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Eric Michel Renault : Citation Profile


Are you Eric Michel Renault?

Brown University

20

H index

34

i10 index

2307

Citations

RESEARCH PRODUCTION:

52

Articles

85

Papers

1

Chapters

EDITOR:

1

Series edited

RESEARCH ACTIVITY:

   30 years (1987 - 2017). See details.
   Cites by year: 76
   Journals where Eric Michel Renault has often published
   Relations with other researchers
   Recent citing documents: 132.    Total self citations: 47 (2 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pre313
   Updated: 2018-02-24    RAS profile: 2016-11-16    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Antoine, Bertille (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Eric Michel Renault.

Is cited by:

Shephard, Neil (81)

Minford, A. Patrick (53)

Andersen, Torben (50)

Barndorff-Nielsen, Ole (47)

Bollerslev, Tim (40)

Ghysels, Eric (36)

Meenagh, David (35)

Meddahi, Nour (28)

Diebold, Francis (25)

Calzolari, Giorgio (23)

Sentana, Enrique (22)

Cites to:

Engle, Robert (62)

Hansen, Lars (54)

Bollerslev, Tim (44)

Garcia, René (39)

Sentana, Enrique (36)

Ghysels, Eric (34)

Drost, Feike C. (34)

gourieroux, christian (27)

Harvey, Andrew (25)

Meddahi, Nour (23)

Diebold, Francis (23)

Main data


Where Eric Michel Renault has published?


Journals with more than one article published# docs
Journal of Econometrics15
Econometrica5
Econometric Theory4
Journal of Business & Economic Statistics3
Annals of Economics and Statistics3
Mathematical Finance3
Journal of Financial Econometrics2
Econometric Reviews2

Working Papers Series with more than one paper published# docs
Working Papers / Center for Research in Economics and Statistics8
Staff Working Papers / Bank of Canada4
Discussion Papers / Department of Economics, Simon Fraser University4
ULB Institutional Repository / ULB -- Universite Libre de Bruxelles3
IDEI Working Papers / Institut d'conomie Industrielle (IDEI), Toulouse2

Recent works citing Eric Michel Renault (2018 and 2017)


YearTitle of citing document
2017A Non-Structural Investigation of VIX Risk Neutral Density. (2017). Violante, Francesco ; Santucci de Magistris, Paolo ; Barletta, Andrea . In: CREATES Research Papers. RePEc:aah:create:2017-15.

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2017Decoupling the short- and long-term behavior of stochastic volatility. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger. In: CREATES Research Papers. RePEc:aah:create:2017-26.

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2017Shapes of implied volatility with positive mass at zero. (2017). Jacquier, Antoine ; de Marco, Stefano ; Hillairet, Caroline . In: Papers. RePEc:arx:papers:1310.1020.

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2017Asymptotic behaviour of the fractional Heston model. (2017). Jacquier, Antoine ; Roome, Patrick ; Guennoun, Hamza . In: Papers. RePEc:arx:papers:1411.7653.

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2017The ABC of Simulation Estimation with Auxiliary Statistics. (2017). Ng, Serena ; Forneron, Jean-Jacques . In: Papers. RePEc:arx:papers:1501.01265.

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2017The asymptotic smile of a multiscaling stochastic volatility model. (2017). Caravenna, Francesco ; Corbetta, Jacopo. In: Papers. RePEc:arx:papers:1501.03387.

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2017Extreme-Strike Asymptotics for General Gaussian Stochastic Volatility Models. (2017). Gulisashvili, Archil ; Zhang, Xin ; Viens, Frederi . In: Papers. RePEc:arx:papers:1502.05442.

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2017Black-Scholes in a CEV random environment. (2017). Jacquier, Antoine ; Roome, Patrick. In: Papers. RePEc:arx:papers:1503.08082.

