Eric Michel Renault : Citation Profile


Are you Eric Michel Renault?

23

H index

38

i10 index

2732

Citations

RESEARCH PRODUCTION:

51

Articles

84

Papers

1

Chapters

EDITOR:

1

Series edited

RESEARCH ACTIVITY:

   32 years (1987 - 2019). See details.
   Cites by year: 85
   Journals where Eric Michel Renault has often published
   Relations with other researchers
   Recent citing documents: 167.    Total self citations: 47 (1.69 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pre313
   Updated: 2020-10-17    RAS profile: 2016-11-16    
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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 (84)

Minford, A. Patrick (56)

Andersen, Torben (54)

Barndorff-Nielsen, Ole (47)

Chen, Xiaohong (44)

Bollerslev, Tim (43)

Meenagh, David (39)

Ghysels, Eric (36)

Sentana, Enrique (32)

Meddahi, Nour (29)

Fiorentini, Gabriele (28)

Cites to:

Engle, Robert (54)

Hansen, Lars (51)

Bollerslev, Tim (42)

Ghysels, Eric (37)

Garcia, René (31)

Drost, Feike C. (31)

Sentana, Enrique (30)

gourieroux, christian (28)

Shephard, Neil (22)

Harvey, Andrew (22)

Tauchen, George (22)

Main data


Where Eric Michel Renault has published?


Journals with more than one article published# docs
Journal of Econometrics15
Econometrica5
Mathematical Finance3
Econometric Theory3
Annals of Economics and Statistics3
Journal of Business & Economic Statistics3
Econometric Reviews2
Journal of Financial Econometrics2

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 (2020 and 2019)


YearTitle of citing document
2019Relevant moment selection under mixed identification strength. (2019). Dovonon, Prosper ; Doko Tchatoka, Firmin ; Aguessy, Michael. In: School of Economics Working Papers. RePEc:adl:wpaper:2019-04.

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2019The Identification Zoo: Meanings of Identification in Econometrics. (2019). Lewbel, Arthur. In: Journal of Economic Literature. RePEc:aea:jeclit:v:57:y:2019:i:4:p:835-903.

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2019Honest confidence sets in nonparametric IV regression and other ill-posed models. (2019). Babii, Andrii. In: Papers. RePEc:arx:papers:1611.03015.

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2019Probability density of lognormal fractional SABR model. (2019). Akahori, Jiro ; Wang, Tai-Ho ; Song, Xiaoming. In: Papers. RePEc:arx:papers:1702.08081.

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2019Indirect Inference with a Non-Smooth Criterion Function. (2019). Oka, Tatsushi ; Zhu, Dan ; Frazier, David T. In: Papers. RePEc:arx:papers:1708.02365.

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2019Functional central limit theorems for rough volatility. (2019). Jacquier, Antoine ; Muguruza, Aitor ; Horvath, Blanka. In: Papers. RePEc:arx:papers:1711.03078.

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2020Estimation for high-frequency data under parametric market microstructure noise. (2017). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1712.01479.

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2020Towards a General Large Sample Theory for Regularized Estimators. (2019). Jansson, Michael ; Pouzo, Demian. In: Papers. RePEc:arx:papers:1712.07248.

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2020Ill-posed Estimation in High-Dimensional Models with Instrumental Variables. (2018). Simoni, Anna ; Mammen, Enno ; Breunig, Christoph. In: Papers. RePEc:arx:papers:1806.00666.

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2020Minimizing Sensitivity to Model Misspecification. (2018). Weidner, Martin ; Bonhomme, Stéphane. In: Papers. RePEc:arx:papers:1807.02161.

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2019Portfolio Optimization in Fractional and Rough Heston Models. (2019). Desmettre, Sascha ; Bauerle, Nicole. In: Papers. RePEc:arx:papers:1809.10716.

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2020Stochastic Revealed Preferences with Measurement Error. (2018). Kashaev, Nail ; Aguiar, Victor. In: Papers. RePEc:arx:papers:1810.05287.

