25
H index
43
i10 index
3289
Citations
Eric Michel Renault : Citation Profile
| RESEARCH PRODUCTION: 51 Articles 88 Papers 1 Chapters EDITOR: Series edited RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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34 years (1985 - 2019). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Eric Michel Renault. | Is cited by:
| Cites to:
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Main data
Where Eric Michel Renault has published?
| Journals with more than one article published | # docs |
|---|---|
| Journal of Econometrics | 15 |
| Econometrica | 5 |
| Journal of Business & Economic Statistics | 3 |
| Mathematical Finance | 3 |
| Econometric Theory | 3 |
| Annals of Economics and Statistics | 3 |
| Econometric Reviews | 2 |
| The Journal of Financial Econometrics | 2 |
Recent works citing Eric Michel Renault (2022 and 2021)
| Year | Title of citing document | |
|---|---|---|
| 2022 | Attention economy and higher-order beliefs in voters’ online attention searches. (2022). Sinha, Paritosh Chandra. In: Theoretical and Applied Economics. RePEc:agr:journl:v:1(630):y:2022:i:1(630):p:187-214. Full description at Econpapers || Download paper | |
| 2021 | Impact of rough stochastic volatility models on long-term life insurance pricing. (2021). Hainaut, Donatien ; Barbarin, Jerome ; Dupret, Jean-Loup. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2021017. Full description at Econpapers || Download paper | |
| 2022 | A mollifier approach to the deconvolution of probability densities. (2022). Vanhems, Anne ; Simar, Leopold ; Marechal, Pierre ; Hohage, Thorsten. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2022011. Full description at Econpapers || Download paper | |
| 2021 | Machine Learning Time Series Regressions With an Application to Nowcasting. (2021). Striaukas, Jonas ; Ghysels, Eric ; Babii, Andrii. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2021004. Full description at Econpapers || Download paper | |
| 2021 | Decoupling the short- and long-term behavior of stochastic volatility. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger. In: Papers. RePEc:arx:papers:1610.00332. Full description at Econpapers || Download paper | |
| 2021 | Asymptotics for rough stochastic volatility models. (2016). Forde, Martin ; Zhang, Hongzhong. In: Papers. RePEc:arx:papers:1610.08878. Full description at Econpapers || Download paper | |
| 2021 | Are unobservables separable?. (2020). FLORENS, Jean-Pierre ; Babii, Andrii. In: Papers. RePEc:arx:papers:1705.01654. Full description at Econpapers || Download paper | |
| 2021 | Is completeness necessary? Estimation in nonidentified linear models. (2020). Babii, Andrii ; FLORENS, Jean-Pierre. In: Papers. RePEc:arx:papers:1709.03473. Full description at Econpapers || Download paper | |
| 2021 | Minimizing Sensitivity to Model Misspecification. (2018). Weidner, Martin ; Bonhomme, Stéphane. In: Papers. RePEc:arx:papers:1807.02161. Full description at Econpapers || Download paper | |
| 2022 | Identification and Estimation of Group-Level Partial Effects. (2018). Nagasawa, Kenichi. In: Papers. RePEc:arx:papers:1811.00667. Full description at Econpapers || Download paper | |
| 2022 | Identification of semiparametric discrete outcome models with bounded covariates. (2018). Kashaev, Nail. In: Papers. RePEc:arx:papers:1811.05555. Full description at Econpapers || Download paper | |
| 2023 | A Sieve-SMM Estimator for Dynamic Models. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1902.01456. Full description at Econpapers || Download paper | |
| 2022 | Detecting Identification Failure in Moment Condition Models. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1907.13093. Full description at Econpapers || Download paper | |
| 2022 | Measuring productivity dispersion: a parametric approach using the L\{e}vy alpha-stable distribution. (2019). Lafond, François ; Farmer, Doyne J ; Koutroumpis, Pantelis ; Winkler, Julian ; Heinrich, Torsten ; Yang, Jangho. In: Papers. RePEc:arx:papers:1910.05219. Full description at Econpapers || Download paper | |
