Eric Michel Renault : Citation Profile

26

H index

43

i10 index

3506

Citations

RESEARCH PRODUCTION:

51

Articles

88

Papers

1

Chapters

EDITOR:

1

Series edited

RESEARCH ACTIVITY:

   34 years (1985 - 2019). See details.
   Cites by year: 103
   Journals where Eric Michel Renault has often published
   Relations with other researchers
   Recent citing documents: 82.    Total self citations: 48 (1.35 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pre313
   Updated: 2025-04-05    RAS profile: 2023-03-11    
   Missing citations? Add them    Incorrect content? Let us know

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 (78)

Minford, A. Patrick (60)

Andersen, Torben (58)

Chen, Xiaohong (54)

Bollerslev, Tim (49)

Meenagh, David (43)

Sentana, Enrique (41)

Ghysels, Eric (37)

Diebold, Francis (36)

Carrasco, Marine (32)

Meddahi, Nour (29)

Cites to:

Engle, Robert (61)

Hansen, Lars (54)

Bollerslev, Tim (51)

Garcia, René (43)

Ghysels, Eric (39)

Drost, Feike C. (34)

Sentana, Enrique (33)

gourieroux, christian (31)

Shephard, Neil (25)

Tauchen, George (23)

Harvey, Andrew (23)

Main data

Production by document typepaperchapterarticle19851986198719881989199019911992199319941995199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019051015Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published19851986198719881989199019911992199319941995199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019050100150Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received19861987198819891990199119921993199419951996199719981999200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202420250100200300Citations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year198519861987198819891990199119921993199419951996199719981999200020012002200320042005200620072008200920102011201220132014201520162017201820190250500750Citations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 26Most cited documents123456789101112131415161718192021222324252627280250500750Number of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution2013082013092013102013112013122014012014022014032014042014052014062014072014082014092014102014112014122015012015022015032015042015052015062015072015082015092015102015112015122016012016022016032016042016052016062016072016082016092016102016112016122017012017022017032017042017052017062017072017082017092017102017112017122018012018022018032018042018052018062018072018082018092018102018112018122019012019022019032019042019052019062019072019082019092019102019112019122020012020022020032020042020052020062020072020082020092020102020112020122021012021022021032021042021052021062021072021082021092021102021112021122022012022022022032022042022052022062022072022082022092022102022112022122023012023022023032023042023052023062023072023082023092023102023112023122024012024022024032024042024052024062024072024082024092024102024112024122025012025022025032025040102030h-index Highcharts.comExport to raster or vector imagePrint the chart

Where Eric Michel Renault has published?

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

Working Papers Series with more than one paper published# docs
Working Papers / Center for Research in Economics and Statistics8
Discussion Papers / Department of Economics, Simon Fraser University4
Staff Working Papers / Bank of Canada4
ULB Institutional Repository / ULB -- Universite Libre de Bruxelles3
IDEI Working Papers / Institut d'�conomie Industrielle (IDEI), Toulouse2

Recent works citing Eric Michel Renault (2025 and 2024)

Year  ↓Title of citing document  ↓
2025Is completeness necessary? Estimation in nonidentified linear models. (2020). Babii, Andrii ; FLORENS, Jean-Pierre. In: Papers. RePEc:arx:papers:1709.03473.

Full description at Econpapers || Download paper

2024Adversarial Estimation of Riesz Representers. (2020). Syrgkanis, Vasilis ; Singh, Rahul ; Newey, Whitney ; Chernozhukov, Victor. In: Papers. RePEc:arx:papers:2101.00009.

Full description at Econpapers || Download paper

2024Debiased Kernel Methods. (2021). Singh, Rahul. In: Papers. RePEc:arx:papers:2102.11076.

Full description at Econpapers || Download paper

2025Kernel 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.

Full description at Econpapers || Download paper

2024A 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.

Full description at Econpapers || Download paper

2024Binary response model with many weak instruments. (2022). Seong, Dakyung. In: Papers. RePEc:arx:papers:2201.04811.

