Eric Michel Renault : Citation Profile


Are you Eric Michel Renault?

Brown University

19

H index

33

i10 index

2242

Citations

RESEARCH PRODUCTION:

52

Articles

85

Papers

1

Chapters

EDITOR:

1

Series edited

RESEARCH ACTIVITY:

   30 years (1987 - 2017). See details.
   Cites by year: 74
   Journals where Eric Michel Renault has often published
   Relations with other researchers
   Recent citing documents: 186.    Total self citations: 47 (2.05 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pre313
   Updated: 2017-11-18    RAS profile: 2016-11-16    
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Relations with other researchers


Works with:

Antoine, Bertille (5)

Dovonon, Prosper (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 (80)

Minford, A. Patrick (52)

Andersen, Torben (47)

Barndorff-Nielsen, Ole (46)

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 (52)

Bollerslev, Tim (44)

Garcia, René (39)

Sentana, Enrique (36)

Drost, Feike C. (34)

Ghysels, Eric (34)

gourieroux, christian (27)

Harvey, Andrew (25)

Diebold, Francis (23)

Meddahi, Nour (23)

Main data


Where Eric Michel Renault has published?


Journals with more than one article published# docs
Journal of Econometrics15
Econometrica5
Econometric Theory4
Annals of Economics and Statistics3
Journal of Business & Economic 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
Discussion Papers / Department of Economics, Simon Fraser University4
Staff Working Papers / Bank of Canada4
ULB Institutional Repository / ULB -- Universite Libre de Bruxelles3
IDEI Working Papers / Institut d'conomie Industrielle (IDEI), Toulouse2

Recent works citing Eric Michel Renault (2017 and 2016)


YearTitle of citing document
2016Semiparametric inference on the fractal index of Gaussian and conditionally Gaussian time series data. (2016). Bennedsen, Mikkel . In: CREATES Research Papers. RePEc:aah:create:2016-21.

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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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2016Asymmetric stochastic volatility in central and eastern European stock markets. (2016). Hepsag, Aycan . In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxiii:y:2016:i:2(607):p:135-144.

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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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2016Option Pricing in an Imperfect World. (2016). Cassese, Gianluca. In: Papers. RePEc:arx:papers:1406.0412.

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2016Change of numeraire in the two-marginals martingale transport problem. (2016). Martini, Claude ; Campi, Luciano ; Laachir, Ismail . In: Papers. RePEc:arx:papers:1406.6951.

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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 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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2016Small-time asymptotics for Gaussian self-similar stochastic volatility models. (2016). Gulisashvili, Archil ; Zhang, Xin ; Viens, Frederi . In: Papers. RePEc:arx:papers:1505.05256.

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2016Estimation of integrated quadratic covariation with endogenous sampling times. (2016). Potiron, Yoann ; Mykland, Per . In: Papers. RePEc:arx:papers:1507.01033.

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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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2016Density Forecasts and the Leverage Effect: Some Evidence from Observation and Parameter-Driven Volatility Models. (2016). Catania, Leopoldo ; Nonejad, Nima . In: Papers. RePEc:arx:papers:1605.00230.

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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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2016Asymptotics for rough stochastic volatility models. (2016). Forde, Martin ; Zhang, Hongzhong . In: Papers. RePEc:arx:papers:1610.08878.

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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). Martini, Claude ; Jacquier, Antoine ; Muguruza, Aitor . 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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2017Large 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). Horvath, Blanka ; Muguruza, Aitor ; Jacquier, Antoine . In: Papers. RePEc:arx:papers:1711.03078.

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2016Neural Nets for Indirect Inference. (2016). . In: UFAE and IAE Working Papers. RePEc:aub:autbar:960.16.

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2016Testing Subspace Granger Causality. (2016). Al-Sadoon, Majid. In: Working Papers. RePEc:bge:wpaper:850.

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2016Neural Nets for Indirect Inference. (2016). Creel, Michael. In: Working Papers. RePEc:bge:wpaper:942.