| 2021 | A General Framework for Inference on Shape Restrictions. (2019). Seo, Juwon ; Fang, Zheng. In: Papers. RePEc:arx:papers:1910.07689. Full description at Econpapers || Download paper | |
| 2021 | Invariant measures for fractional stochastic volatility models. (2020). , Mikl'Os ; Gerencs, Bal'Azs. In: Papers. RePEc:arx:papers:2002.04832. Full description at Econpapers || Download paper | |
| 2021 | An extensive study of stylized facts displayed by Bitcoin returns. (2020). Brigatti, E ; Bertella, M A ; Silva, J N ; F. N. M. de Sousa Filho, . In: Papers. RePEc:arx:papers:2004.05870. Full description at Econpapers || Download paper | |
| 2022 | Large and moderate deviations for stochastic Volterra systems. (2020). Pannier, Alexandre ; Jacquier, Antoine. In: Papers. RePEc:arx:papers:2004.10571. Full description at Econpapers || Download paper | |
| 2021 | Arctic Amplification of Anthropogenic Forcing: A Vector Autoregressive Analysis. (2020). Gobel, Maximilian ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2005.02535. Full description at Econpapers || Download paper | |
| 2022 | Permutation-based tests for discontinuities in event studies. (2020). Li, Jia ; Bugni, Federico A. In: Papers. RePEc:arx:papers:2007.09837. Full description at Econpapers || Download paper | |
| 2022 | Generalisation of Fractional-Cox-Ingersoll-Ross Process. (2020). Mulaudzi, Mmboniseni ; Mukeru, Safari ; Mpanda, Marc Mukendi. In: Papers. RePEc:arx:papers:2008.07798. Full description at Econpapers || Download paper | |
| 2022 | Roughness in spot variance? A GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures. (2020). Veliyev, Bezirgen ; Pakkanen, Mikko S ; Christensen, Kim ; Bolko, Anine E. In: Papers. RePEc:arx:papers:2010.04610. Full description at Econpapers || Download paper | |
| 2022 | Kernel Methods for Policy Evaluation: Treatment Effects, Mediation Analysis, and Off-Policy Planning. (2020). Gretton, Arthur ; Xu, Liyuan ; Singh, Rahul. In: Papers. RePEc:arx:papers:2010.04855. Full description at Econpapers || Download paper | |
| 2021 | Non-Equilibrium Skewness, Market Crises, and Option Pricing: Non-Linear Langevin Model of Markets with Supersymmetry. (2020). Halperin, Igor. In: Papers. RePEc:arx:papers:2011.01417. Full description at Econpapers || Download paper | |
| 2021 | Weak Identification in Discrete Choice Models. (2020). Renault, Eric ; Frazier, David T ; Zhao, Xueyan ; Zhang, Lina. In: Papers. RePEc:arx:papers:2011.06753. Full description at Econpapers || Download paper | |
| 2022 | Kernel Methods for Unobserved Confounding: Negative Controls, Proxies, and Instruments. (2020). Singh, Rahul. In: Papers. RePEc:arx:papers:2012.10315. Full description at Econpapers || Download paper | |
| 2022 | Adaptive Estimation of Quadratic Functionals in Nonparametric Instrumental Variable Models. (2021). Chen, Xiaohong ; Breunig, Christoph. In: Papers. RePEc:arx:papers:2101.12282. Full description at Econpapers || Download paper | |
| 2021 | Debiased Kernel Methods. (2021). Singh, Rahul. In: Papers. RePEc:arx:papers:2102.11076. Full description at Econpapers || Download paper | |
| 2022 | American options in the Volterra Heston model. (2021). , Elizabeth ; Pulido, Sergio ; Chevalier, Etienne. In: Papers. RePEc:arx:papers:2103.11734. Full description at Econpapers || Download paper | |
| 2021 | Fractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedging. (2021). Salmon, Nicholas ; Sengupta, Indranil. In: Papers. RePEc:arx:papers:2105.02325. Full description at Econpapers || Download paper | |
| 2021 | Identification robust inference for moments based analysis of linear dynamic panel data models. (2021). Kleibergen, Frank. In: Papers. RePEc:arx:papers:2105.08346. Full description at Econpapers || Download paper | |
| 2021 | Semiparametric inference for partially linear regressions with Box-Cox transformation. (2021). Patilea, Valentin ; Kneip, Alois ; Becker, Daniel. In: Papers. RePEc:arx:papers:2106.10723. Full description at Econpapers || Download paper | |