Full description at Econpapers || Download paper

2024Generalized 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.

Full description at Econpapers || Download paper

2024Continuous permanent unobserved heterogeneity in dynamic discrete choice models. (2022). Bunting, Jackson. In: Papers. RePEc:arx:papers:2202.03960.

Full description at Econpapers || Download paper

2024Long-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.

Full description at Econpapers || Download paper

2025Option Pricing with Time-Varying Volatility Risk Aversion. (2022). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2204.06943.

Full description at Econpapers || Download paper

2025Stochastic arbitrage with market index options. (2022). Seo, Juwon ; Beare, Brendan K. In: Papers. RePEc:arx:papers:2207.00949.

Full description at Econpapers || Download paper

2024Option pricing in Volterra sandwiched volatility model. (2022). Yurchenko-Tytarenko, Anton ; Mishura, Yuliya ; di Nunno, Giulia. In: Papers. RePEc:arx:papers:2209.10688.

Full description at Econpapers || Download paper

2024Sandwiched Volterra Volatility model: Markovian approximations and hedging. (2022). Yurchenko-Tytarenko, Anton ; di Nunno, Giulia. In: Papers. RePEc:arx:papers:2209.13054.

Full description at Econpapers || Download paper

2024Robust Inference for Dynamic Panel Threshold Models. (2022). Seo, Myung Hwan ; Gong, Woosik. In: Papers. RePEc:arx:papers:2211.04027.

Full description at Econpapers || Download paper

2024An Intraday GARCH Model for Discrete Price Changes and Irregularly Spaced Observations. (2022). Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2211.12376.

Full description at Econpapers || Download paper

2025Cross-Sectional Dynamics Under Network Structure: Theory and Macroeconomic Applications. (2022). Mlikota, Marko. In: Papers. RePEc:arx:papers:2211.13610.

Full description at Econpapers || Download paper

2024Joint 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.

Full description at Econpapers || Download paper

2025The Chained Difference-in-Differences. (2023). Dortet-Bernardet, Vincent ; Benatia, David ; Bell, Christophe. In: Papers. RePEc:arx:papers:2301.01085.

Full description at Econpapers || Download paper

2024Transfer Estimates for Causal Effects across Heterogeneous Sites. (2023). Menzel, Konrad. In: Papers. RePEc:arx:papers:2305.01435.

Full description at Econpapers || Download paper

2025From elephant to goldfish (and back): memory in stochastic Volterra processes. (2023). Pages, Gilles ; Grasselli, Martino ; Callegaro, Giorgia ; Bonesini, Ofelia. In: Papers. RePEc:arx:papers:2306.02708.

Full description at Econpapers || Download paper

2024One-step nonparametric instrumental regression using smoothing splines. (2023). Lavergne, Pascal ; Lapenta, Elia ; Beyhum, Jad. In: Papers. RePEc:arx:papers:2307.14867.

Full description at Econpapers || Download paper

2024Uniform Inference for Nonlinear Endogenous Treatment Effects with High-Dimensional Covariates. (2023). Zhang, Cun-Hui ; Mei, Ziwei ; Guo, Zijian ; Fan, Qingliang. In: Papers. RePEc:arx:papers:2310.08063.

Full description at Econpapers || Download paper

2024Rough volatility: evidence from range volatility estimators. (2023). Mouti, Saad. In: Papers. RePEc:arx:papers:2312.01426.

Full description at Econpapers || Download paper

2025On short-time behavior of implied volatility in a market model with indexes. (2024). Nguyen, Thai ; Chau, Huy N. In: Papers. RePEc:arx:papers:2402.16509.

Full description at Econpapers || Download paper

2024Regularized DeepIV with Model Selection. (2024). Uehara, Masatoshi ; Wang, Mengdi ; Syrgkanis, Vasilis ; Lan, Hui ; Li, Zihao. In: Papers. RePEc:arx:papers:2403.04236.

Full description at Econpapers || Download paper

2024Context-dependent Causality (the Non-Nonotonic Case). (2024). Kim, Moshe ; Billfeld, Nir. In: Papers. RePEc:arx:papers:2404.05021.