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2020Optimal hedging under fast-varying stochastic volatility. (2019). Solna, Knut ; Garnier, Josselin. In: Papers. RePEc:arx:papers:1810.08337.

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2020Identification and Estimation of Group-Level Partial Effects. (2018). Nagasawa, Kenichi. In: Papers. RePEc:arx:papers:1811.00667.

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2019Improved Inference on the Rank of a Matrix. (2019). Fang, Zheng ; Chen, Qihui. In: Papers. RePEc:arx:papers:1812.02337.

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2019Inference on Functionals under First Order Degeneracy. (2019). Fang, Zheng ; Chen, Qihui. In: Papers. RePEc:arx:papers:1901.04861.

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2020A Sieve-SMM Estimator for Dynamic Models. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1902.01456.

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2019Penalized Sieve GEL for Weighted Average Derivatives of Nonparametric Quantile IV Regressions. (2019). Chen, Xiaohong ; Powell, James L ; Pouzo, Demian. In: Papers. RePEc:arx:papers:1902.10100.

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2019Stacked Monte Carlo for option pricing. (2019). Oumgari, Mugad ; Malone, Emma R ; Jacquier, Antoine. In: Papers. RePEc:arx:papers:1903.10795.

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2019Rough volatility of Bitcoin. (2019). Takaishi, Tetsuya. In: Papers. RePEc:arx:papers:1904.12346.

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2019Is Volatility Rough ?. (2019). Westphal, Rebecca ; Takabatake, Tetsuya ; Fukasawa, Masaaki. In: Papers. RePEc:arx:papers:1905.04852.

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2019Decomposition formula for rough Volterra stochastic volatility models. (2019). Vives, Josep ; Sottinen, Tommi ; Sobotka, Tom'Avs ; Posp, Jan ; Merino, Raul. In: Papers. RePEc:arx:papers:1906.07101.

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2019Forecasting securitys volatility using low-frequency historical data, high-frequency historical data and option-implied volatility. (2019). Cui, Xiangyu ; Zhang, Zhiyuan ; Zhou, Yong ; Yuan, Huiling. In: Papers. RePEc:arx:papers:1907.02666.

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2019Detecting Identification Failure in Moment Condition Models. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1907.13093.

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2019Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data. (2019). Ki, Byoung ; Lee, Kyungsub. In: Papers. RePEc:arx:papers:1908.05089.

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2019The Ridge Path Estimator for Linear Instrumental Variables. (2019). Sowell, Fallaw ; Sengupta, Nandana. In: Papers. RePEc:arx:papers:1908.09237.

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2019Portfolio optimisation under rough Heston models. (2019). Duthie, Benjamin James. In: Papers. RePEc:arx:papers:1909.02972.

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2019Discerning Solution Concepts. (2019). Salcedo, Bruno ; Kashaev, Nail. In: Papers. RePEc:arx:papers:1909.09320.

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2019Goodness-of-Fit Tests based on Series Estimators in Nonparametric Instrumental Regression. (2019). Breunig, Christoph. In: Papers. RePEc:arx:papers:1909.10133.

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2019Implied volatility surface predictability: the case of commodity markets. (2019). Shang, Han Lin ; Sheenan, Lisa ; Kearney, Fearghal. In: Papers. RePEc:arx:papers:1909.11009.

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2020A General Framework for Inference on Shape Restrictions. (2019). Seo, Juwon ; Fang, Zheng. In: Papers. RePEc:arx:papers:1910.07689.

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2019Forecasting Implied Volatility Smile Surface via Deep Learning and Attention Mechanism. (2019). Zhang, Zili ; Chen, Shengli. In: Papers. RePEc:arx:papers:1912.11059.

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2020Asymptotics of the time-discretized log-normal SABR model: The implied volatility surface. (2020). Zhu, Lingjiong ; Pirjol, Dan. In: Papers. RePEc:arx:papers:2001.09850.

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2020Invariant measures for fractional stochastic volatility models. (2020). , Mikl'Os ; Gerencs, Bal'Azs. In: Papers. RePEc:arx:papers:2002.04832.