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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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2016Impulse Response Matching Estimators for DSGE Models. (2016). Kilian, Lutz ; Guerron, Pablo ; Guerron-Quintana, Pablo ; Inoue, Atsushi . In: CESifo Working Paper Series. RePEc:ces:ceswps:_5730.

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2016Joint Confidence Sets for Structural Impulse Responses. (2016). Kilian, Lutz ; Inoue, Atsushi . In: CESifo Working Paper Series. RePEc:ces:ceswps:_5746.

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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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2016On the use of high frequency measures of volatility in MIDAS regressions. (2016). Andreou, Elena . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11307.

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2016In-sample Inference and Forecasting in Misspecified Factor Models. (2016). Rossi, Barbara ; Carrasco, Marine . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11388.

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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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2016Methods for Nonparametric and Semiparametric Regressions with Endogeneity: a Gentle Guide. (2016). Chen, Xiaohong ; Qiu, Yin Jia . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2032.

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2016GARCH DIFFUSION MODEL, iVIX, AND VOLATILITY RISK PREMIUM. (2016). Wu, Xin Yu ; Zhou, Hailin . In: ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH. RePEc:cys:ecocyb:v:50:y:2016:i:1:p:327-342.

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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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2016Oil price and exchange rate in India: Fresh evidence from continuous wavelet approach and asymmetric, multi-horizon Granger-causality tests. (2016). Tiwari, Aviral ; Albulescu, Claudiu. In: Applied Energy. RePEc:eee:appene:v:179:y:2016:i:c:p:272-283.

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2016Horizon effect in the term structure of long-run risk-return trade-offs. (2016). Okou, Cedric ; Jacquier, Eric . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:445-466.

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2016On selection of statistics for approximate Bayesian computing (or the method of simulated moments). (2016). Kristensen, Dennis ; Creel, Michael. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:99-114.

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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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2016Calibration of stochastic volatility models: A Tikhonov regularization approach. (2016). Dai, Min ; Yue, Xingye ; Tang, Ling . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:64:y:2016:i:c:p:66-81.

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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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2016On the risk comovements between the crude oil market and U.S. dollar exchange rates. (2016). Keddad, Benjamin ; DE TRUCHIS, Gilles. In: Economic Modelling. RePEc:eee:ecmode:v:52:y:2016:i:pa:p:206-215.

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2016The role of fiscal policy in Britains Great Inflation. (2016). Ou, Zhirong ; Minford, A. Patrick ; Fan, Jingwen. In: Economic Modelling. RePEc:eee:ecmode:v:58:y:2016:i:c:p:203-218.

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2016Efficient water-using technologies and habits: A disaggregated analysis in the water sector. (2016). Pérez-Urdiales, María ; Garcia-Valias, Maria Angeles ; Perez-Urdiales, Maria . In: Ecological Economics. RePEc:eee:ecolec:v:128:y:2016:i:c:p:117-129.

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2016Monetary and fiscal policy switching with time-varying volatilities. (2016). Serletis, Apostolos ; Xu, Libo . In: Economics Letters. RePEc:eee:ecolet:v:145:y:2016:i:c:p:202-205.

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2016Heavy tails and copulas: Limits of diversification revisited. (2016). Prokhorov, Artem ; Ibragimov, Rustam . In: Economics Letters. RePEc:eee:ecolet:v:149:y:2016:i:c:p:102-107.

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2016A tale of two option markets: Pricing kernels and volatility risk. (2016). SONG, ZHAOGANG ; Xiu, Dacheng . In: Journal of Econometrics. RePEc:eee:econom:v:190:y:2016:i:1:p:176-196.

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2016GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference. (2016). Prokhorov, Artem ; Hill, Jonathan B. In: Journal of Econometrics. RePEc:eee:econom:v:190:y:2016:i:1:p:18-45.

