Eric Michel Renault : Citation Profile


Are you Eric Michel Renault?

Brown University

21

H index

36

i10 index

2541

Citations

RESEARCH PRODUCTION:

52

Articles

85

Papers

1

Chapters

EDITOR:

1

Series edited

RESEARCH ACTIVITY:

   30 years (1987 - 2017). See details.
   Cites by year: 84
   Journals where Eric Michel Renault has often published
   Relations with other researchers
   Recent citing documents: 154.    Total self citations: 48 (1.85 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pre313
   Updated: 2019-10-06    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 (55)

Andersen, Torben (50)

Barndorff-Nielsen, Ole (47)

Chen, Xiaohong (43)

Bollerslev, Tim (40)

Meenagh, David (37)

Ghysels, Eric (36)

Sentana, Enrique (29)

Meddahi, Nour (28)

Fiorentini, Gabriele (27)

Cites to:

Engle, Robert (62)

Hansen, Lars (56)

Bollerslev, Tim (43)

Garcia, René (39)

Ghysels, Eric (38)

Sentana, Enrique (36)

Drost, Feike C. (33)

gourieroux, christian (29)

Shephard, Neil (27)

Harvey, Andrew (25)

Diebold, Francis (23)

Main data


Where Eric Michel Renault has published?


Journals with more than one article published# docs
Journal of Econometrics15
Econometrica5
Econometric Theory4
Mathematical Finance3
Journal of Business & Economic Statistics3
Annals of Economics and 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
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 (2019 and 2018)


YearTitle of citing document
2018Unified Inference for Nonlinear Factor Models from Panels with Fixed and Large Time Span. (2018). Andersen, Torben ; Varneskov, Rasmus T ; Todorov, Viktor ; Fusari, Nicola. In: CREATES Research Papers. RePEc:aah:create:2018-03.

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2018Diffusion Copulas: Identification and Estimation. (2018). Kristensen, Dennis ; Hadri, Kaddour ; Bu, Ruijun. In: CREATES Research Papers. RePEc:aah:create:2018-20.

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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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2018Inequality of Opportunity in Earnings in Rural China. (2018). Shi, X. In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia. RePEc:ags:iaae18:277016.

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2018Local Parametric Estimation in High Frequency Data. (2018). Potiron, Yoann. In: Papers. RePEc:arx:papers:1603.05700.

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2018Semiparametric inference on the fractal index of Gaussian and conditionally Gaussian time series data. (2018). Bennedsen, Mikkel . In: Papers. RePEc:arx:papers:1608.01895.

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2018Generalized Random Forests. (2018). Athey, Susan ; Wager, Stefan ; Tibshirani, Julie. In: Papers. RePEc:arx:papers:1610.01271.

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2018Efficient asymptotic variance reduction when estimating volatility in high frequency data. (2018). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1701.01185.

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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. (2018). Oka, Tatsushi ; Zhu, Dan ; Frazier, David T. In: Papers. RePEc:arx:papers:1708.02365.

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2018Large deviation principle for Volterra type fractional stochastic volatility models. (2018). Gulisashvili, Archil. In: Papers. RePEc:arx:papers:1710.10711.

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2018Fractional Brownian motion with zero Hurst parameter: a rough volatility viewpoint. (2018). Neuman, Eyal ; Rosenbaum, Mathieu. In: Papers. RePEc:arx:papers:1711.00427.

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2019Functional central limit theorems for rough volatility. (2017). Jacquier, Antoine ; Muguruza, Aitor ; Horvath, Blanka. In: Papers. RePEc:arx:papers:1711.03078.

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2018Uniform Inference for Characteristic Effects of Large Continuous-Time Linear Models. (2018). Yang, Xiye ; Liao, Yuan. In: Papers. RePEc:arx:papers:1711.04392.

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2018Improved Density and Distribution Function Estimation. (2018). Oryshchenko, Vitaliy ; Smith, Richard J. In: Papers. RePEc:arx:papers:1711.04793.

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2019Some Large Sample Results for the Method of Regularized Estimators. (2017). Jansson, Michael ; Pouzo, Demian. In: Papers. RePEc:arx:papers:1712.07248.

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2018Structural Estimation of Behavioral Heterogeneity. (2018). Shi, Zhentao ; Zheng, Huanhuan. In: Papers. RePEc:arx:papers:1802.03735.

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

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2018Asymptotic Refinements of a Misspecification-Robust Bootstrap for Generalized Empirical Likelihood Estimators. (2018). Lee, Seojeong. In: Papers. RePEc:arx:papers:1806.00953.

