Eric Michel Renault : Citation Profile


Are you Eric Michel Renault?

25

H index

43

i10 index

3289

Citations

RESEARCH PRODUCTION:

51

Articles

88

Papers

1

Chapters

EDITOR:

1

Series edited

RESEARCH ACTIVITY:

   34 years (1985 - 2019). See details.
   Cites by year: 96
   Journals where Eric Michel Renault has often published
   Relations with other researchers
   Recent citing documents: 204.    Total self citations: 48 (1.44 %)

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   Permalink: http://citec.repec.org/pre313
   Updated: 2023-03-25    RAS profile: 2016-11-16    
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Relations with other researchers


Works with:

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

Is cited by:

Shephard, Neil (79)

Minford, A. Patrick (57)

Andersen, Torben (57)

Chen, Xiaohong (54)

Bollerslev, Tim (45)

Meenagh, David (41)

Sentana, Enrique (40)

Ghysels, Eric (37)

Diebold, Francis (34)

Meddahi, Nour (29)

Carrasco, Marine (28)

Cites to:

Engle, Robert (61)

Hansen, Lars (54)

Bollerslev, Tim (50)

Garcia, René (42)

Ghysels, Eric (39)

Sentana, Enrique (33)

Drost, Feike C. (33)

gourieroux, christian (31)

Shephard, Neil (24)

Harvey, Andrew (23)

Tauchen, George (23)

Main data


Where Eric Michel Renault has published?


Journals with more than one article published# docs
Journal of Econometrics15
Econometrica5
Journal of Business & Economic Statistics3
Mathematical Finance3
Econometric Theory3
Annals of Economics and Statistics3
Econometric Reviews2
The 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 (2022 and 2021)


YearTitle of citing document
2022Attention economy and higher-order beliefs in voters’ online attention searches. (2022). Sinha, Paritosh Chandra. In: Theoretical and Applied Economics. RePEc:agr:journl:v:1(630):y:2022:i:1(630):p:187-214.

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2021Impact of rough stochastic volatility models on long-term life insurance pricing. (2021). Hainaut, Donatien ; Barbarin, Jerome ; Dupret, Jean-Loup. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2021017.

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2022A mollifier approach to the deconvolution of probability densities. (2022). Vanhems, Anne ; Simar, Leopold ; Marechal, Pierre ; Hohage, Thorsten. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2022011.

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2021Machine Learning Time Series Regressions With an Application to Nowcasting. (2021). Striaukas, Jonas ; Ghysels, Eric ; Babii, Andrii. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2021004.

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2021Decoupling 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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2021Asymptotics for rough stochastic volatility models. (2016). Forde, Martin ; Zhang, Hongzhong. In: Papers. RePEc:arx:papers:1610.08878.

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2021Are unobservables separable?. (2020). FLORENS, Jean-Pierre ; Babii, Andrii. In: Papers. RePEc:arx:papers:1705.01654.

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2021Is completeness necessary? Estimation in nonidentified linear models. (2020). Babii, Andrii ; FLORENS, Jean-Pierre. In: Papers. RePEc:arx:papers:1709.03473.

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2021Minimizing Sensitivity to Model Misspecification. (2018). Weidner, Martin ; Bonhomme, St√É∆í√ā¬©phane. In: Papers. RePEc:arx:papers:1807.02161.

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2022Identification and Estimation of Group-Level Partial Effects. (2018). Nagasawa, Kenichi. In: Papers. RePEc:arx:papers:1811.00667.

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2022Identification of semiparametric discrete outcome models with bounded covariates. (2018). Kashaev, Nail. In: Papers. RePEc:arx:papers:1811.05555.

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2023A Sieve-SMM Estimator for Dynamic Models. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1902.01456.

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2022Detecting Identification Failure in Moment Condition Models. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1907.13093.

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2022Measuring productivity dispersion: a parametric approach using the L\{e}vy alpha-stable distribution. (2019). Lafond, Fran√É∆í√ā¬ßois ; Farmer, Doyne J ; Koutroumpis, Pantelis ; Winkler, Julian ; Heinrich, Torsten ; Yang, Jangho. In: Papers. RePEc:arx:papers:1910.05219.

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2021A General Framework for Inference on Shape Restrictions. (2019). Seo, Juwon ; Fang, Zheng. In: Papers. RePEc:arx:papers:1910.07689.