| 2021 | Robustness and sensitivity analyses for rough Volterra stochastic volatility models. (2021). Posp, Jan ; Matas, Jan. In: Papers. RePEc:arx:papers:2107.12462. Full description at Econpapers || Download paper | |
| 2021 | Dynamic functional time-series forecasts of foreign exchange implied volatility surfaces. (2021). Shang, Han Lin ; Kearney, Fearghal. In: Papers. RePEc:arx:papers:2107.14026. Full description at Econpapers || Download paper | |
| 2022 | Learning Causal Relationships from Conditional Moment Conditions by Importance Weighting. (2021). Yasui, Shota ; McAlinn, Kenichiro ; Kakehi, Haruo ; Kato, Masahiro. In: Papers. RePEc:arx:papers:2108.01312. Full description at Econpapers || Download paper | |
| 2022 | On simulation of rough Volterra stochastic volatility models. (2021). Posp, Jan ; Matas, Jan. In: Papers. RePEc:arx:papers:2108.01999. Full description at Econpapers || Download paper | |
| 2022 | Cubature Method for Stochastic Volterra Integral Equations. (2021). Zhang, Jianfeng ; Feng, QI. In: Papers. RePEc:arx:papers:2110.12853. Full description at Econpapers || Download paper | |
| 2022 | Kernel Methods for Multistage Causal Inference: Mediation Analysis and Dynamic Treatment Effects. (2021). Gretton, Arthur ; Xu, Liyuan ; Singh, Rahul. In: Papers. RePEc:arx:papers:2111.03950. Full description at Econpapers || Download paper | |
| 2022 | Ergodic aspects of trading with threshold strategies. (2021). , Mikl'Os ; Lovas, Attila. In: Papers. RePEc:arx:papers:2111.14708. Full description at Econpapers || Download paper | |
| 2022 | Option Pricing with State-dependent Pricing Kernel. (2021). Huang, Zhuo ; Hansen, Peter Reinhard ; Tong, Chen. In: Papers. RePEc:arx:papers:2112.05308. Full description at Econpapers || Download paper | |
| 2022 | A Finite Sample Theorem for Longitudinal Causal Inference with Machine Learning: Long Term, Dynamic, and Mediated Effects. (2021). Singh, Rahul. In: Papers. RePEc:arx:papers:2112.14249. Full description at Econpapers || Download paper | |
| 2022 | Binary response model with many weak instruments. (2022). Seong, Dakyung. In: Papers. RePEc:arx:papers:2201.04811. Full description at Econpapers || Download paper | |
| 2022 | Generalized Kernel Ridge Regression for Long Term Causal Inference: Treatment Effects, Dose Responses, and Counterfactual Distributions. (2022). Singh, Rahul. In: Papers. RePEc:arx:papers:2201.05139. Full description at Econpapers || Download paper | |
| 2022 | Fractional SDE-Net: Generation of Time Series Data with Long-term Memory. (2022). Nakagawa, Kei ; Hayashi, Kohei. In: Papers. RePEc:arx:papers:2201.05974. Full description at Econpapers || Download paper | |
| 2022 | On Well-posedness and Minimax Optimal Rates of Nonparametric Q-function Estimation in Off-policy Evaluation. (2022). Qi, Zhengling ; Chen, Xiaohong. In: Papers. RePEc:arx:papers:2201.06169. Full description at Econpapers || Download paper | |
| 2022 | High-Dimensional Sparse Multivariate Stochastic Volatility Models. (2022). Asai, Manabu ; Poignard, Benjamin. In: Papers. RePEc:arx:papers:2201.08584. Full description at Econpapers || Download paper | |
| 2022 | Long-Horizon Return Predictability from Realized Volatility in Pure-Jump Point Processes. (2022). Soulier, Philippe ; Hurvich, Clifford ; Hsieh, Meng-Chen. In: Papers. RePEc:arx:papers:2202.00793. Full description at Econpapers || Download paper | |
| 2022 | Continuous permanent unobserved heterogeneity in dynamic discrete choice models. (2022). Bunting, Jackson. In: Papers. RePEc:arx:papers:2202.03960. Full description at Econpapers || Download paper | |
| 2022 | Long-term Causal Inference Under Persistent Confounding via Data Combination. (2022). Imbens, Guido ; Wang, Yuhao ; Mao, Xiaojie ; Kallus, Nathan. In: Papers. RePEc:arx:papers:2202.07234. Full description at Econpapers || Download paper | |
| 2022 | Fairness constraint in Structural Econometrics and Application to fair estimation using Instrumental Variables. (2022). Centorrino, Samuele ; Loubes, Jean-Michel ; FLORENS, Jean-Pierre. In: Papers. RePEc:arx:papers:2202.08977. Full description at Econpapers || Download paper | |