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2016Estimating production functions with control functions when capital is measured with error. (2016). Song, Suyong ; Kim, Kyoo il ; Il, Kyoo ; Petrin, Amil . In: Journal of Econometrics. RePEc:eee:econom:v:190:y:2016:i:2:p:267-279.

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2016Nonparametric instrumental variables estimation for efficiency frontier. (2016). Simar, Leopold ; FEVE, Frédérique ; FLORENS, Jean-Pierre ; Cazals, Catherine . In: Journal of Econometrics. RePEc:eee:econom:v:190:y:2016:i:2:p:349-359.

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2016Long memory affine term structure models. (2016). Golinski, Adam ; Zaffaroni, Paolo ; Goliski, Adam . In: Journal of Econometrics. RePEc:eee:econom:v:191:y:2016:i:1:p:33-56.

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2016On independence conditions in nonseparable models: Observable and unobservable instruments. (2016). Matzkin, Rosa L. In: Journal of Econometrics. RePEc:eee:econom:v:191:y:2016:i:2:p:302-311.

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2016Testing for Granger causality with mixed frequency data. (2016). Ghysels, Eric ; Motegi, Kaiji ; Hill, Jonathan B. In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:1:p:207-230.

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2016Bootstrap inference for instrumental variable models with many weak instruments. (2016). Wang, Wenjie ; Kaffo, Maximilien . In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:1:p:231-268.

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2016Asymptotic refinements of a misspecification-robust bootstrap for GEL estimators. (2016). Lee, Seojeong. In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:1:p:86-104.

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2016Joint confidence sets for structural impulse responses. (2016). Kilian, Lutz ; Inoue, Atsushi . In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:2:p:421-432.

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2016A discontinuity test for identification in triangular nonseparable models. (2016). Rothe, Christoph ; Caetano, Carolina ; Yildiz, Nee . In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:1:p:113-122.

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2016Inference theory for volatility functional dependencies. (2016). Li, Jia ; Tauchen, George ; Todorov, Viktor . In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:1:p:17-34.

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2016A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous. (2016). Ikeda, Shin. In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:1:p:203-214.

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2016Model averaging in semiparametric estimation of treatment effects. (2016). Kitagawa, Toru ; Muris, Chris. In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:1:p:271-289.

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2016Macroeconomics and the reality of mixed frequency data. (2016). Ghysels, Eric . In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:2:p:294-314.

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2016On the use of high frequency measures of volatility in MIDAS regressions. (2016). Andreou, Elena . In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:2:p:367-389.

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2016Testing for Granger causality in large mixed-frequency VARs. (2016). Smeekes, Stephan ; Hecq, Alain ; Götz, Thomas ; Gotz, Thomas B. In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:2:p:418-432.

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2016Between data cleaning and inference: Pre-averaging and robust estimators of the efficient price. (2016). Mykland, Per A ; Zhang, Lan . In: Journal of Econometrics. RePEc:eee:econom:v:194:y:2016:i:2:p:242-262.

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2016Efficient estimation of integrated volatility incorporating trading information. (2016). Li, Yingying ; Zheng, Xinghua ; Xie, Shangyu . In: Journal of Econometrics. RePEc:eee:econom:v:195:y:2016:i:1:p:33-50.

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2016A simple nonparametric approach to estimating the distribution of random coefficients in structural models. (2016). Kim, Kyoo il ; Fox, Jeremy ; Yang, Chenyu ; Il, Kyoo . In: Journal of Econometrics. RePEc:eee:econom:v:195:y:2016:i:2:p:236-254.

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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). Hu, Yingyao ; Shiu, Ji-Liang ; Schennach, Susanne M. 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). Gospodinov, Nikolay ; Ng, Serena ; 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). FLORENS, Jean-Pierre ; Benatia, David ; 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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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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2016The employment effect of reforming a public employment agency. (2016). Wälde, Klaus ; Launov, Andrey ; Walde, Klaus . In: European Economic Review. RePEc:eee:eecrev:v:84:y:2016:i:c:p:140-164.