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2021Invariant measures for fractional stochastic volatility models. (2020). , Mikl'Os ; Gerencs, Bal'Azs. In: Papers. RePEc:arx:papers:2002.04832.

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2021An 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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2022Large and moderate deviations for stochastic Volterra systems. (2020). Pannier, Alexandre ; Jacquier, Antoine. In: Papers. RePEc:arx:papers:2004.10571.

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2021Arctic 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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2022Permutation-based tests for discontinuities in event studies. (2020). Li, Jia ; Bugni, Federico A. In: Papers. RePEc:arx:papers:2007.09837.

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2022Generalisation 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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2022Roughness 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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2022Kernel Methods for Policy Evaluation: Treatment Effects, Mediation Analysis, and Off-Policy Planning. (2020). Gretton, Arthur ; Xu, Liyuan ; Singh, Rahul. In: Papers. RePEc:arx:papers:2010.04855.

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2021Non-Equilibrium Skewness, Market Crises, and Option Pricing: Non-Linear Langevin Model of Markets with Supersymmetry. (2020). Halperin, Igor. In: Papers. RePEc:arx:papers:2011.01417.

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2021Weak Identification in Discrete Choice Models. (2020). Renault, Eric ; Frazier, David T ; Zhao, Xueyan ; Zhang, Lina. In: Papers. RePEc:arx:papers:2011.06753.

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2022Kernel Methods for Unobserved Confounding: Negative Controls, Proxies, and Instruments. (2020). Singh, Rahul. In: Papers. RePEc:arx:papers:2012.10315.

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2022Adaptive Estimation of Quadratic Functionals in Nonparametric Instrumental Variable Models. (2021). Chen, Xiaohong ; Breunig, Christoph. In: Papers. RePEc:arx:papers:2101.12282.

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2021Debiased Kernel Methods. (2021). Singh, Rahul. In: Papers. RePEc:arx:papers:2102.11076.

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2022American options in the Volterra Heston model. (2021). , Elizabeth ; Pulido, Sergio ; Chevalier, Etienne. In: Papers. RePEc:arx:papers:2103.11734.

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2021Fractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedging. (2021). Salmon, Nicholas ; Sengupta, Indranil. In: Papers. RePEc:arx:papers:2105.02325.

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2021Identification robust inference for moments based analysis of linear dynamic panel data models. (2021). Kleibergen, Frank. In: Papers. RePEc:arx:papers:2105.08346.

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2021Semiparametric inference for partially linear regressions with Box-Cox transformation. (2021). Patilea, Valentin ; Kneip, Alois ; Becker, Daniel. In: Papers. RePEc:arx:papers:2106.10723.

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2021Robustness and sensitivity analyses for rough Volterra stochastic volatility models. (2021). Posp, Jan ; Matas, Jan. In: Papers. RePEc:arx:papers:2107.12462.

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2021Dynamic functional time-series forecasts of foreign exchange implied volatility surfaces. (2021). Shang, Han Lin ; Kearney, Fearghal. In: Papers. RePEc:arx:papers:2107.14026.

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2022Learning Causal Relationships from Conditional Moment Conditions by Importance Weighting. (2021). Yasui, Shota ; McAlinn, Kenichiro ; Kakehi, Haruo ; Kato, Masahiro. In: Papers. RePEc:arx:papers:2108.01312.

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2022On simulation of rough Volterra stochastic volatility models. (2021). Posp, Jan ; Matas, Jan. In: Papers. RePEc:arx:papers:2108.01999.

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2022Cubature Method for Stochastic Volterra Integral Equations. (2021). Zhang, Jianfeng ; Feng, QI. In: Papers. RePEc:arx:papers:2110.12853.

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2022Kernel Methods for Multistage Causal Inference: Mediation Analysis and Dynamic Treatment Effects. (2021). Gretton, Arthur ; Xu, Liyuan ; Singh, Rahul. In: Papers. RePEc:arx:papers:2111.03950.

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2022Ergodic aspects of trading with threshold strategies. (2021). , Mikl'Os ; Lovas, Attila. In: Papers. RePEc:arx:papers:2111.14708.

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2022Option Pricing with State-dependent Pricing Kernel. (2021). Huang, Zhuo ; Hansen, Peter Reinhard ; Tong, Chen. In: Papers. RePEc:arx:papers:2112.05308.