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2020Is the variance swap rate affine in the spot variance? Evidence from S&P500 data. (2020). Mancino, Maria Elvira ; Toscano, Giacomo ; Scotti, Simone. In: Papers. RePEc:arx:papers:2004.04015.

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2020An 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.

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2020Regret Theory And Asset Pricing Anomalies In Incomplete Markets With Dynamic Un-Aggregated Preferences. (2020). Nwogugu, Michael. In: Papers. RePEc:arx:papers:2005.01709.

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2020Arctic Amplification of Anthropogenic Forcing: A Vector Autoregressive Analysis. (2020). Gobel, Maximilian ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2005.02535.

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2020Short-Term Investments and Indices of Risk. (2020). Schreiber, Amnon ; Heller, Yuval. In: Papers. RePEc:arx:papers:2005.06576.

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2020Minimax Estimation of Conditional Moment Models. (2020). Syrgkanis, Vasilis ; MacKey, Lester ; Lewis, Greg ; Dikkala, Nishanth. In: Papers. RePEc:arx:papers:2006.07201.

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2020Valid Causal Inference with (Some) Invalid Instruments. (2020). Veitch, Victor ; Hartford, Jason ; Leyton-Brown, Kevin ; Sridhar, Dhanya. In: Papers. RePEc:arx:papers:2006.11386.

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2020Asset Prices and Capital Share Risks: Theory and Evidence. (2020). Ibrahim, Boulis M ; Byrne, Joseph P ; Zong, Xiaoyu. In: Papers. RePEc:arx:papers:2006.14023.

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2020Dynamic Effects of Persistent Shocks. (2020). Sanz, Carlos ; Alloza, Mario ; Gonzalo, Jesus. In: Papers. RePEc:arx:papers:2006.14047.

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2020Permutation-based tests for discontinuities in event studies. (2020). Li, Jia ; Bugni, Federico A. In: Papers. RePEc:arx:papers:2007.09837.

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2020A decomposition formula for fractional Heston jump diffusion models. (2020). Ortiz-Latorre, Salvador ; Lagunas-Merino, Marc. In: Papers. RePEc:arx:papers:2007.14328.

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2020The Multiplicative Chaos of $H=0$ Fractional Brownian Fields. (2020). Neuman, Eyal ; Hager, Paul. In: Papers. RePEc:arx:papers:2008.01385.

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2020Generalisation of Fractional-Cox-Ingersoll-Ross Process. (2020). Mulaudzi, Mmboniseni ; Mukeru, Safari ; Mpanda, Marc Mukendi. In: Papers. RePEc:arx:papers:2008.07798.

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2020Roughness 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.

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2020Robust Identification of Investor Beliefs. (2020). Hansen, Peter G ; Chen, Xiaohong. In: Working Papers. RePEc:bfi:wpaper:2020-69.

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2019The Identification Problem for Linear Rational Expectations Models. (2019). Al-Sadoon, Majid ; Zwiernik, Piotr. In: Working Papers. RePEc:bge:wpaper:1114.

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2020A Markov‐switching analysis of Nigerias business cycles: Are election cycles important?. (2020). Olakojo, Solomon. In: African Development Review. RePEc:bla:afrdev:v:32:y:2020:i:1:p:67-79.

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2020A regularity structure for rough volatility. (2020). Stemper, Benjamin ; Martin, Jorg ; Gassiat, Paul ; Friz, Peter K ; Bayer, Christian. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:3:p:782-832.

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2019Stochastic volatility, jumps and leverage in energy and stock markets: evidence from high frequency data. (2019). Zerilli, Paola ; Chen, Liyuan ; Baum, Christopher. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:952.

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2019The Identification Zoo - Meanings of Identification in Econometrics. (2019). Lewbel, Arthur. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:957.

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2020On the Informativeness of Descriptive Statistics for Structural Estimates. (2020). Shapiro, Jesse ; Gentzkow, Matthew ; Andrews, Isaiah. In: Working Papers. RePEc:bro:econwp:2020-06.

