Eric Michel Renault : Citation Profile

26

H index

44

i10 index

3628

Citations

RESEARCH PRODUCTION:

51

Articles

88

Papers

1

Chapters

EDITOR:

1

Series edited

RESEARCH ACTIVITY:

   34 years (1985 - 2019). See details.
   Cites by year: 106
   Journals where Eric Michel Renault has often published
   Relations with other researchers
   Recent citing documents: 164.    Total self citations: 48 (1.31 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pre313
   Updated: 2025-12-20    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 (78)

Minford, A. Patrick (60)

Andersen, Torben (58)

Chen, Xiaohong (54)

Bollerslev, Tim (49)

Sentana, Enrique (45)

Meenagh, David (43)

Ghysels, Eric (37)

Diebold, Francis (36)

Carrasco, Marine (33)

Meddahi, Nour (29)

Cites to:

Engle, Robert (62)

Hansen, Lars (54)

Bollerslev, Tim (51)

Garcia, René (43)

Ghysels, Eric (39)

Drost, Feike C. (34)

Sentana, Enrique (33)

gourieroux, christian (31)

Shephard, Neil (26)

Harvey, Andrew (23)

Tauchen, George (23)

Main data

Where Eric Michel Renault has published?

Journals with more than one article published# docs
Journal of Econometrics15
Econometrica5
Econometric Theory3
Annals of Economics and Statistics3
Journal of Business & Economic Statistics3
Mathematical Finance3
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
Staff Working Papers / Bank of Canada4
Discussion Papers / Department of Economics, Simon Fraser University4
ULB Institutional Repository / ULB -- Universite Libre de Bruxelles3
IDEI Working Papers / Institut d'conomie Industrielle (IDEI), Toulouse2

Recent works citing Eric Michel Renault (2025 and 2024)

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

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

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2024Kernel Ridge Riesz Representers: Generalization, Mis-specification, and the Counterfactual Effective Dimension. (2024). Singh, Rahul. In: Papers. RePEc:arx:papers:2102.11076.

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2025Sequential Kernel Embedding for Mediated and Time-Varying Dose Response Curves. (2025). Singh, Rahul ; Xu, Liyuan ; Gretton, Arthur. In: Papers. RePEc:arx:papers:2111.03950.

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2025Nested Nonparametric Instrumental Variable Regression: Long Term, Mediated, and Time Varying Treatment Effects. (2024). Singh, Rahul. In: Papers. RePEc:arx:papers:2112.14249.

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

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2024Kernel methods for long term dose response curves. (2024). Singh, Rahul. In: Papers. RePEc:arx:papers:2201.05139.

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2025Continuous permanent unobserved heterogeneity in dynamic discrete choice models. (2024). Bunting, Jackson. In: Papers. RePEc:arx:papers:2202.03960.

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2024Long-term Causal Inference Under Persistent Confounding via Data Combination. (2024). Wang, Yuhao ; Mao, Xiaojie ; Kallus, Nathan ; Imbens, Guido. In: Papers. RePEc:arx:papers:2202.07234.

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

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

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

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

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2025Bootstraps for Dynamic Panel Threshold Models. (2024). Gong, Woosik ; Seo, Myung Hwan. In: Papers. RePEc:arx:papers:2211.04027.

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

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

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2024Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints. (2024). , Shaun ; Jaber, Eduardo Abi ; Illand, Camille. In: Papers. RePEc:arx:papers:2212.08297.

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

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2025Transfer Estimates for Causal Effects across Heterogeneous Sites. (2024). Menzel, Konrad. In: Papers. RePEc:arx:papers:2305.01435.

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

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

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2025From constant to rough: A survey of continuous volatility modeling. (2023). Mishura, Yuliya ; Kubilius, Kkestutis ; di Nunno, Giulia ; Yurchenko-Tytarenko, Anton. In: Papers. RePEc:arx:papers:2309.01033.

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2025Multi-period static hedging of European options. (2023). Iyer, Srikanth ; Jain, Shashi ; Banerjee, Purba. In: Papers. RePEc:arx:papers:2310.01104.