| 2022 | Can LSTM outperform volatility-econometric models?. (2022). Rodikov, German ; Antulov-Fantulin, Nino. In: Papers. RePEc:arx:papers:2202.11581. Full description at Econpapers || Download paper | |
| 2022 | Indirect Inference for Nonlinear Panel Models with Fixed Effects. (2022). Chen, Shuowen. In: Papers. RePEc:arx:papers:2203.10683. Full description at Econpapers || Download paper | |
| 2022 | Rough volatility: fact or artefact?. (2022). Das, Purba ; Cont, Rama. In: Papers. RePEc:arx:papers:2203.13820. Full description at Econpapers || Download paper | |
| 2022 | Option Pricing with Time-Varying Volatility Risk Aversion. (2022). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2204.06943. Full description at Econpapers || Download paper | |
| 2022 | The fractional volatility model and rough volatility. (2022). Mendes, Vilela R. In: Papers. RePEc:arx:papers:2206.02205. Full description at Econpapers || Download paper | |
| 2022 | Stochastic arbitrage with market index options. (2022). Seo, Juwon ; Beare, Brendan K. In: Papers. RePEc:arx:papers:2207.00949. Full description at Econpapers || Download paper | |
| 2022 | Malliavin differentiability of fractional Heston-type model and applications to option pricing. (2022). Mpanda, Marc Mukendi. In: Papers. RePEc:arx:papers:2207.10709. Full description at Econpapers || Download paper | |
| 2022 | Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation. (2022). Vachon, Marie-Claude ; MacKay, Anne ; Cui, Zhenyu. In: Papers. RePEc:arx:papers:2207.14793. Full description at Econpapers || Download paper | |
| 2022 | Testing for error invariance in separable instrumental variable models. (2022). van Keilegom, Ingrid ; VanKeilegom, Ingrid ; Lapenta, Elia ; FLORENS, Jean-Pierre ; Beyhum, Jad. In: Papers. RePEc:arx:papers:2208.05344. Full description at Econpapers || Download paper | |
| 2022 | Debiased Inference on Identified Linear Functionals of Underidentified Nuisances via Penalized Minimax Estimation. (2022). Mao, Xiaojie ; Kallus, Nathan. In: Papers. RePEc:arx:papers:2208.08291. Full description at Econpapers || Download paper | |
| 2022 | Option pricing in Volterra sandwiched volatility model. (2022). Yurchenko-Tytarenko, Anton ; Mishura, Yuliya ; di Nunno, Giulia. In: Papers. RePEc:arx:papers:2209.10688. Full description at Econpapers || Download paper | |
| 2022 | Sandwiched Volterra Volatility model: Markovian approximations and hedging. (2022). Yurchenko-Tytarenko, Anton ; di Nunno, Giulia. In: Papers. RePEc:arx:papers:2209.13054. Full description at Econpapers || Download paper | |
| 2022 | The rough Hawkes Heston stochastic volatility model. (2022). Scotti, Simone ; Pulido, Sergio ; Bondi, Alessandro. In: Papers. RePEc:arx:papers:2210.12393. Full description at Econpapers || Download paper | |
| 2022 | Spectral Representation Learning for Conditional Moment Models. (2022). Scholkopf, Bernhard ; Zhu, Jun ; Li, Yueru ; Luo, Yucen ; Wang, Ziyu. In: Papers. RePEc:arx:papers:2210.16525. Full description at Econpapers || Download paper | |
| 2022 | Robust Inference for Dynamic Panel Threshold Models. (2022). Seo, Myung Hwan ; Gong, Woosik. In: Papers. RePEc:arx:papers:2211.04027. Full description at Econpapers || Download paper | |
| 2023 | On the Past, Present, and Future of the Diebold-Yilmaz Approach to Dynamic Network Connectedness. (2022). Yilmaz, Kamil ; Diebold, Francis X. In: Papers. RePEc:arx:papers:2211.04184. Full description at Econpapers || Download paper | |
| 2023 | An Intraday GARCH Model for Discrete Price Changes and Irregularly Spaced Observations. (2022). Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2211.12376. Full description at Econpapers || Download paper | |
| 2022 | Cross-Sectional Dynamics Under Network Structure: Theory and Macroeconomic Applications. (2022). Mlikota, Marko. In: Papers. RePEc:arx:papers:2211.13610. Full description at Econpapers || Download paper | |
| 2022 | Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints. (2022). , Li ; Illand, Camille ; Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2212.08297. Full description at Econpapers || Download paper | |