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2016Optimal switching decisions under stochastic volatility with fast mean reversion. (2016). Tsekrekos, Andrianos ; Yannacopoulos, Athanasios N. In: European Journal of Operational Research. RePEc:eee:ejores:v:251:y:2016:i:1:p:148-157.

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2016Supply chain forecasting: Theory, practice, their gap and the futureAuthor-Name: Syntetos, Aris A.. (2016). Nikolopoulos, Konstantinos ; Kolassa, Stephan ; Boylan, John E ; Babai, Zied . In: European Journal of Operational Research. RePEc:eee:ejores:v:252:y:2016:i:1:p:1-26.

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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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2016Exchange rates and commodity prices: Measuring causality at multiple horizons. (2016). Dufour, Jean-Marie ; Galbraith, John W ; Zhang, Hui Jun . In: Journal of Empirical Finance. RePEc:eee:empfin:v:36:y:2016:i:c:p:100-120.

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2016Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX). (2016). Kristensen, Dennis ; Cavaliere, Giuseppe ; Rahbek, Anders ; Agosto, Arianna . In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pb:p:640-663.

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2016A compound duration model for high-frequency asset returns. (2016). Aldrich, Eric ; Laughlin, Gregory ; Heckenbach, Indra . In: Journal of Empirical Finance. RePEc:eee:empfin:v:39:y:2016:i:pa:p:105-128.

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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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2016Information spillover dynamics of the energy futures market sector: A novel common factor approach. (2016). Kuruppuarachchi, Duminda ; Premachandra, I M. In: Energy Economics. RePEc:eee:eneeco:v:57:y:2016:i:c:p:277-294.

