Eric Michel Renault
Names
first: | Eric |
middle: | Michel |
last: | Renault |
Affiliations
Research profile
author of:
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Non Parametric Instrumental Regression
by Darolles, Serge & Fan, Yanqin & Florens, Jean-Pierre & Renault, Eric -
Nonparametric methods and option pricing
by GHYSELS, Eric & PATILEA, Valentin & RENAULT, Eric & TORRES, Olivier -
Quadratic M-Estimators for ARCH-Type Processes
by Nour Meddahi & Éric Renault -
Option Hedging and Implicit Volatilities.
by Renault, E. & Touzi, N. -
Nonparametric Instrumental Regression
by DAROLLES, Serge & FLORENS, Jean-Pierre & RENAULT, Éric -
Proper Conditioning for Coherent VaR in Portfolio Management
by René Garcia & Éric Renault & Georges Tsafack -
Noncausality in Continuous Time Models
by Comte, F. & Renault, E. -
OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL1
by Eric Renault & Nizar Touzi -
Option Hedging and Implicit Volatilities. Non Causality in Continuous Time Varma Models.
by Renault, E. & Comte, F. -
Quadratic M-Estimators for ARCH-Type Processes
by MEDDAHI, Nour & RENAULT, Éric -
Recursive Utility, Precautionary Saving and the Demand for Insurance
by GOLLIER, Christian & Eric RENAULT & Jean-Charles ROCHET -
On Portfolio Separation Theorems with Heterogeneous Beliefs and Attitudes towards Risk
by Fousseni Chabi-Yo & Eric Ghysels & Eric Renault -
Letent Variable Models for Stochastic Discount Factors.
by Garcia, R. & Renault, E. -
Long memory in continuous‐time stochastic volatility models
by Fabienne Comte & Eric Renault -
Long Memory in Continuous Time Stochastic Volatility Models.
by Comte, F. & Renault, E. -
Linear Inverse Problems in Structural Econometrics Estimation Based on Spectral Decomposition and Regularization
by Carrasco, Marine & Florens, Jean-Pierre & Renault, Eric
edited by -
Nonparametric Methods and Option Pricing
by Eric Ghysels & Valentin Patilea & Éric Renault & Olivier Torrès -
Option Hedging and Implicit Volatilities in a Stochastic Volatility Model
by Renault, Eric & Touzi, Nizar -
Risk Aversion, Intertemporal Substitution, and Option Pricing.
by Garcia, R. & Renault, E. -
On the Efficient Use of the Informational Content of Estimating Equations: Implied Probabilities and Euclidean Empirical Likelihood
by Hélène Bonnal & Éric Renault -
Long memory continuous time models
by Comte, F. & Renault, E. -
Risk Aversion, Intertemporal Substitution, and Option Pricing
by GARCIA, René & RENAULT, Éric -
Testing for spurious causality in exchange rates
by Renault, Eric & Sekkat, Khalid & Szafarz, Ariane -
Nonparametric Instrumental Regression
by S. Darolles & Y. Fan & J. P. Florens & E. Renault -
Risque de modèle de volatilité
by Ali Alami & Éric Renault -
TESTING FOR EMBEDDABILITY BY STATIONARY REVERSIBLE CONTINUOUS-TIME MARKOV PROCESSES
by Florens, Jean-Pierre & Renault, Eric & Touzi, Nizar -
Risk Aversion, Intertemporal Substitution, and Option Pricing
by René Garcia & Éric Renault -
Latent Variable Models for Stochastic Discount Factors.
by GARCIA, René & RENAULT, Éric -
Temporal aggregation of volatility models
by Meddahi, Nour & Renault, Eric -
On the efficient use of the informational content of estimating equations: Implied probabilities and Euclidean empirical likelihood
by Antoine, Bertille & Bonnal, Helene & Renault, Eric -
Les techniques quantitatives de la gestion de portefeuille
by Renault, Éric & Rochet, Jean-Charles -
Latent Variable Models for Stochastic Discount Factors
by René Garcia & Éric Renault -
Stochastic Volatility.