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

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

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2025Functional Partial Least-Squares: Optimal Rates and Adaptation. (2024). Carrasco, Marine ; Babii, Andrii ; Tsafack, Idriss. In: Papers. RePEc:arx:papers:2402.11134.

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

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2024Regularized DeepIV with Model Selection. (2024). Li, Zihao ; Syrgkanis, Vasilis ; Wang, Mengdi ; Uehara, Masatoshi ; Lan, Hui. 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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2024Probabilistic models and statistics for electronic financial markets in the digital age. (2024). Bibinger, Markus. In: Papers. RePEc:arx:papers:2406.07388.

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2024Efficient two-sample instrumental variable estimators with change points and near-weak identification. (2024). Boldea, Otilia ; Antoine, Bertille ; Zaccaria, Niccolo. In: Papers. RePEc:arx:papers:2406.17056.

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2024Vector AutoRegressive Moving Average Models: A Review. (2024). Wilms, Ines ; Tsay, Ruey S ; Duker, Marie-Christine ; Matteson, David S. In: Papers. RePEc:arx:papers:2406.19702.

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2024A nonparametric test for rough volatility. (2024). Todorov, Viktor ; Chong, Carsten H. In: Papers. RePEc:arx:papers:2407.10659.

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2024Investment strategies based on forecasts are (almost) useless. (2024). Weba, Michael. In: Papers. RePEc:arx:papers:2408.01772.

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2025Market information of the fractional stochastic regularity model. (2024). Garcin, Matthieu ; Angelini, Daniele. In: Papers. RePEc:arx:papers:2409.07159.

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2024Structural counterfactual analysis in macroeconomics: theory and inference. (2024). Wang, Endong. In: Papers. RePEc:arx:papers:2409.09577.

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2024Simple robust two-stage estimation and inference for generalized impulse responses and multi-horizon causality. (2024). Dufour, Jean-Marie ; Wang, Endong. In: Papers. RePEc:arx:papers:2409.10820.

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2024Inference in High-Dimensional Linear Projections: Multi-Horizon Granger Causality and Network Connectedness. (2024). Wang, Endong ; Dettaa, Eugene. In: Papers. RePEc:arx:papers:2410.04330.

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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.

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

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

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2025Nonlinear Temperature Sensitivity of Residential Electricity Demand: Evidence from a Distributional Regression Approach. (2025). Seo, Won-Ki ; Nam, Kyungsik. In: Papers. RePEc:arx:papers:2503.07213.

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2025Modeling Stock Return Distributions and Pricing Options. (2025). Jiang, Xinxin. In: Papers. RePEc:arx:papers:2503.08666.

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2025Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion. (2025). Yu, Jun ; Zhang, Chen ; Bibinger, Markus. In: Papers. RePEc:arx:papers:2504.15985.

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2025On Bitcoin Price Prediction. (2025). Bournassenko, Gr'Egory. In: Papers. RePEc:arx:papers:2504.18982.

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2025Model Checks in a Kernel Ridge Regression Framework. (2025). Li, Yuhao. In: Papers. RePEc:arx:papers:2505.01161.

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2025Why is the volatility of single stocks so much rougher than that of the S&P500?. (2025). Muzy, Jean-Franccois ; Bouchaud, Jean-Philippe ; Bacry, Emmanuel ; Aubrun, Cecilia ; Zarhali, Othmane. In: Papers. RePEc:arx:papers:2505.02678.

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2025Rough Bergomi turns grey. (2025). Jacquier, Antoine ; Zuric, Zan ; Orioles, Adriano Oliveri. In: Papers. RePEc:arx:papers:2505.08623.

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2025Opening the Black Box of Local Projections. (2025). Coulombe, Philippe Goulet ; Klieber, Karin. In: Papers. RePEc:arx:papers:2505.12422.

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2025Debiased Ill-Posed Regression. (2025). Rotnitzky, Andrea ; Robins, James M ; Ghassami, Amiremad. In: Papers. RePEc:arx:papers:2505.20787.

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2025Power-boosting in Specification Tests using Kernel Directional Component. (2025). Xiaojun, Song ; Yuhao, LI ; Rui, Cui. In: Papers. RePEc:arx:papers:2506.04900.