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2020Nonparametric Euler Equation Identi?cation and Estimation. (2020). Srisuma, S ; Linton, O ; Lewbel, A ; Hoderlein, S ; Escanciano, J C. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2064.

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2019Asymptotic F Tests under Possibly Weak Identification. (2019). Wang, Xuexin ; Sun, Yixiao ; Martinez-Iriarte, Julian. In: University of California at San Diego, Economics Working Paper Series. RePEc:cdl:ucsdec:qt6qk200q8.

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2020Hypothesis tests with a repeatedly singular information matrix. (2020). Amengual, Dante ; Bei, Xinyue ; Sentana, Enrique. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14415.

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2020Robust Identification of Investor Beliefs. (2020). Hansen, Peter G ; Chen, Xiaohong. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2236.

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2019Punished banks acquisitions: Evidence from the U.S. banking industry. (2019). Tsoumas, Chris ; Travlos, Nickolaos G ; Staikouras, Panagiotis ; Papadimitri, Panagiota. In: Journal of Corporate Finance. RePEc:eee:corfin:v:58:y:2019:i:c:p:744-764.

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2019Functional Ross recovery: Theoretical results and empirical tests. (2019). Maurer, Raimond ; Dillschneider, Yannick. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:108:y:2019:i:c:s0165188919301496.

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2020Expectile CAPM. (2020). Zheng, Zhenlong ; Hu, Wei. In: Economic Modelling. RePEc:eee:ecmode:v:88:y:2020:i:c:p:386-397.

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2020Risk dependence and cointegration between pharmaceutical stock markets: The case of China and the USA. (2020). Pérez-Rodríguez, Jorge ; Lopez-Valcarcel, Beatriz Gonzalez ; Perez-Rodriguez, Jorge V ; Qian, Huanhuan ; Zhou, Xinmiao. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300723.

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2020VIX forecasting based on GARCH-type model with observable dynamic jumps: A new perspective. (2020). Li, Weiping ; Yang, Jiyu ; Qiao, Gaoxiu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:53:y:2020:i:c:s1062940820300838.

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2019Asymptotic theory for rough fractional Vasicek models. (2019). Yu, Jun ; Xiao, Weilin. In: Economics Letters. RePEc:eee:ecolet:v:177:y:2019:i:c:p:26-29.

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2019The algebra of two scales estimation, and the S-TSRV: High frequency estimation that is robust to sampling times. (2019). Mykland, Per A ; Chen, Dachuan ; Zhang, Lan. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:1:p:101-119.

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2019Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data. (2019). Dai, Chaoxing ; Xiu, Dacheng ; Lu, Kun. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:1:p:43-79.

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2019Estimating the integrated volatility with tick observations. (2019). Jacod, Jean ; Zheng, Xinghua ; Li, Yingying. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:1:p:80-100.

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2019Priors about observables in vector autoregressions. (2019). Jarociński, Marek ; Marcet, Albert ; Jarociski, Marek. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:2:p:238-255.

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2019Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book. (2019). Potiron, Yoann ; Clinet, Simon. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:2:p:289-337.

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2019Inference on functionals under first order degeneracy. (2019). Fang, Zheng ; Chen, Qihui. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:2:p:459-481.

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2019A model-free consistent test for structural change in regression possibly with endogeneity. (2019). Hong, Yongmiao ; Fu, Zhonghao. In: Journal of Econometrics. RePEc:eee:econom:v:211:y:2019:i:1:p:206-242.

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2019Unified inference for nonlinear factor models from panels with fixed and large time span. (2019). Todorov, Viktor ; Fusari, Nicola ; Andersen, Torben G ; Varneskov, Rasmus T. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:1:p:4-25.

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2019Commercial and Residential Mortgage Defaults: Spatial Dependence with Frailty. (2019). Babii, Andrii ; Ghysels, Eric ; Chen, XI. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:1:p:47-77.