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2022A Finite Sample Theorem for Longitudinal Causal Inference with Machine Learning: Long Term, Dynamic, and Mediated Effects. (2021). Singh, Rahul. In: Papers. RePEc:arx:papers:2112.14249.

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2022Binary response model with many weak instruments. (2022). Seong, Dakyung. In: Papers. RePEc:arx:papers:2201.04811.

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2022Generalized Kernel Ridge Regression for Long Term Causal Inference: Treatment Effects, Dose Responses, and Counterfactual Distributions. (2022). Singh, Rahul. In: Papers. RePEc:arx:papers:2201.05139.

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2022Fractional SDE-Net: Generation of Time Series Data with Long-term Memory. (2022). Nakagawa, Kei ; Hayashi, Kohei. In: Papers. RePEc:arx:papers:2201.05974.

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2022On Well-posedness and Minimax Optimal Rates of Nonparametric Q-function Estimation in Off-policy Evaluation. (2022). Qi, Zhengling ; Chen, Xiaohong. In: Papers. RePEc:arx:papers:2201.06169.

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2022High-Dimensional Sparse Multivariate Stochastic Volatility Models. (2022). Asai, Manabu ; Poignard, Benjamin. In: Papers. RePEc:arx:papers:2201.08584.

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2022Long-Horizon Return Predictability from Realized Volatility in Pure-Jump Point Processes. (2022). Soulier, Philippe ; Hurvich, Clifford ; Hsieh, Meng-Chen. In: Papers. RePEc:arx:papers:2202.00793.

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2022Continuous permanent unobserved heterogeneity in dynamic discrete choice models. (2022). Bunting, Jackson. In: Papers. RePEc:arx:papers:2202.03960.

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2022Long-term Causal Inference Under Persistent Confounding via Data Combination. (2022). Imbens, Guido ; Wang, Yuhao ; Mao, Xiaojie ; Kallus, Nathan. In: Papers. RePEc:arx:papers:2202.07234.

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2022Fairness constraint in Structural Econometrics and Application to fair estimation using Instrumental Variables. (2022). Centorrino, Samuele ; Loubes, Jean-Michel ; FLORENS, Jean-Pierre. In: Papers. RePEc:arx:papers:2202.08977.

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2022Can LSTM outperform volatility-econometric models?. (2022). Rodikov, German ; Antulov-Fantulin, Nino. In: Papers. RePEc:arx:papers:2202.11581.

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2022Indirect Inference for Nonlinear Panel Models with Fixed Effects. (2022). Chen, Shuowen. In: Papers. RePEc:arx:papers:2203.10683.

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2022Rough volatility: fact or artefact?. (2022). Das, Purba ; Cont, Rama. In: Papers. RePEc:arx:papers:2203.13820.

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2022Option Pricing with Time-Varying Volatility Risk Aversion. (2022). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2204.06943.

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2022The fractional volatility model and rough volatility. (2022). Mendes, Vilela R. In: Papers. RePEc:arx:papers:2206.02205.

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2022Stochastic arbitrage with market index options. (2022). Seo, Juwon ; Beare, Brendan K. In: Papers. RePEc:arx:papers:2207.00949.

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2022Malliavin differentiability of fractional Heston-type model and applications to option pricing. (2022). Mpanda, Marc Mukendi. In: Papers. RePEc:arx:papers:2207.10709.

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2022Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation. (2022). Vachon, Marie-Claude ; MacKay, Anne ; Cui, Zhenyu. In: Papers. RePEc:arx:papers:2207.14793.

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2022Testing for error invariance in separable instrumental variable models. (2022). van Keilegom, Ingrid ; VanKeilegom, Ingrid ; Lapenta, Elia ; FLORENS, Jean-Pierre ; Beyhum, Jad. In: Papers. RePEc:arx:papers:2208.05344.

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2022Debiased Inference on Identified Linear Functionals of Underidentified Nuisances via Penalized Minimax Estimation. (2022). Mao, Xiaojie ; Kallus, Nathan. In: Papers. RePEc:arx:papers:2208.08291.

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2022Option pricing in Volterra sandwiched volatility model. (2022). Yurchenko-Tytarenko, Anton ; Mishura, Yuliya ; di Nunno, Giulia. In: Papers. RePEc:arx:papers:2209.10688.