| 2022 | Partly Linear Instrumental Variables Regressions without Smoothing on the Instruments. (2022). Lapenta, Elia ; Florens, Jean-Pierre. In: Papers. RePEc:arx:papers:2212.11012. Full description at Econpapers || Download paper | |
| 2023 | The Chained Difference-in-Differences. (2023). Dortet-Bernardet, Vincent ; Benatia, David ; Bell, Christophe. In: Papers. RePEc:arx:papers:2301.01085. Full description at Econpapers || Download paper | |
| 2023 | Minimax Instrumental Variable Regression and $L_2$ Convergence Guarantees without Identification or Closedness. (2023). Newey, Whitney ; Mao, Xiaojie ; Kallus, Nathan ; Bennett, Andrew ; Uehara, Masatoshi ; Syrgkanis, Vasilis. In: Papers. RePEc:arx:papers:2302.05404. Full description at Econpapers || Download paper | |
| 2021 | Volatility Bursts: A discrete-time option model with multiple volatility components. (2021). Lilla, Francesca. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1336_21. Full description at Econpapers || Download paper | |
| 2023 | Firms innovation and university cooperation. New evidence from a survey of Italian firms.. (2023). Rigon, Massimiliano ; Cortelezzi, Flavia ; Bragoli, Daniela. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1400_23. Full description at Econpapers || Download paper | |
| 2021 | Firm-specific risk-neutral distributions with options and CDS. (2021). Jahan-Parvar, Mohammad ; Aramonte, Sirio ; Schindler, John W ; Rosen, Samuel. In: BIS Working Papers. RePEc:bis:biswps:921. Full description at Econpapers || Download paper | |
| 2021 | Instrument residual estimator for any response variable with endogenous binary treatment. (2021). Lee, Myoung-jae. In: Journal of the Royal Statistical Society Series B. RePEc:bla:jorssb:v:83:y:2021:i:3:p:612-635. Full description at Econpapers || Download paper | |
| 2022 | State Heterogeneity Analysis of Financial Volatility using high?frequency Financial Data. (2022). Kim, Donggyu ; Chun, Dohyun. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:1:p:105-124. Full description at Econpapers || Download paper | |
| 2022 | Estimation and inference in adaptive learning models with slowly decreasing gains. (2022). Mayer, Alexander. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:5:p:720-749. Full description at Econpapers || Download paper | |
| 2021 | Revenue?Sharing Contracts Under Quality Uncertainty in Remanufacturing. (2021). Iyer, Ananth ; Vedantam, Aditya. In: Production and Operations Management. RePEc:bla:popmgt:v:30:y:2021:i:7:p:2008-2026. Full description at Econpapers || Download paper | |
| 2021 | Boosting multiplicative model combination. (2021). Vidoni, Paolo. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:48:y:2021:i:3:p:761-789. Full description at Econpapers || Download paper | |
| 2022 | Time-Varying Linear Transformation Models with Fixed Effects and Endogeneity for Short Panels. (2022). Muris, Chris ; Botosaru, Irene ; Sokullu, Senay. In: Bristol Economics Discussion Papers. RePEc:bri:uobdis:22/756. Full description at Econpapers || Download paper | |
| 2021 | Estimation in partially linear semiparametric models with parametric and/or nonparametric endogeneity. (2021). Wongsa-art, Patrick ; Saart, Patrick W ; Kim, Namhyun. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2021/9. Full description at Econpapers || Download paper | |
| 2022 | Targeting moments for calibration compared with indirect inference. (2022). Minford, Patrick ; Meenagh, David ; Xu, Yongdeng. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2022/12. Full description at Econpapers || Download paper | |
| 2023 | Score-type tests for normal mixtures. (2023). Sentana, Enrique ; Bei, Xinyue ; Amengual, Dante ; Carrasco, Marine. In: CIRANO Working Papers. RePEc:cir:cirwor:2023s-02. Full description at Econpapers || Download paper | |
| 2022 | Specification tests for non-Gaussian structural vector autoregressions. (2022). Sentana, Enrique ; Fiorentini, Gabriele ; Amengual, Dante. In: Working Papers. RePEc:cmf:wpaper:wp2022_2212. Full description at Econpapers || Download paper | |
