Eric Michel Renault

Names

Affiliations

Research profile

author of:

• 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:

• Journal of Financial Econometrics
  edited by RenÈ Garcia & Eric Renault