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2017Measuring the frequency dynamics of financial connectedness and systemic risk. (2017). Krehlik, Tomas ; Baruník, Jozef. In: Papers. RePEc:arx:papers:1507.01729.

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2017Correction to Black-Scholes formula due to fractional stochastic volatility. (2017). Garnier, Josselin ; Solna, Knut . In: Papers. RePEc:arx:papers:1509.01175.

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2017Local Parametric Estimation in High Frequency Data. (2017). Potiron, Yoann. In: Papers. RePEc:arx:papers:1603.05700.

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2017Statistical inference for the doubly stochastic self-exciting process. (2017). Potiron, Yoann ; Clinet, Simon . In: Papers. RePEc:arx:papers:1607.05831.

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2017On optimal investment with processes of long or negative memory. (2017). Chau, Huy N ; Rasonyi, Miklos . In: Papers. RePEc:arx:papers:1608.00768.

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2017Semiparametric inference on the fractal index of Gaussian and conditionally Gaussian time series data. (2017). Bennedsen, Mikkel . In: Papers. RePEc:arx:papers:1608.01895.

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2017Decoupling the short- and long-term behavior of stochastic volatility. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger. In: Papers. RePEc:arx:papers:1610.00332.

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2017Generalized Random Forests. (2017). Athey, Susan ; Wager, Stefan ; Tibshirani, Julie . In: Papers. RePEc:arx:papers:1610.01271.

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2017Efficient asymptotic variance reduction when estimating volatility in high frequency data. (2017). Potiron, Yoann ; Clinet, Simon . In: Papers. RePEc:arx:papers:1701.01185.

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2017On VIX Futures in the rough Bergomi model. (2017). Jacquier, Antoine ; Muguruza, Aitor ; Martini, Claude. In: Papers. RePEc:arx:papers:1701.04260.

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2017Probability density of lognormal fractional SABR model. (2017). Akahori, Jiro ; Wang, Tai-Ho ; Song, Xiaoming. In: Papers. RePEc:arx:papers:1702.08081.

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2017Derivative-Based Optimization with a Non-Smooth Simulated Criterion. (2017). Frazier, David T ; Zhu, Dan . In: Papers. RePEc:arx:papers:1708.02365.

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2018Large deviation principle for Volterra type fractional stochastic volatility models. (2017). Gulisashvili, Archil. In: Papers. RePEc:arx:papers:1710.10711.

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2017Macroeconomics and FinTech: Uncovering Latent Macroeconomic Effects on Peer-to-Peer Lending. (2017). Foo, Jessica ; Wong, Ken Sze-Wai ; Lim, Lek-Heng . In: Papers. RePEc:arx:papers:1710.11283.

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2017Fractional Brownian motion with zero Hurst parameter: a rough volatility viewpoint. (2017). Neuman, Eyal ; Rosenbaum, Mathieu. In: Papers. RePEc:arx:papers:1711.00427.

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2017Functional central limit theorems for rough volatility. (2017). Jacquier, Antoine ; Muguruza, Aitor ; Horvath, Blanka. In: Papers. RePEc:arx:papers:1711.03078.

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2017Uniform Inference for Conditional Factor Models with Instrumental and Idiosyncratic Betas. (2017). Yang, Xiye ; Liao, Yuan. In: Papers. RePEc:arx:papers:1711.04392.

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2017Generalised empirical likelihood-based kernel density estimation. (2017). Oryshchenko, Vitaliy ; Smith, Richard J. In: Papers. RePEc:arx:papers:1711.04793.

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2017Option pricing for Informed Traders. (2017). Stoyanov, Stoyan V ; Fabozzi, Frank J ; Rachev, Svetlozar T ; Kim, Yong Shin. In: Papers. RePEc:arx:papers:1711.09445.

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2017Estimation for high-frequency data under parametric market microstructure noise. (2017). Clinet, Simon ; Potiron, Yoann . In: Papers. RePEc:arx:papers:1712.01479.