| 2022 | Score-type tests for normal mixtures. (2022). Sentana, Enrique ; Carrasco, Marine ; Bei, Xinyue ; Amengual, Dante. In: Working Papers. RePEc:cmf:wpaper:wp2022_2213. Full description at Econpapers || Download paper | |
| 2022 | Weak Identification of Long Memory with Implications for Inference. (2022). Yu, Jun ; Phillips, Peter ; Shi, Shuping. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2334. Full description at Econpapers || Download paper | |
| 2021 | Comparison of Local Projection Estimators for Proxy Vector Autoregressions. (2021). Lutkepohl, Helmut ; Bruns, Martin. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1949. Full description at Econpapers || Download paper | |
| 2021 | Option pricing with polynomial chaos expansion stochastic bridge interpolators and signed path dependence. (2021). Peters, Gareth W ; Dias, Fabio S. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:411:y:2021:i:c:s0096300321005737. Full description at Econpapers || Download paper | |
| 2021 | The closed-form option pricing formulas under the sub-fractional Poisson volatility models. (2021). Yang, Zijian ; Wang, Xiaotian ; Cao, Piyao. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:148:y:2021:i:c:s0960077921003660. Full description at Econpapers || Download paper | |
| 2021 | The Jacobian of the exponential function. (2021). Sentana, Enrique ; Henk, ; Magnus, Jan R. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:127:y:2021:i:c:s0165188921000579. Full description at Econpapers || Download paper | |
| 2022 | Comparison of local projection estimators for proxy vector autoregressions. (2022). Lütkepohl, Helmut ; Lutkepohl, Helmut ; Bruns, Martin. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:134:y:2022:i:c:s0165188921002128. Full description at Econpapers || Download paper | |
| 2022 | Taxation and the distributional impact of inflation: The U.S. post-war experience. (2022). Wieschemeyer, Matthias ; Sussmuth, Bernd. In: Economic Modelling. RePEc:eee:ecmode:v:111:y:2022:i:c:s0264999322000591. Full description at Econpapers || Download paper | |
| 2021 | Optimal Linear Instrumental Variables Approximations. (2021). Escanciano, Juan Carlos ; Li, Wei. In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:1:p:223-246. Full description at Econpapers || Download paper | |
| 2021 | The continuous-time limit of score-driven volatility models. (2021). Livieri, Giulia ; Flandoli, Franco ; Corsi, Fulvio ; Buccheri, Giuseppe. In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:2:p:655-675. Full description at Econpapers || Download paper | |
| 2021 | Empirical asset pricing with multi-period disaster risk: A simulation-based approach. (2021). Grammig, Joachim ; Sonksen, Jantje. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:805-832. Full description at Econpapers || Download paper | |
| 2021 | Solving Euler equations via two-stage nonparametric penalized splines. (2021). Hong, Yongmiao ; Cui, Liyuan ; Li, Yingxing. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:2:p:1024-1056. Full description at Econpapers || Download paper | |
| 2021 | Indirect inference for locally stationary models. (2021). Koo, Bonsoo ; Frazier, David T. In: Journal of Econometrics. RePEc:eee:econom:v:223:y:2021:i:1:p:1-27. Full description at Econpapers || Download paper | |
| 2021 | Simple estimators and inference for higher-order stochastic volatility models. (2021). Dufour, Jean-Marie ; Ahsan, Md Nazmul. In: Journal of Econometrics. RePEc:eee:econom:v:224:y:2021:i:1:p:181-197. Full description at Econpapers || Download paper | |
| 2021 | Consistent inference for predictive regressions in persistent economic systems. (2021). Andersen, Torben ; Varneskov, Rasmus T. In: Journal of Econometrics. RePEc:eee:econom:v:224:y:2021:i:1:p:215-244. Full description at Econpapers || Download paper | |
| 2021 | Sieve estimation of option-implied state price density. (2021). Qu, Zhongjun ; Lu, Junwen. In: Journal of Econometrics. RePEc:eee:econom:v:224:y:2021:i:1:p:88-112. Full description at Econpapers || Download paper | |