by Ghysels, E. & Harvey, A. & Renault, E. -
Stochastic Volatility
by Eric Ghysels & Andrew Harvey & Éric Renault -
Iterative and Recursive Estimation in Structural Nonadaptive Models: Rejoinder.
by Pastorello, Sergio & Patilea, Valentin & Renault, Eric -
The JFEC Invited Lecture at the 2009 SoFiE Conference
by René Garcia, Eric Ghysels and Eric Renault -
Temporal Aggregation and Tests of Arbitrage Pricing Theory.
by EL BABSIRI, M. & RENAULT, E. -
Stochastic Volatility.
by Ghysels, E. & Harvey, A. & Renault, E. -
Iterative and Recursive Estimation in Structural Nonadaptive Models.
by Pastorello, Sergio & Patilea, Valentin & Renault, Eric -
Symposium on Marshall's Tendencies: 4 Comments on Marshall's Tendencies
by Renault, Eric -
Temporal Aggregation of Volatility Models
by Nour Meddahi & Éric Renault -
Testing unknown linear restrictions on parameter functions
by Gourieroux Christian & Monfort Alain & Renault E. -
Iterative and Recursive Estimation in Structural Non-Adaptive Models
by Sergio Pastorello & Valentin Patilea & Éric Renault -
Stochastic Volatility.
by Ghysels, E. & Harvey, A. & Renault, E. -
The Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order Moments
by Fousseni Chabi-Yo & René Garcia & Eric Renault -
Indirect Inference.
by Gourieroux, C. & Monfort, A. & Renault, E. -
Statistical Inference for Random Variance Option Pricing.
by Pastorello, S. & Renault, E. & Touzi, N. -
Viewpoint: Option prices, preferences, and state variables
by René Garcia & Richard Luger & Éric Renault -
Testing for Common Roots.
by Gourieroux, Christian & Monfort, Alan & Renault, Eric -
Indirect Inference.
by Gourieroux, C. & Monfort, A. & Renault, E. -
State Dependence Can Explain the Risk Aversion Puzzle
by Fousseni Chabi-Yo & René Garcia & Eric Renault -
Testing for Spurious Causality in Exchange Rates
by Eric Renault & Khalid Sekkat & Ariane Szafarz -
Indirect inference and calibration of dynamic stochastic general equilibrium models
by Dridi, Ramdan & Guay, Alain & Renault, Eric -
Stochastic Volatility
by GHYSELS, Eric & HARVEY, Andrew & RENAULT, Eric -
Short Run and Long Run Causality in Time Series: Inference
by Jean-Marie Dufour & Denis Pelletier & Éric Renault -
Short Run and Long Run Causality in Time Series : Inference
by DUFOUR, Jean-Marie & PELLETIER, Denis & RENAULT, Éric -
Simulated residuals
by Gourieroux, Christian & Monfort, Alain & Renault, Eric & Trognon, Alain -
Simulated residuals
by Gourieroux Christian & Monfort Alain & Renault E. & Trognon A. -
Statistical Inference for Random-Variance Option Pricing.
by Pastorello, Sergio & Renault, Eric & Touzi, Nizar -
True Versus Spurious Instantaneous Causality.
by Renault, E. & Szafarz, A. -
Implications of Asymmetry Risk for Portfolio Analysis and Asset Pricing
by Fousseni Chabi-Yo & Dietmar Leisen & Eric Renault -
State Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle
by Fousseni Chabi-Yo & René Garcia & Eric Renault -
Short-Run and Long-Rub Causality in Time Series: Theory.
by Dufour, J. M. & Renault, E. -
Short-Run and Long-Rub Causality in Time Series: Theory.
by Dufour, J. M. & Renault, E. -
Two stages generalized moment method with applications to regressions with heteroscedasticity of unkwnown form
by Gourieroux Christian & Monfort Alain & Renault E. -
Short run and long run causality in time series: Inference
by DUFOUR, Jean-Marie & PELLETIER, Denis & RENAULT, Éric -
Asymmetric Smiles, Leverage Effects and Structural Parameters.
by GARCIA, René & LUGER, Richard & RENAULT, Éric -
Asymmetric Smiles, Leverage Effects and Structural Parameters.