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2017Some Large Sample Results for the Method of Regularized Estimators. (2017). Jansson, Michael ; Pouzo, Demian. In: Papers. RePEc:arx:papers:1712.07248.

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2017Pairwise trading in the money market during the European sovereign debt crisis. (2017). Rainone, Edoardo . In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1160_17.

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2017A Multivariate Stochastic Volatility Model Applied to a Panel of S&P500 Stocks in Different Industries. (2017). Stengos, Thanasis ; Ozturk, Serda S. In: International Review of Finance. RePEc:bla:irvfin:v:17:y:2017:i:3:p:479-490.

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2017Graphical Modeling for Multivariate Hawkes Processes with Nonparametric Link Functions. (2017). Rao, Tata Subba ; Dueck, Johannes ; Dahlhaus, Rainer ; Eichler, Michael ; Wilson, Granville Tunnicliffe . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:2:p:225-242.

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2017Time-Varying Transition Probabilities for Markov Regime Switching Models. (2017). Lucas, Andre ; Blasques, Francisco ; Koopman, Siem Jan ; Bazzi, Marco . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:3:p:458-478.

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2017Uncertainty across volatility regimes. (2017). Fanelli, Luca ; Caggiano, Giovanni ; Bacchiocchi, Emanuele ; Angelini, Giovanni. In: Research Discussion Papers. RePEc:bof:bofrdp:2017_035.

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2017Cross-Validation Selection of Regularization Parameter(s) for Semiparametric Transformation Models. (2017). Stouli, Sami ; Sokullu, Senay. In: Bristol Economics Discussion Papers. RePEc:bri:uobdis:16/672.

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2017Resolving the Public Sector Wage Premium Puzzle by Indirect Inference. (2017). Zhou, Peng ; Minford, A. Patrick ; Wang, YI. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2017/13.

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2017Uncertainty Across Volatility Regimes. (2018). Angelini, Giovanni ; Fanelli, Luca ; Caggiano, Giovanni ; Bacchiocchi, Emanuele . In: CESifo Working Paper Series. RePEc:ces:ceswps:_6799.

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2017Estimating the Hurst parameter from short term volatility swaps. (2017). Als, Elisa ; Shiraya, Kenichiro. In: CARF F-Series. RePEc:cfi:fseres:cf407.

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2017Regression Discontinuity Design with Continuous Measurement Error in the Running Variable. (2017). Le Barbanchon, Thomas ; Davezies, Laurent . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11775.

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2017Shapes of implied volatility with positive mass at zero. (2017). de Marco, Stefano ; Jacquier, Antoine ; Hillairet, Caroline . In: Working Papers. RePEc:crs:wpaper:2017-77.

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2017Modelling Realized Volatility in Electricity Spot Prices: New insights and Application to the Japanese Electricity Market. (2017). Zarraga, Ainhoa ; Ciarreta, Aitor ; Muniainy, Peru . In: ISER Discussion Paper. RePEc:dpr:wpaper:0991.

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2017A novel method for estimating the common signals for consensus across multiple ranked lists. (2017). Vendova, Vendula ; Schimek, Michael G. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:115:y:2017:i:c:p:122-135.

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2017Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data. (2017). Lee, Kyungsub ; Ki, Byoung . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:79:y:2017:i:c:p:154-183.

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2017Impulse response matching estimators for DSGE models. (2017). Kilian, Lutz ; Guerron, Pablo ; Inoue, Atsushi ; Guerron-Quintana, Pablo . In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:1:p:144-155.

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2017Inference in semiparametric conditional moment models with partial identification. (2017). Hong, Shengjie . In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:1:p:156-179.

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2017A multivariate stochastic unit root model with an application to derivative pricing. (2017). Phillips, Peter ; PEter, ; Lieberman, Offer. In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:1:p:99-110.