| More than 100 citations found, this list is not complete... |
Eric Michel Renault is editor of
| Journal | |
|---|---|
| The Journal of Financial Econometrics |
Works by Eric Michel Renault:
| Year | Title | Type | Cited |
|---|---|---|---|
| 1987 | Kullback Causality Measures In: Annals of Economics and Statistics. [Full Text][Citation analysis] | article | 18 |
| 1993 | Tests sur le noyau, limage et le rang de la matrice des coefficients dun modéle linéaire multivarié In: Annals of Economics and Statistics. [Full Text][Citation analysis] | article | 4 |
| 2007 | Diffusion Processes with Polynomial Eigenfunctions In: Annals of Economics and Statistics. [Full Text][Citation analysis] | article | 0 |
| 2019 | Indirect Inference With(Out) Constraints In: Papers. [Full Text][Citation analysis] | paper | 3 |
| 2005 | The Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order Moments In: Staff Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2005 | State Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle In: Staff Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2007 | Implications of Asymmetry Risk for Portfolio Analysis and Asset Pricing In: Staff Working Papers. [Full Text][Citation analysis] | paper | 6 |
| 2008 | On Portfolio Separation Theorems with Heterogeneous Beliefs and Attitudes towards Risk In: Staff Working Papers. [Full Text][Citation analysis] | paper | 7 |
| 2000 | Statistical Inference for Random-Variance Option Pricing. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 21 |
| 1997 | Statistical Inference for Random Variance Option Pricing.(1997) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 21 | paper | |
| 1995 | Statistical Inference for Random Variance Option Pricing..(1995) In: Toulouse - GREMAQ. [Citation analysis] This paper has another version. Agregated cites: 21 | paper | |
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| 2003 | Iterative and Recursive Estimation in Structural Non-Adaptive Models.(2003) In: CIRANO Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 28 | paper | |
| 2003 | Iterative and Recursive Estimation in Structural Nonadaptive Models: Rejoinder. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 25 |
| 1996 | OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL1 In: Mathematical Finance. [Full Text][Citation analysis] | article | 77 |
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| 2000 | Semi-Parametric Indirect Inference In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis] | paper | 15 |
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| 2000 | Temporal Aggregation of Volatility Models In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 105 |
| 2004 | Temporal aggregation of volatility models.(2004) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 105 | article | |
| 2001 | Asymmetric Smiles, Leverage Effects and Structural Parameters In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 15 |
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| 2001 | Asymmetric Smiles, Leverage Effects and Structural Parameters..(2001) In: Cahiers de recherche. [Citation analysis] This paper has another version. Agregated cites: 15 | paper | |
| 2001 | Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note : Nouvelle version Février 2002) In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2001 | Risque de modèle de volatilité In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 0 |
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| 2003 | Short Run and Long Run Causality in Time Series: Inference In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 100 |
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| 2003 | Short run and long run causality in time series: Inference.(2003) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has another version. Agregated cites: 100 | paper | |
| 2003 | Short Run and Long Run Causality in Time Series : Inference.(2003) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has another version. Agregated cites: 100 | paper | |
| 2004 | The Econometrics of Option Pricing In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 23 |