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2022Sandwiched Volterra Volatility model: Markovian approximations and hedging. (2022). Yurchenko-Tytarenko, Anton ; di Nunno, Giulia. In: Papers. RePEc:arx:papers:2209.13054.

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2022The rough Hawkes Heston stochastic volatility model. (2022). Scotti, Simone ; Pulido, Sergio ; Bondi, Alessandro. In: Papers. RePEc:arx:papers:2210.12393.

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2022Spectral Representation Learning for Conditional Moment Models. (2022). Scholkopf, Bernhard ; Zhu, Jun ; Li, Yueru ; Luo, Yucen ; Wang, Ziyu. In: Papers. RePEc:arx:papers:2210.16525.

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2022Robust Inference for Dynamic Panel Threshold Models. (2022). Seo, Myung Hwan ; Gong, Woosik. In: Papers. RePEc:arx:papers:2211.04027.

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2023On the Past, Present, and Future of the Diebold-Yilmaz Approach to Dynamic Network Connectedness. (2022). Yilmaz, Kamil ; Diebold, Francis X. In: Papers. RePEc:arx:papers:2211.04184.

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2023An Intraday GARCH Model for Discrete Price Changes and Irregularly Spaced Observations. (2022). Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2211.12376.

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2022Cross-Sectional Dynamics Under Network Structure: Theory and Macroeconomic Applications. (2022). Mlikota, Marko. In: Papers. RePEc:arx:papers:2211.13610.

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2022Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints. (2022). , Li ; Illand, Camille ; Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2212.08297.

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2022Partly Linear Instrumental Variables Regressions without Smoothing on the Instruments. (2022). Lapenta, Elia ; Florens, Jean-Pierre. In: Papers. RePEc:arx:papers:2212.11012.

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2023The Chained Difference-in-Differences. (2023). Dortet-Bernardet, Vincent ; Benatia, David ; Bell, Christophe. In: Papers. RePEc:arx:papers:2301.01085.

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2023Minimax Instrumental Variable Regression and $L_2$ Convergence Guarantees without Identification or Closedness. (2023). Newey, Whitney ; Mao, Xiaojie ; Kallus, Nathan ; Bennett, Andrew ; Uehara, Masatoshi ; Syrgkanis, Vasilis. In: Papers. RePEc:arx:papers:2302.05404.

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2021Volatility Bursts: A discrete-time option model with multiple volatility components. (2021). Lilla, Francesca. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1336_21.

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2023Firms innovation and university cooperation. New evidence from a survey of Italian firms.. (2023). Rigon, Massimiliano ; Cortelezzi, Flavia ; Bragoli, Daniela. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1400_23.

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2021Firm-specific risk-neutral distributions with options and CDS. (2021). Jahan-Parvar, Mohammad ; Aramonte, Sirio ; Schindler, John W ; Rosen, Samuel. In: BIS Working Papers. RePEc:bis:biswps:921.

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2021Instrument residual estimator for any response variable with endogenous binary treatment. (2021). Lee, Myoung-jae. In: Journal of the Royal Statistical Society Series B. RePEc:bla:jorssb:v:83:y:2021:i:3:p:612-635.

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2022State Heterogeneity Analysis of Financial Volatility using high?frequency Financial Data. (2022). Kim, Donggyu ; Chun, Dohyun. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:1:p:105-124.

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2022Estimation and inference in adaptive learning models with slowly decreasing gains. (2022). Mayer, Alexander. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:5:p:720-749.

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2021Revenue?Sharing Contracts Under Quality Uncertainty in Remanufacturing. (2021). Iyer, Ananth ; Vedantam, Aditya. In: Production and Operations Management. RePEc:bla:popmgt:v:30:y:2021:i:7:p:2008-2026.

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2021Boosting multiplicative model combination. (2021). Vidoni, Paolo. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:48:y:2021:i:3:p:761-789.

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2022Time-Varying Linear Transformation Models with Fixed Effects and Endogeneity for Short Panels. (2022). Muris, Chris ; Botosaru, Irene ; Sokullu, Senay. In: Bristol Economics Discussion Papers. RePEc:bri:uobdis:22/756.

