Eric Michel Renault : Citation Profile

Are you Eric Michel Renault?

26

H index

43

i10 index

3235

Citations

RESEARCH PRODUCTION:

50

Articles

88

Papers

1

Chapters

EDITOR:

1

Series edited

RESEARCH ACTIVITY:

   34 years (1985 - 2019). See details.
   Cites by year: 95
   Journals where Eric Michel Renault has often published
   Relations with other researchers
   Recent citing documents: 109.    Total self citations: 48 (1.46 %)

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   Permalink: http://citec.repec.org/pre313
   Updated: 2024-12-03    RAS profile: 2023-03-11    
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Relations with other researchers

Works with:

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

Is cited by:

Shephard, Neil (68)

Minford, A. Patrick (60)

Chen, Xiaohong (54)

Meenagh, David (43)

Sentana, Enrique (42)

Andersen, Torben (42)

Ghysels, Eric (36)

Carrasco, Marine (32)

Bollerslev, Tim (31)

Calzolari, Giorgio (28)

Fiorentini, Gabriele (28)

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

Where Eric Michel Renault has published?

Journals with more than one article published# docs
Journal of Econometrics15
Econometrica5
Econometric Theory3
Journal of Business & Economic Statistics3
Annals of Economics and Statistics3
Mathematical Finance2
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'Économie Industrielle (IDEI), Toulouse2

Recent works citing Eric Michel Renault (2024 and 2023)

YearTitle of citing document
2023Functional central limit theorems for rough volatility. (2019). Jacquier, Antoine ; Muguruza, Aitor ; Horvath, Blanka. In: Papers. RePEc:arx:papers:1711.03078.

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

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2023Detecting Identification Failure in Moment Condition Models. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1907.13093.

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2023Kernel Methods for Unobserved Confounding: Negative Controls, Proxies, and Instruments. (2020). Singh, Rahul. In: Papers. RePEc:arx:papers:2012.10315.

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

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

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2023Robustness 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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2023Kernel Methods for Multistage Causal Inference: Mediation Analysis and Dynamic Treatment Effects. (2021). Gretton, Arthur ; Xu, Liyuan ; Singh, Rahul. In: Papers. RePEc:arx:papers:2111.03950.

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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.

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

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

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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.

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2024Option Pricing with Time-Varying Volatility Risk Aversion. (2022). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2204.06943.

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2024Stochastic arbitrage with market index options. (2022). Seo, Juwon ; Beare, Brendan K. In: Papers. RePEc:arx:papers:2207.00949.

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2023Testing for error invariance in separable instrumental variable models. (2022). van Keilegom, Ingrid ; VanKeilegom, Ingrid ; Lapenta, Elia ; FLORENS, Jean-Pierre ; Beyhum, Jad. In: Papers. RePEc:arx:papers:2208.05344.

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2023Debiased Inference on Identified Linear Functionals of Underidentified Nuisances via Penalized Minimax Estimation. (2022). Mao, Xiaojie ; Kallus, Nathan. In: Papers. RePEc:arx:papers:2208.08291.

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

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

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

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

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

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2024Cross-Sectional Dynamics Under Network Structure: Theory and Macroeconomic Applications. (2022). Mlikota, Marko. In: Papers. RePEc:arx:papers:2211.13610.

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2023Partly Linear Instrumental Variables Regressions without Smoothing on the Instruments. (2022). Lapenta, Elia ; Florens, Jean-Pierre. In: Papers. RePEc:arx:papers:2212.11012.

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2024The Chained Difference-in-Differences. (2023). Dortet-Bernardet, Vincent ; Benatia, David ; Bell, Christophe. In: Papers. RePEc:arx:papers:2301.01085.

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

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

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2023From 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.

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2023A Classical Model of Speculative Asset Price Dynamics. (2023). Smith, Vernon ; Inoua, Sabiou. In: Papers. RePEc:arx:papers:2307.00410.

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2023Functional Differencing in Networks. (2023). Dano, Kevin ; Bonhomme, St'Ephane. In: Papers. RePEc:arx:papers:2307.11484.