| 2004 | On the Efficient Use of the Informational Content of Estimating Equations: Implied Probabilities and Euclidean Empirical Likelihood In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 62 |
| 2007 | On the efficient use of the informational content of estimating equations: Implied probabilities and Euclidean empirical likelihood.(2007) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 62 | article | |
| 2004 | Conditionally Heteroskedastic Factor Models: Identification and Instrumental Variables Estimation In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 6 |
| 2004 | Conditionaly Heteroskedastic Factor Models : Identificationand Instrumental variables Estmation.(2004) In: THEMA Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
| 2012 | Testing for Common GARCH Factors In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 3 |
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| 2016 | Indirect Inference with Endogenously Missing Exogenous Variables In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2016 | Efficient Two-Step Estimation via Targeting In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 1995 | Stochastic Volatility In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 333 |
| 1995 | Stochastic Volatility.(1995) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 333 | paper | |
| 1995 | Stochastic Volatility..(1995) In: Toulouse - GREMAQ. [Citation analysis] This paper has another version. Agregated cites: 333 | paper | |
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| 1997 | Nonparametric Methods and Option Pricing In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 7 |
| 1997 | Nonparametric methods and option pricing.(1997) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
| 1998 | Risk Aversion, Intertemporal Substitution, and Option Pricing In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 8 |
| 1998 | Risk Aversion, Intertemporal Substitution, and Option Pricing.(1998) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
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| 1998 | Quadratic M-Estimators for ARCH-Type Processes In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 5 |
| 1998 | Quadratic M-Estimators for ARCH-Type Processes.(1998) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
| 1999 | Latent Variable Models for Stochastic Discount Factors In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 1 |
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| 2000 | Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables In: Working Papers. [Full Text][Citation analysis] | paper | 58 |
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| 2001 | Empirical Assessment of an Intertemporal Option Pricing Model with Latent variables.(2001) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has another version. Agregated cites: 58 | paper | |
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| 1998 | TESTING FOR EMBEDDABILITY BY STATIONARY REVERSIBLE CONTINUOUS-TIME MARKOV PROCESSES In: Econometric Theory. [Full Text][Citation analysis] | article | 14 |
| 2014 | REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS In: Econometric Theory. [Full Text][Citation analysis] | article | 25 |
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| 1995 | Short-Run and Long-Rub Causality in Time Series: Theory..(1995) In: Cahiers de recherche. [Citation analysis] This paper has another version. Agregated cites: 177 | paper | |
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| 2012 | Efficient Minimum Distance Estimation with Multiple Rates of Convergence.(2012) In: Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 25 | paper | |
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| 1993 | Option Hedging and Implicit Volatilities. In: Toulouse - GREMAQ. [Citation analysis] | paper | 0 |
| 1993 | Option Hedging and Implicit Volatilities. Non Causality in Continuous Time Varma Models. In: Toulouse - GREMAQ. [Citation analysis] | paper | 0 |
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