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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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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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article4
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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article0
2007Diffusion Processes with Polynomial Eigenfunctions In: Annals of Economics and Statistics.
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article0
2016Indirect Inference With(Out) Constraints In: Papers.
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paper0
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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paper0
2005State Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle In: Staff Working Papers.
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paper0
2007Implications of Asymmetry Risk for Portfolio Analysis and Asset Pricing In: Staff Working Papers.
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paper1
2008On Portfolio Separation Theorems with Heterogeneous Beliefs and Attitudes towards Risk In: Staff Working Papers.
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paper0
2000Statistical Inference for Random-Variance Option Pricing. In: Journal of Business & Economic Statistics.
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article15
1997Statistical Inference for Random Variance Option Pricing.(1997) In: Working Papers.
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This paper has another version. Agregated cites: 15
paper
1995Statistical Inference for Random Variance Option Pricing..(1995) In: Toulouse - GREMAQ.
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This paper has another version. Agregated cites: 15
paper
2003Iterative and Recursive Estimation in Structural Nonadaptive Models. In: Journal of Business & Economic Statistics.
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article15
2003Iterative and Recursive Estimation in Structural Non-Adaptive Models.(2003) In: CIRANO Working Papers.
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This paper has another version. Agregated cites: 15
paper
2003Iterative and Recursive Estimation in Structural Nonadaptive Models: Rejoinder. In: Journal of Business & Economic Statistics.
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article13
1996OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL In: Mathematical Finance.
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article50
1998A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models In: Mathematical Finance.
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article7
1997A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models.(1997) In: CIRANO Working Papers.
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This paper has another version. Agregated cites: 7
paper
1998Long memory in continuous-time stochastic volatility models In: Mathematical Finance.
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article185
1996Long Memory in Continuous Time Stochastic Volatility Models..(1996) In: Toulouse - GREMAQ.
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This paper has another version. Agregated cites: 185
paper
2000Semi-Parametric Indirect Inference In: STICERD - Econometrics Paper Series.
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paper2
2000Semi-parametric indirect inference.(2000) In: LSE Research Online Documents on Economics.
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This paper has another version. Agregated cites: 2
paper
2009Efficient Derivative Pricing By The Extended Method of Moments In: Swiss Finance Institute Research Paper Series.
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paper13
2011Efficient Derivative Pricing by the Extended Method of Moments.(2011) In: Econometrica.
[Citation analysis]
This paper has another version. Agregated cites: 13
article
2000Temporal Aggregation of Volatility Models In: CIRANO Working Papers.
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paper75
2004Temporal aggregation of volatility models.(2004) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 75
article
2001Asymmetric Smiles, Leverage Effects and Structural Parameters In: CIRANO Working Papers.
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paper12
2000Asymmetric Smiles, Leverage Effects and Structural Parameters.(2000) In: Working Papers.
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paper
2001Asymmetric Smiles, Leverage Effects and Structural Parameters..(2001) In: Cahiers de recherche.
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paper
2001Asymmetric Smiles, Leverage Effects and Structural Parameters..(2001) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 12
paper
2001Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note : New version February 2002) / Empirical Assessment of an Intertemporal Option Pricing Model with Latent Varia In: CIRANO Working Papers.
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paper0
2001Risque de modèle de volatilité In: CIRANO Working Papers.
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paper0
2003Disentangling Risk Aversion and Intertemporal Substitution Through a Reference Level In: CIRANO Working Papers.
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paper12
2006Disentangling risk aversion and intertemporal substitution through a reference level.(2006) In: Finance Research Letters.
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This paper has another version. Agregated cites: 12
article
2003Short Run and Long Run Causality in Time Series: Inference In: CIRANO Working Papers.
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paper67
2006Short run and long run causality in time series: inference.(2006) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 67
article
2003Short run and long run causality in time series: Inference.(2003) In: Cahiers de recherche.
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This paper has another version. Agregated cites: 67
paper
2003Short Run and Long Run Causality in Time Series : Inference.(2003) In: Cahiers de recherche.
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This paper has another version. Agregated cites: 67
paper
2004The Econometrics of Option Pricing In: CIRANO Working Papers.
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paper21
2004On the Efficient Use of the Informational Content of Estimating Equations: Implied Probabilities and Euclidean Empirical Likelihood In: CIRANO Working Papers.
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paper36
2007On the efficient use of the informational content of estimating equations: Implied probabilities and Euclidean empirical likelihood.(2007) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 36
article