Full description at Econpapers || Download paper

2024Pricing Multi-strike Quanto Call Options on Multiple Assets with Stochastic Volatility, Correlation, and Exchange Rates. (2024). Meissner, Gunter A ; Ter-Avanesov, Boris. In: Papers. RePEc:arx:papers:2411.16617.

Full description at Econpapers || Download paper

2025Pricing Carbon Allowance Options on Futures: Insights from High-Frequency Data. (2025). Bormetti, Giacomo ; Serafini, Simone. In: Papers. RePEc:arx:papers:2501.17490.

Full description at Econpapers || Download paper

2025Model-Adaptive Approach to Dynamic Discrete Choice Models with Large State Spaces. (2025). Chen, Ertian. In: Papers. RePEc:arx:papers:2501.18746.

Full description at Econpapers || Download paper

2024Nonparametric Instrumental Regression with Two-Way Fixed Effects. (2024). Enrico, De Monte. In: Journal of Econometric Methods. RePEc:bpj:jecome:v:13:y:2024:i:1:p:49-66:n:5.

Full description at Econpapers || Download paper

2024Institutional determinants of subjective well-being in developing countries: Insights from Ethiopia. (2024). Tekleselassie, Tsegay. In: Economics Bulletin. RePEc:ebl:ecbull:eb-24-00301.

Full description at Econpapers || Download paper

2024Variance and volatility swaps and options under the exponential fractional Ornstein–Uhlenbeck model. (2024). Kim, Jeong-Hoon. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000809.

Full description at Econpapers || Download paper

2024Optimal nonparametric range-based volatility estimation. (2024). Li, Qiyuan ; Bollerslev, Tim. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:1:s0304407623002646.

Full description at Econpapers || Download paper

2024Detecting identification failure in moment condition models. (2024). Forneron, Jean-Jacques. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:1:s0304407623002683.

Full description at Econpapers || Download paper

2024Tail behavior of ACD models and consequences for likelihood-based estimation. (2024). Cavaliere, Giuseppe ; Rahbek, Anders ; Mikosch, Thomas ; Vilandt, Frederik. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003299.

Full description at Econpapers || Download paper

2024Bellman filtering and smoothing for state–space models. (2024). Lange, Rutger-Jan. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003482.

Full description at Econpapers || Download paper

2024Observation-driven filtering of time-varying parameters using moment conditions. (2024). Lucas, Andre ; Koopman, Siem Jan ; Creal, Drew ; Zamojski, Marcin. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003512.

Full description at Econpapers || Download paper

2024Nonparametric estimation for high-frequency data incorporating trading information. (2024). Wang, Jiandong ; Hu, Jie ; Cui, Wenhao. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000368.

Full description at Econpapers || Download paper

2024Finite underidentification. (2024). Sentana, Enrique. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000381.

Full description at Econpapers || Download paper

2024An unbounded intensity model for point processes. (2024). Kolokolov, Aleksey ; Christensen, Kim. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:1:s0304407624001854.

Full description at Econpapers || Download paper

2024GMM with Nearly-Weak Identification. (2024). Renault, Eric ; Antoine, Bertille. In: Econometrics and Statistics. RePEc:eee:ecosta:v:30:y:2024:i:c:p:36-59.

Full description at Econpapers || Download paper

2024Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model. (2024). Teräsvirta, Timo ; Terasvirta, Timo ; Silvennoinen, Annastiina. In: Econometrics and Statistics. RePEc:eee:ecosta:v:32:y:2024:i:c:p:57-72.

Full description at Econpapers || Download paper

2025Financing decentralized digital platform growth: The role of crypto funds in blockchain-based startups. (2025). Schermann, Niclas ; Momtaz, Paul P ; Drobetz, Wolfgang ; Cumming, Douglas. In: Journal of Business Venturing. RePEc:eee:jbvent:v:40:y:2025:i:1:s0883902624000727.