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2019On asymptotic size distortions in the random coefficients logit model. (2019). Ketz, Philipp. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:2:p:413-432.

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2019Identification and wavelet estimation of weighted ATE under discontinuous and kink incentive assignment mechanisms. (2019). Chen, Heng ; Fan, Yanqin. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:2:p:476-502.

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2019The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing. (2019). Veliyev, Bezirgen ; Thyrsgaard, Martin ; Christensen, Kim. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:2:p:556-583.

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2019Penalized sieve GEL for weighted average derivatives of nonparametric quantile IV regressions. (2019). Powell, James L ; Pouzo, Demian ; Chen, Xiaohong. In: Journal of Econometrics. RePEc:eee:econom:v:213:y:2019:i:1:p:30-53.

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2019Consistent non-Gaussian pseudo maximum likelihood estimators. (2019). Sentana, Enrique ; Fiorentini, Gabriele. In: Journal of Econometrics. RePEc:eee:econom:v:213:y:2019:i:2:p:321-358.

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2020Issues in the estimation of mis-specified models of fractionally integrated processes. (2020). Poskitt, D S ; Nadarajah, K ; Martin, Gael M. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:2:p:559-573.

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2020Option market trading activity and the estimation of the pricing kernel: A Bayesian approach. (2020). Fusari, Nicola ; Barone-Adesi, Giovanni ; Sala, Carlo ; Mira, Antonietta. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:2:p:430-449.

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2020The leverage effect puzzle revisited: Identification in discrete time. (2020). Khrapov, Stanislav ; Renault, Eric ; Han, Hyojin. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:230-258.

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2020Multivariate leverage effects and realized semicovariance GARCH models. (2020). Quaedvlieg, Rogier ; Bollerslev, Tim ; Patton, Andrew J. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:411-430.

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2020Asymptotic F tests under possibly weak identification. (2020). Wang, Xuexin ; Sun, Yixiao ; Martinez-Iriarte, Julian. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:1:p:140-177.

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2019Closed-form results for vector moving average models with a univariate estimation approach. (2019). Sbrana, Giacomo ; Poloni, Federico. In: Econometrics and Statistics. RePEc:eee:ecosta:v:10:y:2019:i:c:p:27-52.

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2020Robust frontier estimation from noisy data: A Tikhonov regularization approach. (2020). Simar, Leopold ; FLORENS, Jean-Pierre ; Daouia, Abdelaati. In: Econometrics and Statistics. RePEc:eee:ecosta:v:14:y:2020:i:c:p:1-23.

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2020Iterative estimation correcting for error auto-correlation in short panels, applied to lagged dependent variable models. (2020). De Blander, Rembert ; Deblander, Rembert . In: Econometrics and Statistics. RePEc:eee:ecosta:v:15:y:2020:i:c:p:3-29.

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2019Testing subspace Granger causality. (2019). Al-Sadoon, Majid M. In: Econometrics and Statistics. RePEc:eee:ecosta:v:9:y:2019:i:c:p:42-61.

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2019Crude oil price shocks and hedging performance: A comparison of volatility models. (2019). Cho, Hoon ; Chun, Dohyun ; Kim, Jihun. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:1132-1147.

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2020Moments-based spillovers across gold and oil markets. (2020). Lau, Chi Keung ; GUPTA, RANGAN ; Wang, Shixuan ; Marco, Chi Keung ; Bonato, Matteo. In: Energy Economics. RePEc:eee:eneeco:v:89:y:2020:i:c:s0140988320301390.

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2019The changing network of financial market linkages: The Asian experience. (2019). Volkov, Vladimir ; Sayeed, Mohammad Abu ; Kangogo, Moses ; Dungey, Mardi ; Chowdhury, Biplob. In: International Review of Financial Analysis. RePEc:eee:finana:v:64:y:2019:i:c:p:71-92.

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2020Rough volatility of Bitcoin. (2020). Takaishi, Tetsuya. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s154461231930337x.