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

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2018On smile properties of volatility derivatives and exotic products: understanding the VIX skew. (2018). Alos, Elisa ; Muguruza, Aitor ; Garc, David. In: Papers. RePEc:arx:papers:1808.03610.

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2018Cryptocurrencies, Mainstream Asset Classes and Risk Factors - A Study of Connectedness. (2018). Milunovich, George. In: Papers. RePEc:arx:papers:1809.03072.

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2019Portfolio Optimization in Fractional and Rough Heston Models. (2018). Bauerle, Nicole ; Desmettre, Sascha. In: Papers. RePEc:arx:papers:1809.10716.

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

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2019Optimal hedging under fast-varying stochastic volatility. (2018). Garnier, Josselin ; Solna, Knut. In: Papers. RePEc:arx:papers:1810.08337.

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

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2019Improved Inference on the Rank of a Matrix. (2018). Chen, Qihui ; Fang, Zheng. In: Papers. RePEc:arx:papers:1812.02337.

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2018Affine Rough Models. (2018). Keller-Ressel, Martin ; Pulido, Sergio ; Larsson, Martin. In: Papers. RePEc:arx:papers:1812.08486.

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

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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: 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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2018Monetary Policy and Long-Run Systemic Risk-Taking. (2018). Colletaz, Gilbert ; Popescu, Alexandra ; Levieuge, Gregory. In: Working papers. RePEc:bfr:banfra:694.

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2018Cryptocurrencies, Mainstream Asset Classes and Risk Factors: A Study of Connectedness. (2018). Milunovich, George. In: Australian Economic Review. RePEc:bla:ausecr:v:51:y:2018:i:4:p:551-563.

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2018System dynamics at sixty: the path forward. (2018). Sterman, John. In: System Dynamics Review. RePEc:bla:sysdyn:v:34:y:2018:i:1-2:p:5-47.

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2019Stochastic volatility, jumps and leverage in energy and stock markets: evidence from high frequency data. (2018). Zerilli, Paola ; Chen, Liyuan ; Baum, Christopher. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:952.

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2018The Identification Zoo - Meanings of Identification in Econometrics. (2018). Lewbel, Arthur. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:957.

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2018Testing DSGE Models by indirect inference: a survey of recent findings. (2018). Xu, Yongdeng ; Wickens, Michael ; Minford, A. Patrick ; Meenagh, David. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2018/14.

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2018The small sample properties of Indirect Inference in testing and estimating DSGE models. (2018). Xu, Yongdeng ; Wickens, Michael ; Minford, A. Patrick ; Meenagh, David. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2018/7.

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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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2018Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach. (2018). Als, Elisa ; Shiraya, Kenichiro. In: CARF F-Series. RePEc:cfi:fseres:cf407.

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2018Robust Estimation with Exponentially Tilted Hellinger Distance. (2018). Antoine, Bertille ; Dovonon, Prosper. In: CIRANO Working Papers. RePEc:cir:cirwor:2018s-38.

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2018Specification Tests for Non-Gaussian Maximum Likelihood Estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: Working Papers. RePEc:cmf:wpaper:wp2018_1804.

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2018Specification tests for non-Gaussian maximum likelihood estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12934.

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2018Stochastic fractional evolution equations with fractional brownian motion and infinite delay. (2018). Xu, Liping ; Li, Zhi. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:336:y:2018:i:c:p:36-46.

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2018Monetary policy and long-run systemic risk-taking. (2018). LEVIEUGE, Gregory ; Popescu, Alexandra ; Colletaz, Gilbert. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:86:y:2018:i:c:p:165-184.

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2018Risk aversion connectedness in five European countries. (2018). cipollini, andrea ; Muzzioli, Silvia ; lo Cascio, Iolanda. In: Economic Modelling. RePEc:eee:ecmode:v:71:y:2018:i:c:p:68-79.

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2018Multi-horizon wealth effects across the G7 economies. (2018). Apergis, Nicholas ; Hassapis, Christis ; Christou, Christina ; Bouras, Christos. In: Economic Modelling. RePEc:eee:ecmode:v:72:y:2018:i:c:p:165-176.

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2018Moment redundancy test with application to efficiency-improving copulas. (2018). Hao, Bowen ; Qian, Hailong ; Prokhorov, Artem. In: Economics Letters. RePEc:eee:ecolet:v:171:y:2018:i:c:p:29-33.