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2021Estimation in partially linear semiparametric models with parametric and/or nonparametric endogeneity. (2021). Wongsa-art, Patrick ; Saart, Patrick W ; Kim, Namhyun. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2021/9.

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2022Targeting moments for calibration compared with indirect inference. (2022). Minford, Patrick ; Meenagh, David ; Xu, Yongdeng. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2022/12.

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2023Score-type tests for normal mixtures. (2023). Sentana, Enrique ; Bei, Xinyue ; Amengual, Dante ; Carrasco, Marine. In: CIRANO Working Papers. RePEc:cir:cirwor:2023s-02.

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2022Specification tests for non-Gaussian structural vector autoregressions. (2022). Sentana, Enrique ; Fiorentini, Gabriele ; Amengual, Dante. In: Working Papers. RePEc:cmf:wpaper:wp2022_2212.

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2022Score-type tests for normal mixtures. (2022). Sentana, Enrique ; Carrasco, Marine ; Bei, Xinyue ; Amengual, Dante. In: Working Papers. RePEc:cmf:wpaper:wp2022_2213.

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2022Weak Identification of Long Memory with Implications for Inference. (2022). Yu, Jun ; Phillips, Peter ; Shi, Shuping. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2334.

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2021Comparison of Local Projection Estimators for Proxy Vector Autoregressions. (2021). Lutkepohl, Helmut ; Bruns, Martin. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1949.

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2021Option pricing with polynomial chaos expansion stochastic bridge interpolators and signed path dependence. (2021). Peters, Gareth W ; Dias, Fabio S. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:411:y:2021:i:c:s0096300321005737.

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2021The closed-form option pricing formulas under the sub-fractional Poisson volatility models. (2021). Yang, Zijian ; Wang, Xiaotian ; Cao, Piyao. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:148:y:2021:i:c:s0960077921003660.

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2021The Jacobian of the exponential function. (2021). Sentana, Enrique ; Henk, ; Magnus, Jan R. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:127:y:2021:i:c:s0165188921000579.

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2022Comparison of local projection estimators for proxy vector autoregressions. (2022). L√ɬľtkepohl, Helmut ; Lutkepohl, Helmut ; Bruns, Martin. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:134:y:2022:i:c:s0165188921002128.

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2022Taxation and the distributional impact of inflation: The U.S. post-war experience. (2022). Wieschemeyer, Matthias ; Sussmuth, Bernd. In: Economic Modelling. RePEc:eee:ecmode:v:111:y:2022:i:c:s0264999322000591.

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2021Optimal Linear Instrumental Variables Approximations. (2021). Escanciano, Juan Carlos ; Li, Wei. In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:1:p:223-246.

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2021The continuous-time limit of score-driven volatility models. (2021). Livieri, Giulia ; Flandoli, Franco ; Corsi, Fulvio ; Buccheri, Giuseppe. In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:2:p:655-675.

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2021Empirical asset pricing with multi-period disaster risk: A simulation-based approach. (2021). Grammig, Joachim ; Sonksen, Jantje. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:805-832.

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2021Solving Euler equations via two-stage nonparametric penalized splines. (2021). Hong, Yongmiao ; Cui, Liyuan ; Li, Yingxing. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:2:p:1024-1056.

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2021Indirect inference for locally stationary models. (2021). Koo, Bonsoo ; Frazier, David T. In: Journal of Econometrics. RePEc:eee:econom:v:223:y:2021:i:1:p:1-27.

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2021Simple estimators and inference for higher-order stochastic volatility models. (2021). Dufour, Jean-Marie ; Ahsan, Md Nazmul. In: Journal of Econometrics. RePEc:eee:econom:v:224:y:2021:i:1:p:181-197.

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2021Consistent inference for predictive regressions in persistent economic systems. (2021). Andersen, Torben ; Varneskov, Rasmus T. In: Journal of Econometrics. RePEc:eee:econom:v:224:y:2021:i:1:p:215-244.

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2021Sieve estimation of option-implied state price density. (2021). Qu, Zhongjun ; Lu, Junwen. In: Journal of Econometrics. RePEc:eee:econom:v:224:y:2021:i:1:p:88-112.

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

Eric Michel Renault is editor of


Journal
The Journal of Financial Econometrics

Works by Eric Michel Renault:


YearTitleTypeCited
1987Kullback Causality Measures In: Annals of Economics and Statistics.
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