2004Conditionally Heteroskedastic Factor Models: Identification and Instrumental Variables Estimation In: CIRANO Working Papers.
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paper2
2012Testing for Common GARCH Factors In: CIRANO Working Papers.
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paper2
2011Testing for Common GARCH Factors.(2011) In: MPRA Paper.
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This paper has another version. Agregated cites: 2
paper
2016Indirect Inference with Endogenously Missing Exogenous Variables In: CIRANO Working Papers.
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paper0
2016Efficient Two-Step Estimation via Targeting In: CIRANO Working Papers.
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paper0
1995Stochastic Volatility In: CIRANO Working Papers.
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paper315
1995Stochastic Volatility.(1995) In: CORE Discussion Papers.
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This paper has another version. Agregated cites: 315
paper
1995Stochastic Volatility..(1995) In: Toulouse - GREMAQ.
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paper
1996Stochastic Volatility..(1996) In: Cahiers de recherche.
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This paper has another version. Agregated cites: 315
paper
1996Stochastic Volatility..(1996) In: Cahiers de recherche.
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This paper has another version. Agregated cites: 315
paper
1997Nonparametric Methods and Option Pricing In: CIRANO Working Papers.
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paper5
1997Nonparametric methods and option pricing.(1997) In: CORE Discussion Papers.
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This paper has another version. Agregated cites: 5
paper
1998Risk Aversion, Intertemporal Substitution, and Option Pricing In: CIRANO Working Papers.
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paper6
1998Risk Aversion, Intertemporal Substitution, and Option Pricing.(1998) In: Working Papers.
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This paper has another version. Agregated cites: 6
paper
1998Risk Aversion, Intertemporal Substitution, and Option Pricing.(1998) In: Cahiers de recherche.
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paper
1998Risk Aversion, Intertemporal Substitution, and Option Pricing..(1998) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 6
paper
1998Quadratic M-Estimators for ARCH-Type Processes In: CIRANO Working Papers.
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paper4
1998Quadratic M-Estimators for ARCH-Type Processes.(1998) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4
paper
1999Latent Variable Models for Stochastic Discount Factors In: CIRANO Working Papers.
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paper1
2000Latent Variable Models for Stochastic Discount Factors..(2000) In: Cahiers de recherche.
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This paper has another version. Agregated cites: 1
paper
2000Letent Variable Models for Stochastic Discount Factors..(2000) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 1
paper
2005Viewpoint: Option prices, preferences, and state variables In: Canadian Journal of Economics.
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article1
1997Continuously updated extremum estimators In: CORE Discussion Papers.
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paper0
2006Estimation of stable distributions by indirect inference In: CORE Discussion Papers.
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paper21
2011Estimation of stable distributions by indirect inference.(2011) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 21
article
2000Nonparametric Instrumental Regression In: Working Papers.
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paper154
2011Nonparametric Instrumental Regression.(2011) In: Econometrica.
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This paper has another version. Agregated cites: 154
article
2011Nonparametric Instrumental Regression.(2011) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 154
paper
2010Non Parametric Instrumental Regression.(2010) In: IDEI Working Papers.
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paper
2002Nonparametric Instrumental Regression.(2002) In: Cahiers de recherche.
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This paper has another version. Agregated cites: 154
paper
2000Latent Variable Models for Stochastic Discount In: Working Papers.
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paper0
2000Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables In: Working Papers.
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paper37
2003Empirical assessment of an intertemporal option pricing model with latent variables.(2003) In: Journal of Econometrics.
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2001Empirical Assessment of an Intertemporal Option Pricing Model with Latent variables.(2001) In: Cahiers de recherche.
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This paper has another version. Agregated cites: 37
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2001Empirical Assessment of an Intertemporal option Pricing Model with Latent variables..(2001) In: Cahiers de recherche.
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This paper has another version. Agregated cites: 37
paper
2004Efficient Derivative Pricing by Extended Method of Moments In: Working Papers.
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paper2
2005Efficient Derivative Pricing by Extended Method of Moments.(2005) In: Working Papers.
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2005Efficient Derivative Pricing by Extended Method of Moments.(2005) In: University of St. Gallen Department of Economics working paper series 2005.
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2002Symposium on Marshalls Tendencies: 4 Comments on Marshalls Tendencies In: Economics and Philosophy.
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1996Noncausality in Continuous Time Models In: Econometric Theory.
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article9
1998TESTING FOR EMBEDDABILITY BY STATIONARY REVERSIBLE CONTINUOUS-TIME MARKOV PROCESSES In: Econometric Theory.
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article9
2012THE ET INTERVIEW: CHRISTIAN GOURIÉROUX AND ALAIN MONFORT In: Econometric Theory.
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article0
2014REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS In: Econometric Theory.
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article13
1989Testing for Common Roots. In: Econometrica.
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article1
1998Short Run and Long Run Causality in Time Series: Theory In: Econometrica.