Full description at Econpapers || Download paper

2024Unveiling the impact of income taxes on inequality in a HACT model. (2024). Parro, Francisco. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:79:y:2024:i:c:s0164070423000812.

Full description at Econpapers || Download paper

2024Valuing of timer path-dependent options. (2024). Yoon, Ji-Hun ; Kim, Donghyun ; Ha, Mijin. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:215:y:2024:i:c:p:208-227.

Full description at Econpapers || Download paper

2024An extension analysis of Amihuds illiquidity premium: Evidence from the Taiwan stock market. (2024). Yang, Chung-Jen ; Sheu, Her-Jiun ; Lien, Donald ; Lee, Hsiu-Chuan. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:87:y:2024:i:c:s0927538x2400235x.

Full description at Econpapers || Download paper

2024A local volatility correction to mean-reverting stochastic volatility model for pricing derivatives. (2024). Ha, Mijin ; Yoon, Ji-Hun ; Kim, Jeong-Hoon. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:97:y:2024:i:c:s1062976924001078.

Full description at Econpapers || Download paper

2024Anatomy of sovereign yield behaviour using textual news. (2024). Sensoy, Ahmet ; Akhtaruzzaman, Md ; Dann, Susan ; Pradhan, HK ; Banerjee, Ameet Kumar. In: Research in International Business and Finance. RePEc:eee:riibaf:v:71:y:2024:i:c:s0275531924002514.

Full description at Econpapers || Download paper

2024Functional central limit theorems for rough volatility. (2024). Sojmark, Andreas ; Muguruza, Aitor ; Jacquier, Antoine ; Horvath, Blanka. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:122848.

Full description at Econpapers || Download paper

2025Data-Based Parametrization for Affine GARCH Models Across Multiple Time Scales—Roughness Implications. (2025). Escobar Anel, Marcos ; Xu, KE ; Li, Fuyu ; Ferrando, Sebastian ; Escobar-Anel, Marcos. In: Econometrics. RePEc:gam:jecnmx:v:13:y:2025:i:1:p:6-:d:1589235.

Full description at Econpapers || Download paper

2024.

Full description at Econpapers || Download paper

2024.

Full description at Econpapers || Download paper

2024Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints. (2024). Li, Shaun Xiaoyuan ; Illand, Camille ; Jaber, Eduardo Abi. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:hal-03902513.

Full description at Econpapers || Download paper

2024Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints. (2024). Li, Shaun Xiaoyuan ; Illand, Camille ; Jaber, Eduardo Abi. In: Post-Print. RePEc:hal:journl:hal-03902513.

Full description at Econpapers || Download paper

2024Valuations of Variance and Volatility Swaps Under Double Heston Jump-Diffusion Model With Approximative Fractional Stochastic Volatility. (2024). Wang, KE ; Guo, Xunxiang. In: Computational Economics. RePEc:kap:compec:v:63:y:2024:i:4:d:10.1007_s10614-023-10374-7.

Full description at Econpapers || Download paper

2024Indirect Inference and Small Sample Bias — Some Recent Results. (2024). Meenagh, David ; Minford, Patrick ; Xu, Yongdeng. In: Open Economies Review. RePEc:kap:openec:v:35:y:2024:i:2:d:10.1007_s11079-023-09731-8.

Full description at Econpapers || Download paper

2024Volatility-dependent probability weighting and the dynamics of the pricing kernel puzzle. (2024). Sibbertsen, Philipp ; Krupski, Jan ; Dierkes, Maik ; Schroen, Sebastian. In: Review of Derivatives Research. RePEc:kap:revdev:v:27:y:2024:i:1:d:10.1007_s11147-023-09197-3.

Full description at Econpapers || Download paper

2024Decentralized finance (DeFi) markets for startups: search frictions, intermediation, and the efficiency of the ICO market. (2024). Momtaz, Paul P. In: Small Business Economics. RePEc:kap:sbusec:v:63:y:2024:i:4:d:10.1007_s11187-024-00886-3.