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2025Enhancing the Merger Simulation Toolkit with ML/AI. (2025). Sullivan, Christopher ; Magnolfi, Lorenzo ; Collison, Jack ; Chiang, Harold D. In: Papers. RePEc:arx:papers:2506.05225.

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2025Moment Restrictions for Nonlinear Panel Data Models with Feedback. (2025). Graham, Bryan S ; Dano, Kevin ; Bonhomme, St'Ephane. In: Papers. RePEc:arx:papers:2506.12569.

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2025Prediction of linear fractional stable motions using codifference. (2025). Valade, Thomas ; Sawaya, Karl ; Garcin, Matthieu. In: Papers. RePEc:arx:papers:2507.15437.

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2025Volatility Modeling with Rough Paths: A Signature-Based Alternative to Classical Expansions. (2025). Alos, Elisa ; Vives, Josep ; de Santiago, Rafael ; Bur, Oscar. In: Papers. RePEc:arx:papers:2507.23392.

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2025Weak Identification in Peer Effects Estimation. (2025). Wang, William W ; Jadbabaie, Ali. In: Papers. RePEc:arx:papers:2508.04897.

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2025From fair price to fair volatility: Towards an Efficiency-Consistent Definition of Financial Risk. (2025). Pianese, Augusto ; Frezza, Massimiliano ; Angelini, Daniele ; Bianchi, Sergio. In: Papers. RePEc:arx:papers:2508.11649.

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2025A further look at Modified ML estimation of the panel AR(1) model with fixed effects and arbitrary initial conditions. (2025). Kruiniger, Hugo. In: Papers. RePEc:arx:papers:2508.20753.

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2025Causal mechanism and mediation analysis for macroeconomics dynamics: a bridge of Granger and Sims causality. (2025). Wang, Endong ; Dufour, Jean-Marie. In: Papers. RePEc:arx:papers:2509.05284.

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2025Fair Volatility: A Framework for Reconceptualizing Financial Risk. (2025). Bianchi, Sergio ; Angelini, Daniele. In: Papers. RePEc:arx:papers:2509.18837.

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2025Roughness Analysis of Realized Volatility and VIX through Randomized Kolmogorov-Smirnov Distribution. (2025). Bianchi, Sergio ; Angelini, Daniele. In: Papers. RePEc:arx:papers:2509.20015.

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2025An Econometric Analysis of the Impact of Telecare on the Length of Stay in Hospital. (2025). Momanyi, Kevin. In: Papers. RePEc:arx:papers:2509.22706.

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2025On the short-time behaviour of up-and-in barrier options using Malliavin calculus. (2025). Bur, Oscar. In: Papers. RePEc:arx:papers:2510.15423.

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2025Identification and Debiased Learning of Causal Effects with General Instrumental Variables. (2025). Zhang, Peng ; Chen, Shuyuan ; Cui, Yifan. In: Papers. RePEc:arx:papers:2510.20404.

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2025Portfolio selection with exogenous and endogenous transaction costs under a two-factor stochastic volatility model. (2025). Wang, Zirun ; He, Xin-Jiang ; Zhou, KE ; Yan, Dong. In: Papers. RePEc:arx:papers:2510.21156.

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2025The Omniscient, yet Lazy, Investor. (2025). , Stanislaw. In: Papers. RePEc:arx:papers:2510.24467.

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2025Tests of exogeneity in duration models with censored data. (2025). Florens, Jean-Pierre ; Crommen, Gilles ; van Keilegom, Ingrid. In: Papers. RePEc:arx:papers:2510.26613.

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2025Multifractality and sample size influence on Bitcoin volatility patterns. (2025). Takaishi, Tetsuya. In: Papers. RePEc:arx:papers:2511.03314.

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2024Implied probability kernel block bootstrap for time series moment condition models. (2024). Parente, Paulo ; Smith, Richard J. In: CeMMAP working papers. RePEc:azt:cemmap:08/24.

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2025Moment restrictions for nonlinear panel data models with feedback. (2025). Dano, Kevin ; Graham, Bryan S ; Bonhomme, Staephane. In: CeMMAP working papers. RePEc:azt:cemmap:12/25.

