Eric Michel Renault : Citation Profile


Are you Eric Michel Renault?

23

H index

40

i10 index

2870

Citations

RESEARCH PRODUCTION:

51

Articles

88

Papers

1

Chapters

EDITOR:

1

Series edited

RESEARCH ACTIVITY:

   34 years (1985 - 2019). See details.
   Cites by year: 84
   Journals where Eric Michel Renault has often published
   Relations with other researchers
   Recent citing documents: 171.    Total self citations: 47 (1.61 %)

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   Permalink: http://citec.repec.org/pre313
   Updated: 2021-11-20    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 (79)

Minford, A. Patrick (56)

Andersen, Torben (55)

Chen, Xiaohong (44)

Bollerslev, Tim (43)

Barndorff-Nielsen, Ole (43)

Meenagh, David (39)

Ghysels, Eric (36)

Sentana, Enrique (35)

Meddahi, Nour (29)

Fiorentini, Gabriele (27)

Cites to:

Engle, Robert (54)

Hansen, Lars (51)

Bollerslev, Tim (42)

Ghysels, Eric (37)

Drost, Feike C. (31)

Garcia, René (31)

Sentana, Enrique (30)

gourieroux, christian (28)

Meddahi, Nour (22)

Tauchen, George (22)

Shephard, Neil (22)

Main data


Where Eric Michel Renault has published?


Journals with more than one article published# docs
Journal of Econometrics15
Econometrica5
Annals of Economics and Statistics3
Mathematical Finance3
Journal of Business & Economic Statistics3
Econometric Theory3
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
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 (2021 and 2020)


YearTitle of citing document
2020Roughness in spot variance? A GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures. (2020). Christensen, Kim ; Bolko, Anine E ; Veliyev, Bezirgen ; Pakkanen, Mikko S. In: CREATES Research Papers. RePEc:aah:create:2020-12.

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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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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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2020Honest 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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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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2021Minimizing Sensitivity to Model Misspecification. (2018). Weidner, Martin ; Bonhomme, Stéphane. In: Papers. RePEc:arx:papers:1807.02161.

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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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2021Identification and Estimation of Group-Level Partial Effects. (2018). Nagasawa, Kenichi. In: Papers. RePEc:arx:papers:1811.00667.

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2021Identification of semiparametric discrete outcome models with bounded covariates. (2018). Kashaev, Nail. In: Papers. RePEc:arx:papers:1811.05555.

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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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2021Detecting Identification Failure in Moment Condition Models. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1907.13093.

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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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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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2021Invariant 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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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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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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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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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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2021Roughness 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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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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2020Nonparametric instrumental regression with right censored duration outcomes. (2020). VanKeilegom, Ingrid ; FLORENS, Jean-Pierre ; Beyhum, Jad ; van Keilegom, Ingrid. In: Papers. RePEc:arx:papers:2011.10423.

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2021Kernel Methods for Unobserved Confounding: Negative Controls, Proxies, and Instruments. (2020). Singh, Rahul. In: Papers. RePEc:arx:papers:2012.10315.

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2020Growth, development, and structural change at the firm-level: The example of the PR China. (2020). Dai, Shuanping ; Yang, Jangho ; Heinrich, Torsten. In: Papers. RePEc:arx:papers:2012.14503.

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

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

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

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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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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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2020Overeducation and overskilling in the early careers of PhD graduates: Does international migration reduce labour market mismatch?. (2020). Grassi, Emanuele ; Ghosh, Sucharita. In: Papers in Regional Science. RePEc:bla:presci:v:99:y:2020:i:4:p:915-944.

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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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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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2020Hypothesis Tests with a Repeatedly Singular Information Matrix. (2020). Sentana, Enrique ; Amengual, Dante ; Bei, Xinyue. In: Working Papers. RePEc:cmf:wpaper:wp2020_2002.

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2020The Jacobian of the Exponential Function. (2020). Sentana, Enrique ; Magnus, Jan R ; Henk, . In: Working Papers. RePEc:cmf:wpaper:wp2020_2005.

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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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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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2020Institutional investors and post-ICO performance: an empirical analysis of investor returns in initial coin offerings (ICOs). (2020). Momtaz, Paul P ; Fisch, Christian. In: Journal of Corporate Finance. RePEc:eee:corfin:v:64:y:2020:i:c:s0929119920301231.

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2020A cost-benefit analysis of capital requirements adjusted for model risk. (2020). Tunaru, Radu ; Fringuellotti, Fulvia ; Farkas, Walter. In: Journal of Corporate Finance. RePEc:eee:corfin:v:65:y:2020:i:c:s0929119920301978.