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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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2018Exponentially tilted likelihood inference on growing dimensional unconditional moment models. (2018). Tang, Niansheng ; Zhao, Puying ; Yan, Xiaodong. In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:1:p:57-74.

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2018Estimation and forecasting in vector autoregressive moving average models for rich datasets. (2018). Dias, Gustavo Fruet ; Kapetanios, George. In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:1:p:75-91.

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2018Nonparametric estimation in case of endogenous selection. (2018). Breunig, Christoph ; Simoni, Anna ; Mammen, Enno. In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:2:p:268-285.

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2018Threshold regression with endogeneity. (2018). Phillips, Peter ; PEter, ; Yu, Ping . In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:1:p:50-68.

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2018Asymptotic inference about predictive accuracy using high frequency data. (2018). Li, Jia ; Patton, Andrew J. In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:2:p:223-240.

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2018Testing for jumps and jump intensity path dependence. (2018). Corradi, Valentina ; Swanson, Norman R ; Silvapulle, Mervyn J. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:2:p:248-267.

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2018Efficient estimation with time-varying information and the New Keynesian Phillips Curve. (2018). Boldea, Otilia ; Antoine, Bertille. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:2:p:268-300.

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2018Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale. (2018). Gallant, Ronald A ; Tauchen, George. In: Journal of Econometrics. RePEc:eee:econom:v:205:y:2018:i:1:p:140-155.

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2018Estimating stable latent factor models by indirect inference. (2018). Halbleib, Roxana ; Calzolari, Giorgio. In: Journal of Econometrics. RePEc:eee:econom:v:205:y:2018:i:1:p:280-301.

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2018Penalized indirect inference. (2018). Blasques, Francisco ; Duplinskiy, Artem . In: Journal of Econometrics. RePEc:eee:econom:v:205:y:2018:i:1:p:34-54.

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2018Indirect Inference with endogenously missing exogenous variables. (2018). Chaudhuri, Saraswata ; Renault, Eric ; Frazier, David T. In: Journal of Econometrics. RePEc:eee:econom:v:205:y:2018:i:1:p:55-75.

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2018A two-step indirect inference approach to estimate the long-run risk asset pricing model. (2018). Grammig, Joachim ; Kuchlin, Eva-Maria. In: Journal of Econometrics. RePEc:eee:econom:v:205:y:2018:i:1:p:6-33.

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2018The asymptotic properties of GMM and indirect inference under second-order identification. (2018). Dovonon, Prosper ; Hall, Alastair R. In: Journal of Econometrics. RePEc:eee:econom:v:205:y:2018:i:1:p:76-111.

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2018Efficient asymptotic variance reduction when estimating volatility in high frequency data. (2018). Clinet, Simon ; Potiron, Yoann. In: Journal of Econometrics. RePEc:eee:econom:v:206:y:2018:i:1:p:103-142.

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2018Irregular N2SLS and LASSO estimation of the matrix exponential spatial specification model. (2018). Lee, Lung-Fei ; Jin, Fei. In: Journal of Econometrics. RePEc:eee:econom:v:206:y:2018:i:2:p:336-358.

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2018Subvector inference when the true parameter vector may be near or at the boundary. (2018). Ketz, Philipp. In: Journal of Econometrics. RePEc:eee:econom:v:207:y:2018:i:2:p:285-306.

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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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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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2018Composite indirect inference with application to corporate risks. (2018). Gourieroux, C ; Monfort, A. In: Econometrics and Statistics. RePEc:eee:ecosta:v:7:y:2018:i:c:p:30-45.

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2018A new particle filtering approach to estimate stochastic volatility models with Markov-switching. (2018). Karamé, Frédéric ; Karame, Frederic. In: Econometrics and Statistics. RePEc:eee:ecosta:v:8:y:2018:i:c:p:204-230.

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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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2018Testing for leverage effects in the returns of US equities. (2018). Chorro, Christophe ; Lalaharison, Hanjarivo ; Ielpo, Florian ; Guegan, Dominique. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:290-306.

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2018The effect of default rates on retail competition and pricing decisions of competitive retailers: The case of Alberta. (2018). Brown, David ; Eckert, Andrew. In: Energy Policy. RePEc:eee:enepol:v:118:y:2018:i:c:p:298-311.

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2018Index futures volatility and trading activity: Measuring causality at a multiple horizon. (2018). Tiwari, Aviral ; Shahbaz, Muhammad ; Roubaud, David ; Jena, Sangram Keshari. In: Finance Research Letters. RePEc:eee:finlet:v:24:y:2018:i:c:p:247-255.