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2025Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion. (2025). Yu, Jun ; Zhang, Chen ; Bibinger, Markus. In: Working Papers. RePEc:boa:wpaper:202528.

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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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2024Jumps Versus Bursts: Dissection and Origins via a New Endogenous Thresholding Approach. (2024). Zhao, Xueyan ; LINTON, OLIVER ; Hong, S Y. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2449.

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2024Jumps Versus Bursts: Dissection and Origins via a New Endogenous Thresholding Approach. (2024). Zhao, Xueyan ; LINTON, OLIVER ; Hong, S Y. In: Janeway Institute Working Papers. RePEc:cam:camjip:2423.

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2025Beyond GARCH: Bayesian Neural Stochastic Volatility. (2025). Marn, Juan Miguel ; Guo, Hongfei ; Veiga, Helena. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:47944.

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

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2025Opening the black box of local projections. (2025). Klieber, Karin ; Coulombe, Philippe Goulet. In: Working Paper Series. RePEc:ecb:ecbwps:20253105.

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

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2025Time-varying risk aversion and international stock returns. (2025). Hansen, Erwin ; Guidolin, Massimo ; Cabrera, Gabriel. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824001967.

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2025Volatility estimation through stochastic processes: Evidence from cryptocurrencies. (2025). Harasheh, Murad ; Bouteska, Ahmed. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pb:s1062940824002456.

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2025Pricing of American timer options. (2025). Kim, Donghyun ; Ha, Mijin ; Yoon, Ji-Hun ; Park, Sangmin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:78:y:2025:i:c:s106294082500049x.

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2025Information matrix tests for multinomial logit models. (2025). Sentana, Enrique ; Fiorentini, Gabriele ; Amengual, Dante. In: Economics Letters. RePEc:eee:ecolet:v:247:y:2025:i:c:s0165176525000175.

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

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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 ; Mikosch, Thomas ; Vilandt, Frederik ; Rahbek, Anders. 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). Cui, Wenhao ; Hu, Jie ; Wang, Jiandong. 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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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.

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2024State-dependent local projections. (2024). Kilian, Lutz ; Herrera, Ana María ; Gonalves, Slvia ; Pesavento, Elena. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:2:s0304407624000484.

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2024Specification tests for non-Gaussian structural vector autoregressions. (2024). Sentana, Enrique ; Fiorentini, Gabriele ; Amengual, Dante. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:2:s0304407624001490.

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2025Iterative estimation of nonparametric regressions with continuous endogenous variables and discrete instruments. (2025). Centorrino, Samuele ; Fve, Frdrique ; Florens, Jean-Pierre. In: Journal of Econometrics. RePEc:eee:econom:v:247:y:2025:i:c:s0304407625000041.

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2025Score-type tests for normal mixtures. (2025). Sentana, Enrique ; Amengual, Dante ; Bei, Xinyue ; Carrasco, Marine. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s0304407624000630.

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2025Efficiency bounds for moment condition models with mixed identification strength. (2025). Doko Tchatoka, Firmin ; Dovonon, Prosper ; Atchad, Yves F. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s0304407624000691.

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2025Identification robust inference for the risk premium in term structure models. (2025). Kong, Lingwei ; Kleibergen, Frank. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s0304407624000745.

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2025The chained difference-in-differences. (2025). Benatia, David ; Dortet-Bernadet, Vincent ; Bellgo, Christophe. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s0304407624001295.

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2025Simulation-based estimation with many auxiliary statistics applied to long-run dynamic analysis. (2025). Antoine, Bertille ; Sun, Wenqian. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s030440762400160x.

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2025Exogeneity tests and weak identification in IV regressions: Asymptotic theory and point estimation. (2025). Doko Tchatoka, Firmin ; Dufour, Jean-Marie. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s0304407624001660.

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2025Weak identification in discrete choice models. (2025). Zhao, Xueyan ; Zhang, Lina ; Renault, Eric ; Frazier, David T. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s0304407624002112.

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2025Uncovering asset market participation from household consumption and income. (2025). Czellar, Veronika ; le Grand, Franois ; Garcia, Ren. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s0304407624002124.

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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
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