by Garcia, R. & Luger, R. & Renault, E. -
Generalised residuals
by Gourieroux, Christian & Monfort, Alain & Renault, Eric & Trognon, Alain -
Short run and long run causality in time series: inference
by Dufour, Jean-Marie & Pelletier, Denis & Renault, Eric -
Short Run and Long Run Causality in Time Series: Theory
by Jean-Marie Dufour & Eric Renault -
Causalites a court et a long terme dans les modeles VAR et ARIMA multivaries.
by Dufour, J. M. & Renault, E. -
Asymmetric Smiles, Leverage Effects and Structural Parameters
by René Garcia & Richard Luger & Éric Renault -
Calibrarion By Simulation for Small Sample Bias Correction.
by Gourieroux, C. & Renault, E. & Touzi, N. -
A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models
by René Garcia & Éric Renault -
GARCH and irregularly spaced data
by Meddahi, Nour & Renault, Eric & Werker, Bas -
Aggregations and Marginalization of Garch and Stochastic Volatility Models.
by Meddahi, N. & Renault, E. -
Continuously updated extremum estimators
by PATILEA, Valentin & RENAULT, Eric -
Empirical assessment of an intertemporal option pricing model with latent variables
by Garcia, Rene & Luger, Richard & Renault, Eric -
Empirical Assessment of an Intertemporal Option Pricing Model with Latent variables
by GARCIA, René & LUGER, Richard & RENAULT, Éric -
Causality effects in return volatility measures with random times
by Renault, Eric & Werker, Bas J. M. -
Efficient Derivative Pricing By The Extended Method of Moments
by Patrick GAGLIARDINI & Christian GOURIEROUX & Eric RENAULT -
Efficient Derivative Pricing by Extended Method of Moments
by Patrick Gagliardini & C. Gourieroux & E. Renault -
Empirical Assessment of an Intertemporal option Pricing Model with Latent variables.
by Garcia, R. & Luger, R. & Renault, E. -
Aggregations and Marginalization of GARCH and Stochastic Volatility Models
by MEDDAHI, Nour & RENAULT, Éric -
Causalites a court et a long terme dans les modeles VAR et ARIMA multivaries.
by Dufour, J. M. & Renault, E. -
Efficient Derivative Pricing by the Extended Method of Moments
by P. Gagliardini & C. Gourieroux & E. Renault -
Efficient GMM with nearly-weak instruments
by Bertille Antoine & Eric Renault -
Estimation of objective and risk-neutral distributions based on moments of integrated volatility
by Garcia, René & Lewis, Marc-André & Pastorello, Sergio & Renault, Éric -
Estimation of stable distributions by indirect inference
by GARCIA, René & RENAULT, Eric & VEREDAS, David -
Conditionaly Heteroskedastic Factor Models : Identificationand Instrumental variables Estmation
by Catherine Doz & Eric Renault -
Factor Stochastic Volatility in Mean Models: A GMM Approach
by Catherine Doz & Eric Renault -
Estimation of stable distributions by indirect inference
by Garcia, René & Renault, Eric & Veredas, David -
Disentangling Risk Aversion and Intertemporal Substitution Through a Reference Level
by René Garcia & Éric Renault & Andrei Semenov -
Disentangling risk aversion and intertemporal substitution through a reference level
by Garcia, Rene & Renault, Eric & Semenov, Andrei -
Consistent m-estimators in a semi-parametric model
by Gourieroux Christian & Monfort Alain & Renault Eric -
Conditionally Heteroskedastic Factor Models: Identification and Instrumental Variables Estimation
by Catherine Doz & Éric Renault -
Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note : Nouvelle version Février 2002)
by René Garcia & Richard Luger & Éric Renault -
Econometric methods for derivative securities and risk management
by Garcia, R. & Ghysels, E. & Renault, E. -
Econometric Models of Option Pricing Errors.