Full description at Econpapers || Download paper

2024Identifying the Volatility Risk Price Through the Leverage Effect. (2024). Sangrey, Paul ; Renault, Eric ; Cheng, XU. In: PIER Working Paper Archive. RePEc:pen:papers:24-013.

Full description at Econpapers || Download paper

2024Partly linear instrumental variables regressions without smoothing on the instruments. (2024). Lapenta, Elia ; Florens, Jean-Pierre. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:33:y:2024:i:3:d:10.1007_s11749-024-00931-z.

Full description at Econpapers || Download paper

Eric Michel Renault is editor of

Journal  ↓  ↓
Journal of Financial Econometrics

Works by Eric Michel Renault:

Year  ↓Title  ↓Type  ↓Cited  ↓
1987Kullback Causality Measures In: Annals of Economics and Statistics.
[Full Text][Citation analysis]		article19
1993Tests sur le noyau, limage et le rang de la matrice des coefficients dun modéle linéaire multivarié In: Annals of Economics and Statistics.
[Full Text][Citation analysis]		article4
2007Diffusion Processes with Polynomial Eigenfunctions In: Annals of Economics and Statistics.
[Full Text][Citation analysis]		article0
2019Indirect Inference With(Out) Constraints In: Papers.
[Full Text][Citation analysis]		paper3
2005The Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order Moments In: Staff Working Papers.
[Full Text][Citation analysis]		paper0
2005State Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle In: Staff Working Papers.
[Full Text][Citation analysis]		paper0
2007Implications of Asymmetry Risk for Portfolio Analysis and Asset Pricing In: Staff Working Papers.
[Full Text][Citation analysis]		paper6
2008On Portfolio Separation Theorems with Heterogeneous Beliefs and Attitudes towards Risk In: Staff Working Papers.
[Full Text][Citation analysis]		paper7
2000Statistical Inference for Random-Variance Option Pricing. In: Journal of Business & Economic Statistics.
[Citation analysis]		article20
1997Statistical Inference for Random Variance Option Pricing.(1997) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 20		paper
1995Statistical Inference for Random Variance Option Pricing..(1995) In: Toulouse - GREMAQ.
[Citation analysis]
This paper has nother version. Agregated cites: 20		paper
2003Iterative and Recursive Estimation in Structural Nonadaptive Models. In: Journal of Business & Economic Statistics.
[Citation analysis]		article30
2003Iterative and Recursive Estimation in Structural Non-Adaptive Models.(2003) In: CIRANO Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 30		paper
2003Iterative and Recursive Estimation in Structural Nonadaptive Models: Rejoinder. In: Journal of Business & Economic Statistics.
[Citation analysis]		article27
1996OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL1 In: Mathematical Finance.
[Full Text][Citation analysis]		article84
1998A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models In: Mathematical Finance.
[Full Text][Citation analysis]		article12
1997A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models.(1997) In: CIRANO Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 12		paper
1998Long memory in continuous‐time stochastic volatility models In: Mathematical Finance.
[Full Text][Citation analysis]		article338
1996Long Memory in Continuous Time Stochastic Volatility Models..(1996) In: Toulouse - GREMAQ.
[Citation analysis]
This paper has nother version. Agregated cites: 338		paper
2000Semi-Parametric Indirect Inference In: STICERD - Econometrics Paper Series.
[Full Text][Citation analysis]		paper16
2000Semi-parametric indirect inference.(2000) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 16		paper
2010Efficient Derivative Pricing By The Extended Method of Moments In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper36
2004Efficient Derivative Pricing by Extended Method of Moments.(2004) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 36		paper
2005Efficient Derivative Pricing by Extended Method of Moments.(2005) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 36		paper
2011Efficient Derivative Pricing by the Extended Method of Moments.(2011) In: Econometrica.
[Citation analysis]
This paper has nother version. Agregated cites: 36		article
2005Efficient Derivative Pricing by Extended Method of Moments.(2005) In: University of St. Gallen Department of Economics working paper series 2005.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 36		paper
2000Temporal Aggregation of Volatility Models In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper108
2004Temporal aggregation of volatility models.(2004) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 108		article
2001Asymmetric Smiles, Leverage Effects and Structural Parameters In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper17