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article91
1995Short-Run and Long-Rub Causality in Time Series: Theory..(1995) In: Cahiers de recherche.
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1995Short-Run and Long-Rub Causality in Time Series: Theory..(1995) In: Cahiers de recherche.
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2013Testing for Common Conditionally Heteroskedastic Factors In: Econometrica.
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article4
2009Efficient GMM with nearly-weak instruments In: Econometrics Journal.
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article15
2007Linear Inverse Problems in Structural Econometrics Estimation Based on Spectral Decomposition and Regularization In: Handbook of Econometrics.
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chapter61
2006GARCH and irregularly spaced data In: Economics Letters.
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2003GARCH and Irregularly Spaced Data.(2003) In: Discussion Paper.
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2004Dynamic factor models In: Journal of Econometrics.
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article1
2007Indirect inference and calibration of dynamic stochastic general equilibrium models In: Journal of Econometrics.
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article54
2011Estimation of objective and risk-neutral distributions based on moments of integrated volatility In: Journal of Econometrics.
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article17
2011Causality effects in return volatility measures with random times In: Journal of Econometrics.
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article8
2012Efficient minimum distance estimation with multiple rates of convergence In: Journal of Econometrics.
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article16
2012Efficient Minimum Distance Estimation with Multiple Rates of Convergence.(2012) In: Discussion Papers.
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2014The dynamic mixed hitting-time model for multiple transaction prices and times In: Journal of Econometrics.
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1987Simulated residuals In: Journal of Econometrics.
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1987Generalised residuals In: Journal of Econometrics.
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1996Long memory continuous time models In: Journal of Econometrics.
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2000Econometric methods for derivative securities and risk management In: Journal of Econometrics.
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1998Testing for spurious causality in exchange rates In: Journal of Empirical Finance.
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1998Testing for Spurious Causality in Exchange Rates.(1998) In: ULB Institutional Repository.
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2014Aggregation of preferences for skewed asset returns In: Journal of Economic Theory.
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2015Causality and separability In: Statistics & Probability Letters.
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2004Conditionaly Heteroskedastic Factor Models : Identificationand Instrumental variables Estmation In: THEMA Working Papers.
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2004Option Prices, Preferences, and State Variables In: Emory Economics.
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1993Indirect Inference..(1993) In: Journal of Applied Econometrics.
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1992Causalites a court et a long terme dans les modeles VAR et ARIMA multivaries. In: Toulouse - GREMAQ.
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1993Option Hedging and Implicit Volatilities. In: Toulouse - GREMAQ.
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1993Option Hedging and Implicit Volatilities. Non Causality in Continuous Time Varma Models. In: Toulouse - GREMAQ.
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1996Econometric Models of Option Pricing Errors. In: Toulouse - GREMAQ.
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1996Calibrarion By Simulation for Small Sample Bias Correction. In: Toulouse - GREMAQ.
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1996Aggregations and Marginalization of Garch and Stochastic Volatility Models. In: Toulouse - GREMAQ.
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1998Aggregations and Marginalization of GARCH and Stochastic Volatility Models.(1998) In: Cahiers de recherche.
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1991True Versus Spurious Instantaneous Causality. In: Universite Libre de Bruxelles - C.E.M.E..
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2007Proper Conditioning for Coherent VaR in Portfolio Management In: Management Science.
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2012Affine fractional stochastic volatility models In: Annals of Finance.
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2014Estimating scale economies in financial intermediation: a doubly indirect inference In: Journal of Productivity Analysis.
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2013Editorial Announcement In: Journal of Financial Econometrics.
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2011The JFEC Invited Lecture at the 2009 SoFiE Conference In: Journal of Financial Econometrics.
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2008State Dependence Can Explain the Risk Aversion Puzzle In: Review of Financial Studies.
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1997Les techniques quantitatives de la gestion de portefeuille In: L'Actualité Economique.
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2012Efficient Inference with Poor Instruments: a General Framework In: Discussion Papers.
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2017Testing Identification Strength In: Discussion Papers.
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2016On the relevance of weaker instruments In: Discussion Papers.
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2006Factor Stochastic Volatility in Mean Models: A GMM Approach In: Econometric Reviews.
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2015Shrinkage of Variance for Minimum Distance Based Tests In: Econometric Reviews.
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2004Stochatic Volatility Models with Transaction Time Risk In: Discussion Paper.
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2011Estimation of stable distributions with indirect inference In: ULB Institutional Repository.
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2013Latest developments in heavy-tailed distributions In: ULB Institutional Repository.
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