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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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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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2020Implied risk aversion and pricing kernel in the FTSE 100 index. (2020). Sung, Hao-Chang ; Ju, Wen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940818302092.

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2020Estimating nonlinear dynamic equilibrium models by matching impulse responses. (2020). Ruge-Murcia, Francisco. In: Economics Letters. RePEc:eee:ecolet:v:197:y:2020:i:c:s0165176520303840.

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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 ; Han, Hyojin ; Renault, Eric. 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 ; Patton, Andrew ; Bollerslev, Tim. 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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2020Testing identification strength. (2020). Antoine, Bertille ; Renault, Eric. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:2:p:271-293.

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2020Inference in second-order identified models. (2020). Kleibergen, Frank ; Hall, Alastair R ; Dovonon, Prosper. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:2:p:346-372.

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2020Inference of local regression in the presence of nuisance parameters. (2020). Xu, Ke-Li. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:2:p:532-560.

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2020Testing a large set of zero restrictions in regression models, with an application to mixed frequency Granger causality. (2020). Motegi, Kaiji ; Hill, Jonathan B ; Ghysels, Eric. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:2:p:633-654.

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2020Testing distributional assumptions using a continuum of moments. (2020). Sentana, Enrique ; Carrasco, Marine ; Amengual, Dante. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:2:p:655-689.

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2020Volatility regressions with fat tails. (2020). Kim, Jihyun ; Meddahi, Nour. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:2:p:690-713.

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2020Ill-posed estimation in high-dimensional models with instrumental variables. (2020). Simoni, Anna ; Breunig, Christoph ; Mammen, Enno. In: Journal of Econometrics. RePEc:eee:econom:v:219:y:2020:i:1:p:171-200.

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2020Score tests in GMM: Why use implied probabilities?. (2020). Renault, Eric ; Chaudhuri, Saraswata. In: Journal of Econometrics. RePEc:eee:econom:v:219:y:2020:i:2:p:260-280.

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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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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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2021Nonparametric Instrumental Variable Estimation of Binary Response Models with Continuous Endogenous Regressors. (2021). Centorrino, Samuele ; FLORENS, Jean-Pierre. In: Econometrics and Statistics. RePEc:eee:ecosta:v:17:y:2021:i:c:p:35-63.

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2021A data-driven framework for consistent financial valuation and risk measurement. (2021). Kirkby, Lars J ; Cui, Zhenyu ; Nguyen, Duy. In: European Journal of Operational Research. RePEc:eee:ejores:v:289:y:2021:i:1:p:381-398.

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

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2021Stochastic volatility, jumps and leverage in energy and stock markets: Evidence from high frequency data. (2021). Baum, Christopher ; Chen, Liyuan ; Zerilli, Paola. In: Energy Economics. RePEc:eee:eneeco:v:93:y:2021:i:c:s0140988319302622.

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2021The impact of Covid-19 on G7 stock markets volatility: Evidence from a ST-HAR model. (2021). Sivaprasad, Sheeja ; Pappas, Vasileios ; Muradolu, Yaz Gulnur ; Izzeldin, Marwan. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s1057521921000144.

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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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2020Rough stochastic elasticity of variance and option pricing. (2020). Zhang, Wenjun ; Kim, See-Woo ; Cao, Jiling. In: Finance Research Letters. RePEc:eee:finlet:v:37:y:2020:i:c:s1544612319308050.

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2021A survival analysis of public guaranteed loans: Does financial intermediary matter?. (2021). Rossolini, Monica ; Cucinelli, Doriana ; Corbetta, Guido ; Caselli, Stefano. In: Journal of Financial Stability. RePEc:eee:finsta:v:54:y:2021:i:c:s1572308921000401.

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2021Option pricing in regime-switching frameworks with the Extended Girsanov Principle. (2021). Trottier, Denis-Alexandre ; Godin, Frederic. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:116-129.