2000Asymmetric Smiles, Leverage Effects and Structural Parameters.(2000) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 17		paper
2001Asymmetric Smiles, Leverage Effects and Structural Parameters..(2001) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 17		paper
2001Asymmetric Smiles, Leverage Effects and Structural Parameters..(2001) In: Cahiers de recherche.
[Citation analysis]
This paper has nother version. Agregated cites: 17		paper
2001Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note : Nouvelle version Février 2002) In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper0
2001Risque de modèle de volatilité In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper0
2003Disentangling Risk Aversion and Intertemporal Substitution Through a Reference Level In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper22
2006Disentangling risk aversion and intertemporal substitution through a reference level.(2006) In: Finance Research Letters.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 22		article
2003Short Run and Long Run Causality in Time Series: Inference In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper109
2006Short run and long run causality in time series: inference.(2006) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 109		article
2003Short run and long run causality in time series: Inference.(2003) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 109		paper
2003Short Run and Long Run Causality in Time Series : Inference.(2003) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 109		paper
2004The Econometrics of Option Pricing In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper23
2004On the Efficient Use of the Informational Content of Estimating Equations: Implied Probabilities and Euclidean Empirical Likelihood In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper63
2007On the efficient use of the informational content of estimating equations: Implied probabilities and Euclidean empirical likelihood.(2007) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 63		article
2004Conditionally Heteroskedastic Factor Models: Identification and Instrumental Variables Estimation In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper6
2004Conditionaly Heteroskedastic Factor Models : Identificationand Instrumental variables Estmation.(2004) In: THEMA Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		paper
2012Testing for Common GARCH Factors In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper3
2011Testing for Common GARCH Factors.(2011) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		paper
2016Indirect Inference with Endogenously Missing Exogenous Variables In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper0
2016Efficient Two-Step Estimation via Targeting In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper1
1995Stochastic Volatility In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper338
1995Stochastic Volatility.(1995) In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 338		paper
1995Stochastic Volatility..(1995) In: Toulouse - GREMAQ.
[Citation analysis]
This paper has nother version. Agregated cites: 338		paper
1996Stochastic Volatility..(1996) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 338		paper
1996Stochastic Volatility..(1996) In: Cahiers de recherche.
[Citation analysis]
This paper has nother version. Agregated cites: 338		paper
1997Nonparametric Methods and Option Pricing In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper8
1997Nonparametric methods and option pricing.(1997) In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8		paper
1998Risk Aversion, Intertemporal Substitution, and Option Pricing In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper8
1998Risk Aversion, Intertemporal Substitution, and Option Pricing.(1998) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8		paper
1998Risk Aversion, Intertemporal Substitution, and Option Pricing.(1998) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8		paper
1998Risk Aversion, Intertemporal Substitution, and Option Pricing..(1998) In: Cahiers de recherche.
[Citation analysis]
This paper has nother version. Agregated cites: 8		paper
1998Quadratic M-Estimators for ARCH-Type Processes In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper5
1998Quadratic M-Estimators for ARCH-Type Processes.(1998) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		paper
1999Latent Variable Models for Stochastic Discount Factors In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper1
2000Latent Variable Models for Stochastic Discount Factors..(2000) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2000Letent Variable Models for Stochastic Discount Factors..(2000) In: Cahiers de recherche.
[Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2005Viewpoint: Option prices, preferences, and state variables In: Canadian Journal of Economics.