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2023Identification Robust Inference for the Risk Premium in Term Structure Models. (2023). Kong, Lingwei ; Kleibergen, Frank. In: Papers. RePEc:arx:papers:2307.12628.

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2023Source Condition Double Robust Inference on Functionals of Inverse Problems. (2023). Uehara, Masatoshi ; Syrgkanis, Vasilis ; Newey, Whitney ; Mao, Xiaojie ; Kallus, Nathan ; Bennett, Andrew. In: Papers. RePEc:arx:papers:2307.13793.

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

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2023SGMM: Stochastic Approximation to Generalized Method of Moments. (2023). Song, Myunghyun ; Shin, Youngki ; Seo, Myung Hwan ; Liao, Yuan ; Lee, Sokbae ; Chen, Xiaohong. In: Papers. RePEc:arx:papers:2308.13564.

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2023From constant to rough: A survey of continuous volatility modeling. (2023). Yurchenko-Tytarenko, Anton ; Mishura, Yuliya ; Kubilius, Kkestutis ; di Nunno, Giulia. In: Papers. RePEc:arx:papers:2309.01033.

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2023Multi-period static hedging of European options. (2023). Jain, Shashi ; Iyer, Srikanth ; Banerjee, Purba. In: Papers. RePEc:arx:papers:2310.01104.

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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.

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

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2024On 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.

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

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

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2023Time-Varying Risk Aversion and International Stock Returns. (2023). Guidolin, Massimo ; Cabrera, Gabriel ; Hansen, Erwin. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp23203.

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

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2023.

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2023Optimal unemployment policy. (2023). Lawson, Nicholas. In: Economic Inquiry. RePEc:bla:ecinqu:v:61:y:2023:i:3:p:675-692.

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2023Directed graphs and variable selection in large vector autoregressive models. (2023). Kascha, Christian ; Bruggemann, Ralf ; Bertsche, Dominik. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:44:y:2023:i:2:p:223-246.

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2023Instrumental variable regression via kernel maximum moment loss. (2023). Krikamol, Muandet ; Bernhard, Scholkopf ; Masaaki, Imaizumi ; Rui, Zhang. In: Journal of Causal Inference. RePEc:bpj:causin:v:11:y:2023:i:1:p:42:n:1.

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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.

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2023Indirect Inference and Small Sample Bias - Some Recent Results. (2023). Xu, Yongdeng ; Minford, Patrick ; Meenagh, David. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2023/15.

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

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2023A classical model of speculative asset price dynamics. (2023). Smith, Vernon ; Inoua, Sabiou M. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:37:y:2023:i:c:s2214635022001022.

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2023Statistical inference in discretely observed fractional Ornstein–Uhlenbeck processes. (2023). Teng, Yuanyang ; Li, Yicun. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:177:y:2023:i:c:s0960077923011050.

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2023A practical multivariate approach to testing volatility spillover. (2023). Urga, Giovanni ; Leong, Soon Heng. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:153:y:2023:i:c:s0165188923001008.

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2023Efficient estimation of a triangular system of equations for quantile regression. (2023). Lee, Sungwon. In: Economics Letters. RePEc:eee:ecolet:v:226:y:2023:i:c:s0165176523001106.

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2023A discrete-time hedging framework with multiple factors and fat tails: On what matters. (2023). Begin, Jean-Franois ; Badescu, Alexandru ; Augustyniak, Maciej. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:416-444.

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2023A simple joint model for returns, volatility and volatility of volatility. (2023). Ding, Yashuang. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:521-543.

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2023Identification of time-varying transformation models with fixed effects, with an application to unobserved heterogeneity in resource shares. (2023). Botosaru, Irene ; Pendakur, Krishna ; Muris, Chris. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:576-597.

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2023Maximum likelihood estimation of stochastic frontier models with endogeneity. (2023). Pérez-Urdiales, María ; Perez-Urdiales, Maria ; Centorrino, Samuele. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:82-105.