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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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2018Information flow between prediction markets, polls and media: Evidence from the 2008 presidential primaries. (2018). Lieli, Robert ; Khan, Urmee. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:4:p:696-710.

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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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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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2018An intertemporal CAPM with stochastic volatility. (2018). Campbell, John ; Turley, Robert ; Polk, Christopher ; Giglio, Stefano. In: Journal of Financial Economics. RePEc:eee:jfinec:v:128:y:2018:i:2:p:207-233.

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2018Asset pricing with beliefs-dependent risk aversion and learning. (2018). Berrada, Tony ; Rindisbacher, Marcel ; Detemple, Jerome ; De Temple, Jerome. In: Journal of Financial Economics. RePEc:eee:jfinec:v:128:y:2018:i:3:p:504-534.

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2019The determinants of the model-free positive and negative volatilities. (2019). Tunaru, Radu ; Morelli, David ; Bevilacqua, Mattia. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:92:y:2019:i:c:p:1-24.

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2019The nexus between the oil price and its volatility risk in a stochastic volatility in the mean model with time-varying parameters. (2019). Balcilar, Mehmet ; Ozdemir, Zeynel Abidin. In: Resources Policy. RePEc:eee:jrpoli:v:61:y:2019:i:c:p:572-584.

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2018Bias correction in the realized stochastic volatility model for daily volatility on the Tokyo Stock Exchange. (2018). Takaishi, Tetsuya. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:500:y:2018:i:c:p:139-154.

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2018Interest rate volatility and risk management: Evidence from CBOE Treasury options. (2018). Markellos, Raphael N ; Psychoyios, Dimitris. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:68:y:2018:i:c:p:190-202.

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2018Technology adoption, consumer inattention and heuristic decision-making: Evidence from a UK district heating scheme. (2018). Giulietti, Monica ; Battisti, Giuliana ; Burlinson, Andrew. In: Research Policy. RePEc:eee:respol:v:47:y:2018:i:10:p:1873-1886.

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2018Financial liberalization and cross-border market integration: Evidence from Chinas stock market. (2018). Yao, Shujie ; Ou, Jinghua ; Chen, Shou. In: International Review of Economics & Finance. RePEc:eee:reveco:v:58:y:2018:i:c:p:220-245.

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2018The asymptotic smile of a multiscaling stochastic volatility model. (2018). Caravenna, Francesco ; Corbetta, Jacopo. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:3:p:1034-1071.

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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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2008On Portfolio Separation Theorems with Heterogeneous Beliefs and Attitudes towards Risk In: Staff Working Papers.
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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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2003Iterative and Recursive Estimation in Structural Nonadaptive Models. In: Journal of Business & Economic Statistics.
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2003Iterative and Recursive Estimation in Structural Non-Adaptive Models.(2003) In: CIRANO Working Papers.
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2003Iterative and Recursive Estimation in Structural Nonadaptive Models: Rejoinder. In: Journal of Business & Economic Statistics.
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article19
1996OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL In: Mathematical Finance.
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1998A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models In: Mathematical Finance.
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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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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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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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paper16
2011Efficient Derivative Pricing by the Extended Method of Moments.(2011) In: Econometrica.
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2000Temporal Aggregation of Volatility Models In: CIRANO Working Papers.
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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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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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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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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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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: CORE Discussion Papers.
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1997Nonparametric Methods and Option Pricing In: CIRANO Working Papers.
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1997Nonparametric methods and option pricing.(1997) In: CORE Discussion Papers.
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1998Risk Aversion, Intertemporal Substitution, and Option Pricing In: CIRANO Working Papers.
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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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1998Quadratic M-Estimators for ARCH-Type Processes In: CIRANO Working Papers.
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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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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: CORE Discussion Papers.
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2006Estimation of stable distributions by indirect inference In: CORE Discussion Papers.
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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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2002Nonparametric Instrumental Regression.(2002) In: Cahiers de recherche.
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2010Non Parametric Instrumental Regression.(2010) In: IDEI Working Papers.
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2011Nonparametric Instrumental Regression.(2011) In: Post-Print.
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2011Nonparametric Instrumental Regression.(2011) In: Econometrica.
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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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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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2007Linear Inverse Problems in Structural Econometrics Estimation Based on Spectral Decomposition and Regularization In: Handbook of Econometrics.
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2011Causality effects in return volatility measures with random times In: Journal of Econometrics.
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2011The JFEC Invited Lecture at the 2009 SoFiE Conference In: Journal of Financial Econometrics.
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