[Full Text][Citation analysis]		article3
1997Continuously updated extremum estimators In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper0
2006Estimation of stable distributions by indirect inference In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper31
2011Estimation of stable distributions by indirect inference.(2011) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 31		article
1985Simulated residuals In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]		paper21
1987Simulated residuals.(1987) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 21		article
1985Testing unknown linear restrictions on parameter functions In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]		paper1
1987Consistent m-estimators in a semi-parametric model In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]		paper2
1991Two stages generalized moment method with applications to regressions with heteroscedasticity of unkwnown form In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]		paper0
2000Nonparametric Instrumental Regression In: Working Papers.
[Full Text][Citation analysis]		paper249
2011Nonparametric Instrumental Regression.(2011) In: Econometrica.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 249		article
2011Nonparametric Instrumental Regression.(2011) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 249		paper
2010Non Parametric Instrumental Regression.(2010) In: IDEI Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 249		paper
2002Nonparametric Instrumental Regression.(2002) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 249		paper
2000Latent Variable Models for Stochastic Discount In: Working Papers.
[Full Text][Citation analysis]		paper0
2000Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables In: Working Papers.
[Full Text][Citation analysis]		paper66
2003Empirical assessment of an intertemporal option pricing model with latent variables.(2003) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 66		article
2001Empirical Assessment of an Intertemporal Option Pricing Model with Latent variables.(2001) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 66		paper
2001Empirical Assessment of an Intertemporal option Pricing Model with Latent variables..(2001) In: Cahiers de recherche.
[Citation analysis]
This paper has nother version. Agregated cites: 66		paper
2002Symposium on Marshalls Tendencies: 4 Comments on Marshalls Tendencies In: Economics and Philosophy.
[Full Text][Citation analysis]		article0
1996Noncausality in Continuous Time Models In: Econometric Theory.
[Full Text][Citation analysis]		article17
1998TESTING FOR EMBEDDABILITY BY STATIONARY REVERSIBLE CONTINUOUS-TIME MARKOV PROCESSES In: Econometric Theory.
[Full Text][Citation analysis]		article14
2014REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS In: Econometric Theory.
[Full Text][Citation analysis]		article31
1989Testing for Common Roots. In: Econometrica.
[Full Text][Citation analysis]		article1
1998Short Run and Long Run Causality in Time Series: Theory In: Econometrica.
[Citation analysis]		article188
1995Short-Run and Long-Rub Causality in Time Series: Theory..(1995) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 188		paper
1995Short-Run and Long-Rub Causality in Time Series: Theory..(1995) In: Cahiers de recherche.
[Citation analysis]
This paper has nother version. Agregated cites: 188		paper
2013Testing for Common Conditionally Heteroskedastic Factors In: Econometrica.
[Full Text][Citation analysis]		article31
2009Efficient GMM with nearly-weak instruments In: Econometrics Journal.
[Full Text][Citation analysis]		article37
2007Linear Inverse Problems in Structural Econometrics Estimation Based on Spectral Decomposition and Regularization In: Handbook of Econometrics.
[Full Text][Citation analysis]		chapter211
2006GARCH and irregularly spaced data In: Economics Letters.
[Full Text][Citation analysis]		article17
2003GARCH and Irregularly Spaced Data.(2003) In: Discussion Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 17		paper
2004Dynamic factor models In: Journal of Econometrics.
[Full Text][Citation analysis]		article2
2007Indirect inference and calibration of dynamic stochastic general equilibrium models In: Journal of Econometrics.
[Full Text][Citation analysis]		article101
2011Estimation of objective and risk-neutral distributions based on moments of integrated volatility In: Journal of Econometrics.
[Full Text][Citation analysis]		article27
2011Causality effects in return volatility measures with random times In: Journal of Econometrics.
[Full Text][Citation analysis]		article13
2012Efficient minimum distance estimation with multiple rates of convergence In: Journal of Econometrics.
[Full Text][Citation analysis]		article29