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2023Reprint of: On the network topology of variance decompositions: Measuring the connectedness of financial firms. (2023). Yilmaz, Kamil ; Diebold, Francis X. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:s:p:70-90.

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2023Time series estimation of the dynamic effects of disaster-type shocks. (2023). Ng, Serena ; Davis, Richard. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:180-201.

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2023A functional estimation approach to the first-price auction models. (2023). Sbai, Erwann ; Florens, Jean-Pierre ; Enache, Andreea. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1564-1588.

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2023Jackknife estimation of a cluster-sample IV regression model with many weak instruments. (2023). Woutersen, Tiemen ; Swanson, Norman R ; Chao, John C. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1747-1769.

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2023Structural VAR models in the Frequency Domain. (2023). Pelgrin, Florian ; Guay, Alain. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:1:s0304407623001604.

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2023Dynamic conditional eigenvalue GARCH. (2023). Rahbek, Anders ; Pedersen, Rasmus Sondergaard ; Hetland, Simon. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407621002141.

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2023Machine learning panel data regressions with heavy-tailed dependent data: Theory and application. (2023). Babii, Andrii ; Ghysels, Eric ; Ball, Ryan T ; Striaukas, Jonas. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407622001282.

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2023Business-cycle consumption risk and asset prices. (2023). Tamoni, Andrea ; Bandi, Federico M. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407623001410.

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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.

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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.

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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.

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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.

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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.

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

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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.

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2023Traders’ heterogeneous beliefs about stock volatility and the implied volatility skew in financial options markets. (2023). Vagnani, Gianluca ; Marchetti, Fabio Massimo ; Nappo, Giovanna. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s1544612323000387.

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2023More Is Better, Or Not? An Empirical Analysis of Buyer Preferences for Variety on the E-Market. (2023). Sokullu, Senay. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:209:y:2023:i:c:p:450-470.

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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.

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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.

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2023Trading strategies and the frequency of time-series. (2023). Isaenko, Sergey. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:90:y:2023:i:c:p:267-283.

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2023.

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2023The Pricing Kernel in Options. (2023). Kim, Hyung Joo ; Jacobs, Kris ; Heston, Steven. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:96652.

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2023An Autoregressive Conditional Binomial Option Pricing Model. (2000). Scaillet, Olivier ; Prigent, Jean-Luc. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp364.

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2024.

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2023Local Projection Based Inference under General Conditions. (2023). Xu, Ke-Li. In: CAEPR Working Papers. RePEc:inu:caeprp:2023001.

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2023On the relationship between Jorda?s IRF local projection and Dufour et al.?s robust (p,h)-autoregression multihorizon causality: a note. (2023). Tessierc, David ; Racicota, Franois-Eric. In: Working Papers. RePEc:ipg:wpaper:2023-001.

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2023Delta-hedging in fractional volatility models. (2023). Chronopoulou, Alexandra ; Zhao, QI. In: Annals of Finance. RePEc:kap:annfin:v:19:y:2023:i:1:d:10.1007_s10436-022-00415-w.

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2023Robustness and sensitivity analyses of rough Volterra stochastic volatility models. (2023). Pospiil, Jan ; Matas, Jan. In: Annals of Finance. RePEc:kap:annfin:v:19:y:2023:i:4:d:10.1007_s10436-023-00433-2.

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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.

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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.

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2023Maximum-Likelihood Estimation Using the Zig-Zag Algorithm*. (2023). Ristig, Alexander ; Okhrin, Ostap ; Hautsch, Nikolaus. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:21:y:2023:i:4:p:1346-1375..

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2023Arbitrage Pricing Theory for Idiosyncratic Variance Factors*. (2023). , Bas ; Van, Thijs ; Renault, Eric. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:21:y:2023:i:5:p:1403-1442..

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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.

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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.
[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]		article21
1997Statistical Inference for Random Variance Option Pricing.(1997) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 21		paper
1995Statistical Inference for Random Variance Option Pricing..(1995) In: Toulouse - GREMAQ.
[Citation analysis]
This paper has nother version. Agregated cites: 21		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
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