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2017Estimation of integrated quadratic covariation with endogenous sampling times. (2017). Potiron, Yoann ; Mykland, Per A. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:1:p:20-41.

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2017Examples of L2-complete and boundedly-complete distributions. (2017). , Donald. In: Journal of Econometrics. RePEc:eee:econom:v:199:y:2017:i:2:p:213-220.

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2017Injectivity of a class of integral operators with compactly supported kernels. (2017). Schennach, Susanne ; Shiu, Ji-Liang ; Hu, Yingyao. In: Journal of Econometrics. RePEc:eee:econom:v:200:y:2017:i:1:p:48-58.

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2017Simulated minimum distance estimation of dynamic models with errors-in-variables. (2017). Ng, Serena ; Gospodinov, Nikolay ; Komunjer, Ivana . In: Journal of Econometrics. RePEc:eee:econom:v:200:y:2017:i:2:p:181-193.

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2017Regression discontinuity design with continuous measurement error in the running variable. (2017). Le Barbanchon, Thomas ; Davezies, Laurent . In: Journal of Econometrics. RePEc:eee:econom:v:200:y:2017:i:2:p:260-281.

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2017Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading. (2017). Xiu, Dacheng ; Shephard, Neil. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:1:p:19-42.

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2017Bootstrapping the GMM overidentification test under first-order underidentification. (2017). Gonalves, Silvia ; Dovonon, Prosper . In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:1:p:43-71.

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2017Direct instrumental nonparametric estimation of inverse regression functions. (2017). Krief, Jerome M. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:1:p:95-107.

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2017Efficient two-step estimation via targeting. (2017). Renault, Eric ; Frazier, David T. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:212-227.

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2017Functional linear regression with functional response. (2017). Benatia, David ; FLORENS, Jean-Pierre ; Carrasco, Marine . In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:269-291.

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2017Using principal component analysis to estimate a high dimensional factor model with high-frequency data. (2017). Xiu, Dacheng ; Ait-Sahalia, Yacine. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:384-399.

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2017Mixed-scale jump regressions with bootstrap inference. (2017). Chen, Rui ; Li, Jia ; Todorov, Viktor ; Tauchen, George. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:417-432.

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2018Exponentially tilted likelihood inference on growing dimensional unconditional moment models. (2018). Tang, Niansheng ; Zhao, Puying ; Yan, Xiaodong. In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:1:p:57-74.

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2018Estimation and forecasting in vector autoregressive moving average models for rich datasets. (2018). Dias, Gustavo Fruet ; Kapetanios, George. In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:1:p:75-91.

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2017Neural nets for indirect inference. (2017). Creel, Michael . In: Econometrics and Statistics. RePEc:eee:ecosta:v:2:y:2017:i:c:p:36-49.

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2017Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios. (2017). Nguyen, Duc Khuong ; Berger, Theo ; Hernandez, Jose Arreola . In: European Journal of Operational Research. RePEc:eee:ejores:v:259:y:2017:i:3:p:1121-1131.

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2017Electricity forward curves with thin granularity: Theory and empirical evidence in the hourly EPEXspot market. (2017). Caldana, Ruggero ; Roncoroni, Andrea ; Fusai, Gianluca. In: European Journal of Operational Research. RePEc:eee:ejores:v:261:y:2017:i:2:p:715-734.

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2017Relation between higher order comoments and dependence structure of equity portfolio. (2017). cerrato, mario ; Zhao, Yang ; Kim, Minjoo ; Crosby, John. In: Journal of Empirical Finance. RePEc:eee:empfin:v:40:y:2017:i:c:p:101-120.

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2017Modeling and predicting oil VIX: Internet search volume versus traditional mariables. (2017). Campos, I ; Reyes, T ; Cortazar, G. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:194-204.

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2017International stock market leadership and its determinants. (2017). Cai, Charlie X ; Zhang, QI ; Mobarek, Asma . In: Journal of Financial Stability. RePEc:eee:finsta:v:33:y:2017:i:c:p:150-162.