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2019Intraday information from S&P 500 Index futures options. (2019). , Nelson ; Chen, Ying ; Lim, Kian Guan. In: Journal of Financial Markets. RePEc:eee:finmar:v:42:y:2019:i:c:p:29-55.

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2019Hidden protectionism? Evidence from non-tariff barriers to trade in the United States. (2019). Grundke, Robert ; Moser, Christoph. In: Journal of International Economics. RePEc:eee:inecon:v:117:y:2019:i:c:p:143-157.

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2019Option pricing under regime-switching models: Novel approaches removing path-dependence. (2019). Lai, Van Son ; Godin, Frederic ; Trottier, Denis-Alexandre. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:87:y:2019:i:c:p:130-142.

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2019Approximate Bayesian forecasting. (2019). , Brendan ; Martin, Gael M ; Maneesoonthorn, Worapree ; Frazier, David T. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:2:p:521-539.

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2019Volatility tail risk under fractionality. (2019). Santucci de Magistris, Paolo ; Morelli, Giacomo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:108:y:2019:i:c:s0378426619302298.

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2019Implied volatility surface predictability: The case of commodity markets. (2019). Sheenan, Lisa ; Shang, Han Lin ; Kearney, Fearghal. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:108:y:2019:i:c:s0378426619302328.

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2019A non-structural investigation of VIX risk neutral density. (2019). Santucci de Magistris, Paolo ; Violante, Francesco ; Barletta, Andrea. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:99:y:2019:i:c:p:1-20.

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2020Is there a risk-return trade-off in cryptocurrency markets? The case of Bitcoin. (2020). , Walid. In: Journal of Economics and Business. RePEc:eee:jebusi:v:108:y:2020:i:c:s0148619519302206.

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2020Measuring skewness premia. (2020). Langlois, Hugues. In: Journal of Financial Economics. RePEc:eee:jfinec:v:135:y:2020:i:2:p:399-424.