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

Eric Michel Renault is editor of


Journal
Journal of Financial Econometrics

Works by Eric Michel Renault:


YearTitleTypeCited
1987Kullback Causality Measures In: Annals of Economics and Statistics.
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1993Tests sur le noyau, limage et le rang de la matrice des coefficients dun modéle linéaire multivarié In: Annals of Economics and Statistics.
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2007Diffusion Processes with Polynomial Eigenfunctions In: Annals of Economics and Statistics.
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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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2005State Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle In: Staff Working Papers.
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2007Implications of Asymmetry Risk for Portfolio Analysis and Asset Pricing In: Staff Working Papers.
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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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article19
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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2003Iterative and Recursive Estimation in Structural Nonadaptive Models. In: Journal of Business & Economic Statistics.
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article25
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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article23
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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article10
1997A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models.(1997) In: CIRANO Working Papers.
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1998Long memory in continuous?time stochastic volatility models In: Mathematical Finance.
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article274
1996Long Memory in Continuous Time Stochastic Volatility Models..(1996) In: Toulouse - GREMAQ.
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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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2010Efficient Derivative Pricing By The Extended Method of Moments In: Swiss Finance Institute Research Paper Series.
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2004Efficient Derivative Pricing by Extended Method of Moments.(2004) In: Working Papers.
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2005Efficient Derivative Pricing by Extended Method of Moments.(2005) In: Working Papers.
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2011Efficient Derivative Pricing by the Extended Method of Moments.(2011) In: Econometrica.
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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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2000Temporal Aggregation of Volatility Models In: CIRANO Working Papers.
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paper92
2004Temporal aggregation of volatility models.(2004) In: Journal of Econometrics.
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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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2001Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note : Nouvelle version Février 2002) In: CIRANO Working Papers.
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2001Risque de modèle de volatilité In: CIRANO Working Papers.
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2003Disentangling Risk Aversion and Intertemporal Substitution Through a Reference Level In: CIRANO Working Papers.
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2006Disentangling risk aversion and intertemporal substitution through a reference level.(2006) In: Finance Research Letters.
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2003Short Run and Long Run Causality in Time Series: Inference In: CIRANO Working Papers.
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2006Short run and long run causality in time series: inference.(2006) In: Journal of Econometrics.
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2003Short run and long run causality in time series: Inference.(2003) In: Cahiers de recherche.
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2003Short Run and Long Run Causality in Time Series : Inference.(2003) In: Cahiers de recherche.
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2004The Econometrics of Option Pricing In: CIRANO Working Papers.
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paper20
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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paper57
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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2004Conditionally Heteroskedastic Factor Models: Identification and Instrumental Variables Estimation In: CIRANO Working Papers.
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2004Conditionaly Heteroskedastic Factor Models : Identificationand Instrumental variables Estmation.(2004) In: THEMA Working Papers.
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2012Testing for Common GARCH Factors In: CIRANO Working Papers.
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2011Testing for Common GARCH Factors.(2011) In: MPRA Paper.
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2016Indirect Inference with Endogenously Missing Exogenous Variables In: CIRANO Working Papers.
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2016Efficient Two-Step Estimation via Targeting In: CIRANO Working Papers.
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1995Stochastic Volatility In: CIRANO Working Papers.
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1995Stochastic Volatility.(1995) In: LIDAM Discussion Papers CORE.
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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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1997Nonparametric Methods and Option Pricing In: CIRANO Working Papers.
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paper5
1997Nonparametric methods and option pricing.(1997) In: LIDAM Discussion Papers CORE.
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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.
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This paper has another version. Agregated cites: 7
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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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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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2005Viewpoint: Option prices, preferences, and state variables In: Canadian Journal of Economics.
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1997Continuously updated extremum estimators In: LIDAM Discussion Papers CORE.
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2006Estimation of stable distributions by indirect inference In: LIDAM Discussion Papers CORE.
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paper27
2011Estimation of stable distributions by indirect inference.(2011) In: Journal of Econometrics.
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1985Simulated residuals In: CEPREMAP Working Papers (Couverture Orange).
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1987Simulated residuals.(1987) In: Journal of Econometrics.
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1985Testing unknown linear restrictions on parameter functions In: CEPREMAP Working Papers (Couverture Orange).
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1987Consistent m-estimators in a semi-parametric model In: CEPREMAP Working Papers (Couverture Orange).
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1991Two stages generalized moment method with applications to regressions with heteroscedasticity of unkwnown form In: CEPREMAP Working Papers (Couverture Orange).
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2000Nonparametric Instrumental Regression In: Working Papers.
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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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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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1989Testing for Common Roots. In: Econometrica.
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1998Short Run and Long Run Causality in Time Series: Theory In: Econometrica.
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2013Testing for Common Conditionally Heteroskedastic Factors In: Econometrica.
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2009Efficient GMM with nearly-weak instruments In: Econometrics Journal.
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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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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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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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2014Estimating scale economies in financial intermediation: a doubly indirect inference In: Journal of Productivity Analysis.
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2011The JFEC Invited Lecture at the 2009 SoFiE Conference In: Journal of Financial Econometrics.
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