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2017Diversification and cash dynamics. (2017). Bakke, Tor-Erik ; Gu, Tiantian . In: Journal of Financial Economics. RePEc:eee:jfinec:v:123:y:2017:i:3:p:580-601.

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2017U.S. multinationals and cash holdings. (2017). Gu, Tiantian . In: Journal of Financial Economics. RePEc:eee:jfinec:v:125:y:2017:i:2:p:344-368.

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2017Monetary policy and bank risk-taking: Evidence from the corporate loan market. (2017). santos, joao ; Paligorova, Teodora . In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:30:y:2017:i:c:p:35-49.

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2017On the conditional effects of IMF program participation on output growth. (2017). Binder, Michael ; Bluhm, Marcel . In: Journal of Macroeconomics. RePEc:eee:jmacro:v:51:y:2017:i:c:p:192-214.

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2017On the class of distributions of subordinated Lévy processes and bases. (2017). Veraart, Almut ; Sauri, Orimar . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:2:p:475-496.

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2017A dynamic network loading model for anisotropic and congested pedestrian flows. (2017). Hanseler, Flurin S ; Lederrey, Gael ; Bierlaire, Michel ; Nikoli, Marija . In: Transportation Research Part B: Methodological. RePEc:eee:transb:v:95:y:2017:i:c:p:149-168.

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2017Nonparametric instrumental regression with errors in variables. (2017). Otsu, Taisuke ; Adusumilli, Karun. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:85871.

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2017The nexus between the oil price and its volatility in a stochastic volatility in mean model with time-varying parameters. (2017). Ozdemir, Zeynel ; Balcilar, Mehmet. In: Working Papers. RePEc:emu:wpaper:15-33.pdf.

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2018The volatility effect on precious metals prices in a stochastic volatility in mean model with time-varying parameters. (2018). Balcilar, Mehmet ; Ozdemir, Zeynel Abidin. In: Working Papers. RePEc:emu:wpaper:15-34.pdf.

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2017Continuous Time Modelling Based on an Exact Discrete Time Representation. (2017). Chambers, Marcus ; Thornton, MA ; McCrorie, JR. In: Economics Discussion Papers. RePEc:esx:essedp:20497.

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2017Subjective Wellbeing and Institutions: The Case of Rural Ethiopia. (2017). Tekleselassie, Tsegay. In: Working Papers. RePEc:etd:wpaper:016.

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2017Regime-switching Stochastic Volatility Model : Estimation and Calibration to VIX options. (2017). Goutte, Stéphane ; Pham, Huyen ; Ismail, Amine . In: Working Papers. RePEc:hal:wpaper:hal-01212018.

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2017Rare event simulation related to financial risks: efficient estimation and sensitivity analysis. (2017). Agarwal, Ankush ; Liu, Gang ; Gobet, Emmanuel ; de Marco, Stefano . In: Working Papers. RePEc:hal:wpaper:hal-01219616.

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2017Effort or Circumstances: Does the Correlation Matter for Inequality of Opportunity in Health?. (2017). Tubeuf, Sandy ; Trannoy, Alain ; Jusot, Florence . In: Working Papers. RePEc:hal:wpaper:hal-01619887.

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2017The influence function of semiparametric estimators. (2017). Ichimura, Hidehiko ; Newey, Whitney K. In: CeMMAP working papers. RePEc:ifs:cemmap:06/17.

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2017Nonparametric instrumental variable estimation under monotonicity. (2017). Wilhelm, Daniel ; Chetverikov, Denis. In: CeMMAP working papers. RePEc:ifs:cemmap:14/17.

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2017Nonparametric instrumental variable estimation. (2017). Wilhelm, Daniel ; Kim, Dongwoo ; Chetverikov, Denis. In: CeMMAP working papers. RePEc:ifs:cemmap:47/17.