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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
2019Indirect Inference With(Out) Constraints In: Papers.
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paper3
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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article18
1997Statistical Inference for Random Variance Option Pricing.(1997) In: Working Papers.
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1995Statistical Inference for Random Variance Option Pricing..(1995) In: Toulouse - GREMAQ.
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This paper has another version. Agregated cites: 18
paper
2003Iterative and Recursive Estimation in Structural Nonadaptive Models. In: Journal of Business & Economic Statistics.
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article24
2003Iterative and Recursive Estimation in Structural Non-Adaptive Models.(2003) In: CIRANO Working Papers.
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paper
2003Iterative and Recursive Estimation in Structural Nonadaptive Models: Rejoinder. In: Journal of Business & Economic Statistics.
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article22
1996OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL1 In: Mathematical Finance.
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article64
1998A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models In: Mathematical Finance.
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article8
1997A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models.(1997) In: CIRANO Working Papers.
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paper
1998Long memory in continuous‐time stochastic volatility models In: Mathematical Finance.
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article254
1996Long Memory in Continuous Time Stochastic Volatility Models..(1996) In: Toulouse - GREMAQ.
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paper
2000Semi-Parametric Indirect Inference In: STICERD - Econometrics Paper Series.
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paper4
2000Semi-parametric indirect inference.(2000) In: LSE Research Online Documents on Economics.
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paper
2010Efficient Derivative Pricing By The Extended Method of Moments In: Swiss Finance Institute Research Paper Series.
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paper25
2004Efficient Derivative Pricing by Extended Method of Moments.(2004) In: Working Papers.
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paper
2005Efficient Derivative Pricing by Extended Method of Moments.(2005) In: Working Papers.
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paper
2011Efficient Derivative Pricing by the Extended Method of Moments.(2011) In: Econometrica.
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article
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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This paper has another version. Agregated cites: 25
paper
2000Temporal Aggregation of Volatility Models In: CIRANO Working Papers.
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paper91
2004Temporal aggregation of volatility models.(2004) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 91
article
2001Asymmetric Smiles, Leverage Effects and Structural Parameters In: CIRANO Working Papers.
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paper14
2000Asymmetric Smiles, Leverage Effects and Structural Parameters.(2000) In: Working Papers.
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2001Asymmetric Smiles, Leverage Effects and Structural Parameters..(2001) In: Cahiers de recherche.
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2001Asymmetric Smiles, Leverage Effects and Structural Parameters..(2001) In: Cahiers de recherche.
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paper
2001Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note : Nouvelle version Février 2002) 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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paper16
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: 16
article
2003Short Run and Long Run Causality in Time Series: Inference In: CIRANO Working Papers.
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paper82
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: 82
article
2003Short run and long run causality in time series: Inference.(2003) In: Cahiers de recherche.
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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: 82
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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paper52
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: 52
article
2004Conditionally Heteroskedastic Factor Models: Identification and Instrumental Variables Estimation In: CIRANO Working Papers.
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paper4
2004Conditionaly Heteroskedastic Factor Models : Identificationand Instrumental variables Estmation.(2004) In: THEMA Working Papers.
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paper
2012Testing for Common GARCH Factors In: CIRANO Working Papers.
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paper3
2011Testing for Common GARCH Factors.(2011) In: MPRA Paper.
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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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paper1
1995Stochastic Volatility In: CIRANO Working Papers.
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paper326
1995Stochastic Volatility.(1995) In: CORE Discussion Papers.
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1995Stochastic Volatility..(1995) In: Toulouse - GREMAQ.
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1996Stochastic Volatility..(1996) In: Cahiers de recherche.
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1996Stochastic Volatility..(1996) In: Cahiers de recherche.
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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
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1998Risk Aversion, Intertemporal Substitution, and Option Pricing In: CIRANO Working Papers.
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paper7
1998Risk Aversion, Intertemporal Substitution, and Option Pricing.(1998) In: Working Papers.
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1998Risk Aversion, Intertemporal Substitution, and Option Pricing.(1998) In: Cahiers de recherche.
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1998Risk Aversion, Intertemporal Substitution, and Option Pricing..(1998) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 7
paper
1998Quadratic M-Estimators for ARCH-Type Processes In: CIRANO Working Papers.
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paper5
1998Quadratic M-Estimators for ARCH-Type Processes.(1998) In: Cahiers de recherche.
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This paper has another version. Agregated cites: 5
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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2000Letent Variable Models for Stochastic Discount Factors..(2000) In: Cahiers de recherche.
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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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article2
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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paper27
2011Estimation of stable distributions by indirect inference.(2011) In: Journal of Econometrics.
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2000Nonparametric Instrumental Regression In: Working Papers.
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paper196
2011Nonparametric Instrumental Regression.(2011) In: Econometrica.
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2011Nonparametric Instrumental Regression.(2011) In: Post-Print.
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2010Non Parametric Instrumental Regression.(2010) In: IDEI Working Papers.
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2002Nonparametric Instrumental Regression.(2002) In: Cahiers de recherche.
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2000Latent Variable Models for Stochastic Discount In: Working Papers.
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2000Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables In: Working Papers.
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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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2001Empirical Assessment of an Intertemporal option Pricing Model with Latent variables..(2001) In: Cahiers de recherche.
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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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1998TESTING FOR EMBEDDABILITY BY STATIONARY REVERSIBLE CONTINUOUS-TIME MARKOV PROCESSES In: Econometric Theory.
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2014REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS In: Econometric Theory.
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article21
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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article118
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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article18
2009Efficient GMM with nearly-weak instruments In: Econometrics Journal.
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article24
2007Linear Inverse Problems in Structural Econometrics Estimation Based on Spectral Decomposition and Regularization In: Handbook of Econometrics.
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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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2007Indirect inference and calibration of dynamic stochastic general equilibrium models In: Journal of Econometrics.
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2011Estimation of objective and risk-neutral distributions based on moments of integrated volatility In: Journal of Econometrics.
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2011Causality effects in return volatility measures with random times In: Journal of Econometrics.
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2012Efficient minimum distance estimation with multiple rates of convergence In: Journal of Econometrics.
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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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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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