by Renault, E. -
Dynamic factor models
by Croux, Christophe & Renault, Eric & Werker, Bas -
The Econometrics of Option Pricing
by René Garcia & Eric Ghysels & Éric Renault -
Efficient Derivative Pricing by Extended Method of Moments
by Patrick Gagliardini & Christian Gourieroux & Eric Renault -
Asymmetric Smiles, Leverage Effects and Structural Parameters
by René Garcia & Richard Luger & Eric Renault -
Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables
by René Garcia & Richard Luger & Eric Renault -
Risk Aversion, Intertemporal Substitution, and Option Pricing
by René Garcia & Eric Renault -
Nonparametric Instrumental Regression
by Serge Darolles & Jean-Pierre Florens & Eric Renault -
Efficient Derivative Pricing by Extended Method of Moments
by Patrick Gagliardini & Christian Gourieroux & Eric Renault -
Latent Variable Models for Stochastic Discount
by René Garcia & Eric Renault -
Statistical Inference for Random Variance Option Pricing
by S., Pastorello & E., Renault & N., Touzi -
A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models
by René Garcia & Èric Renault -
Testing for Common GARCH Factors
by Dovonon, Prosper & Renault, Eric -
REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS
by Li, Yingying & Mykland, Per A. & Renault, Eric & Zhang, Lan & Zheng, Xinghua -
On the relevance of weaker instruments
by Bertille Antoine & Eric Renault -
Testing for Common GARCH Factors
by Prosper Dovonon & Éric Renault -
Semi-parametric indirect inference
by Dridi, Ramdan & Renault, Eric -
Tests sur le noyau, l'image et le rang de la matrice des coefficients d'un modéle linéaire multivarié
by Christian Gouriéroux & Alain Monfort & Eric Renault -
Maximization by parts in extremum estimation
by Yanqin Fan & Sergio Pastorello & Eric Renault -
Latest developments in heavy-tailed distributions
by Marc Paolella & Eric Renault & Gennady Samorodnitsky & David Veredas -
Nonparametric Instrumental Regression
by Serge Darolles & Jean-Pierre Florens & Yanqin Fan & Eric Renault -
Stochatic Volatility Models with Transaction Time Risk
by Renault, E. & Werker, B. J. M. -
Testing for Common Conditionally Heteroskedastic Factors
by Prosper Dovonon & Eric Renault -
Testing Identification Strength
by Bertille Antoine & Eric Renault -
Efficient Minimum Distance Estimation with Multiple Rates of Convergence
by Bertille Antoine & Eric Renault -
Shrinkage of Variance for Minimum Distance Based Tests
by Saraswata Chaudhuri & Eric Renault -
Causality and separability
by Renault, Eric & Triacca, Umberto -
Affine fractional stochastic volatility models
by F. Comte & L. Coutin & E. Renault -
GARCH and Irregularly Spaced Data
by Meddahi, N. & Renault, E. & Werker, B. J. M. -
Aggregation of preferences for skewed asset returns
by Chabi-Yo, Fousseni & Leisen, Dietmar P. J. & Renault, Eric -
Diffusion Processes with Polynomial Eigenfunctions
by Christian Gouriéroux & Eric Renault & Pascale Valery -
Semi-Parametric Indirect Inference
by Ramdan Dridi & Eric Renault -
Indirect Inference With(Out) Constraints
by David T. Frazier & Eric Renault -
Editorial Announcement
by Eric Ghysels & Eric Renault -
The dynamic mixed hitting-time model for multiple transaction prices and times
by Renault, Eric & van der Heijden, Thijs & Werker, Bas J. M. -
Indirect Inference with Endogenously Missing Exogenous Variables
by Saraswata Chaudhuriy & David T. Frazierz & Éric Renault -
Estimating scale economies in financial intermediation: a doubly indirect inference
by Mokhtar Kouki & Sang Park & Eric Renault -
Estimation of stable distributions with indirect inference
by Rene Garcia & Eric Renault & David Veredas -
Efficient Inference with Poor Instruments: a General Framework
by Bertille Antoine & Eric Renault -
Efficient minimum distance estimation with multiple rates of convergence
by Antoine, Bertille & Renault, Eric -
Efficient Two-Step Estimation via Targeting
by David T. Frazierz & Éric Renault -
Kullback Causality Measures
by Christian Gouriéroux & Alain Monfort & Eric Renault
editor of:
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Journal of Financial Econometrics
edited by RenÈ Garcia & Eric Renault