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2017Parameterising a detailed dynamic programming model of savings and labour supply using cross-sectional data. (2017). van De, Justin W. In: International Journal of Microsimulation. RePEc:ijm:journl:v109:y:2017:i:1:p:135-166.

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2017Parameterising a detailed dynamic programming model of savings and labour supply using cross-sectional data. (2017). van de Ven, Justin. In: International Journal of Microsimulation. RePEc:ijm:journl:v10:y:2017:i:1:p:135-166.

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2017The Inversion of the Spatial Lag Operator in Binary Choice Models: Fast Computation and a Closed Formula Approximation. (2017). Santos, Luis Silveira ; Proena, Isabel . In: Working Papers REM. RePEc:ise:remwps:wp0112017.

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2017Persistent Occupational Hierarchies among Immigrant Worker Groups in the United States Labor Market. (2017). Vella, Francis ; Postepska, Agnieszka . In: IZA Discussion Papers. RePEc:iza:izadps:dp10514.

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2017Regression Discontinuity Design with Continuous Measurement Error in the Running Variable. (2017). Le Barbanchon, Thomas ; Davezies, Laurent . In: IZA Discussion Papers. RePEc:iza:izadps:dp10801.

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2017Indirect Inference with Importance Sampling: An Application to Womens Wage Growth. (2017). Sauer, Robert ; Taber, Christopher . In: IZA Discussion Papers. RePEc:iza:izadps:dp11004.

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2017A Generalized Factor Model with Local Factors. (2017). Freyaldenhoven, Simon. In: 2017 Papers. RePEc:jmp:jm2017:pfr361.

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2017Understanding the Effects of Income and Child Care Subsidies on Childrens Academic Achievement. (2017). Rodriguez, Jorge. In: 2017 Papers. RePEc:jmp:jm2017:pro1077.

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2017Does the Hurst index matter for option prices under fractional volatility?. (2017). Funahashi, Hideharu ; Kijima, Masaaki. In: Annals of Finance. RePEc:kap:annfin:v:13:y:2017:i:1:d:10.1007_s10436-016-0289-1.

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2017The aggregate exports-GDP relation under the prism of infrequent trend breaks and multi-horizon causality. (2017). Konstantakopoulou, Ioanna. In: International Economics and Economic Policy. RePEc:kap:iecepo:v:14:y:2017:i:4:d:10.1007_s10368-016-0355-1.

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2017The affine styled-facts price dynamics for the natural gas: evidence from daily returns and option prices. (2017). Hsu, Chih-Chen ; Chen, Ting-Fu ; Lin, Shih-Kuei . In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:48:y:2017:i:3:d:10.1007_s11156-016-0569-x.

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2017Directed Graphs and Variable Selection in Large Vector Autoregressive Models. (2017). Kascha, Christian ; Bruggemann, Ralf . In: Working Paper Series of the Department of Economics, University of Konstanz. RePEc:knz:dpteco:1706.

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2017The Estimation of Network Formation Games with Positive Spillovers. (2017). Boucher, Vincent. In: Cahiers de recherche. RePEc:lvl:crrecr:1710.

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More than 100 citations found, this list is not complete...

Eric Michel Renault is editor of


Journal
Journal of Financial Econometrics

Works by Eric Michel Renault:


YearTitleTypeCited
1987Kullback Causality Measures In: Annals of Economics and Statistics.
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1993Tests sur le noyau, limage et le rang de la matrice des coefficients dun modéle linéaire multivarié In: Annals of Economics and Statistics.
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2007Diffusion Processes with Polynomial Eigenfunctions In: Annals of Economics and Statistics.
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2016Indirect Inference With(Out) Constraints In: Papers.
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2005The Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order Moments In: Staff Working Papers.
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2005State Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle In: Staff Working Papers.
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2007Implications of Asymmetry Risk for Portfolio Analysis and Asset Pricing In: Staff Working Papers.
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