-Charles ROCHET