2012Efficient Minimum Distance Estimation with Multiple Rates of Convergence.(2012) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 29		paper
2014The dynamic mixed hitting-time model for multiple transaction prices and times In: Journal of Econometrics.
[Full Text][Citation analysis]		article6
1987Generalised residuals In: Journal of Econometrics.
[Full Text][Citation analysis]		article212
1996Long memory continuous time models In: Journal of Econometrics.
[Full Text][Citation analysis]		article87
2000Econometric methods for derivative securities and risk management In: Journal of Econometrics.
[Full Text][Citation analysis]		article0
1998Testing for spurious causality in exchange rates In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article15
1998Testing for Spurious Causality in Exchange Rates.(1998) In: ULB Institutional Repository.
[Citation analysis]
This paper has nother version. Agregated cites: 15		paper
2014Aggregation of preferences for skewed asset returns In: Journal of Economic Theory.
[Full Text][Citation analysis]		article14
2015Causality and separability In: Statistics & Probability Letters.
[Full Text][Citation analysis]		article1
1992Indirect Inference. In: Toulouse - GREMAQ.
[Citation analysis]		paper522
1993Indirect Inference..(1993) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 522		article
1992Causalites a court et a long terme dans les modeles VAR et ARIMA multivaries. In: Toulouse - GREMAQ.
[Citation analysis]		paper0
1993Causalites a court et a long terme dans les modeles VAR et ARIMA multivaries..(1993) In: Cahiers de recherche.
[Citation analysis]
This paper has nother version. Agregated cites: 0		paper
1993Option Hedging and Implicit Volatilities. In: Toulouse - GREMAQ.
[Citation analysis]		paper0
1993Option Hedging and Implicit Volatilities. Non Causality in Continuous Time Varma Models. In: Toulouse - GREMAQ.
[Citation analysis]		paper0
1996Econometric Models of Option Pricing Errors. In: Toulouse - GREMAQ.
[Citation analysis]		paper3
1996Calibrarion By Simulation for Small Sample Bias Correction. In: Toulouse - GREMAQ.
[Citation analysis]		paper2
1996Aggregations and Marginalization of Garch and Stochastic Volatility Models. In: Toulouse - GREMAQ.
[Citation analysis]		paper26
1998Aggregations and Marginalization of GARCH and Stochastic Volatility Models.(1998) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 26		paper
1991True Versus Spurious Instantaneous Causality. In: Universite Libre de Bruxelles - C.E.M.E..
[Citation analysis]		paper5
1993Option Hedging and Implicit Volatilities in a Stochastic Volatility Model In: IDEI Working Papers.
[Citation analysis]		paper0
2007Proper Conditioning for Coherent VaR in Portfolio Management In: Management Science.
[Full Text][Citation analysis]		article36
2012Affine fractional stochastic volatility models In: Annals of Finance.
[Full Text][Citation analysis]		article58
2014Estimating scale economies in financial intermediation: a doubly indirect inference In: Journal of Productivity Analysis.
[Full Text][Citation analysis]		article1
2013Editorial Announcement In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article0
2011The JFEC Invited Lecture at the 2009 SoFiE Conference In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article0
2008State Dependence Can Explain the Risk Aversion Puzzle In: The Review of Financial Studies.
[Full Text][Citation analysis]		article51
1997Les techniques quantitatives de la gestion de portefeuille In: L'Actualité Economique.
[Full Text][Citation analysis]		article0
2012Efficient Inference with Poor Instruments: a General Framework In: Discussion Papers.
[Full Text][Citation analysis]		paper6
2017Testing Identification Strength In: Discussion Papers.
[Full Text][Citation analysis]		paper6
2016On the relevance of weaker instruments In: Discussion Papers.
[Full Text][Citation analysis]		paper5
2006Factor Stochastic Volatility in Mean Models: A GMM Approach In: Econometric Reviews.
[Full Text][Citation analysis]		article15
2015Shrinkage of Variance for Minimum Distance Based Tests In: Econometric Reviews.
[Full Text][Citation analysis]		article1
2004Stochatic Volatility Models with Transaction Time Risk In: Discussion Paper.
[Full Text][Citation analysis]		paper8
2011Estimation of stable distributions with indirect inference In: ULB Institutional Repository.
[Citation analysis]		paper11
2013Latest developments in heavy-tailed distributions In: ULB Institutional Repository.
[Citation analysis]		paper1
2015Maximization by parts in extremum estimation In: Econometrics Journal.
[Full Text][Citation analysis]		article8
1994Recursive Utility, Precautionary Saving and the Demand for Insurance In: Working Papers.
[Citation analysis]		paper0

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated February, 4 2025. Contact: CitEc Team