Eric Renault

Available identifiers

zbMath Open renault.ericWikidataQ288331 ScholiaQ288331MaRDI QIDQ278264

List of research outcomes

Publication	Date of Publication	Type
IN-SAMPLE ASYMPTOTICS AND ACROSS-SAMPLE EFFICIENCY GAINS FOR HIGH FREQUENCY DATA STATISTICS	2023-03-06	Paper
Approximate maximum likelihood for complex structural models	2022-12-14	Paper
Maximization by parts in extremum estimation	2022-07-27	Paper
On the relevance of weaker instruments	2022-06-08	Paper
Shrinkage of Variance for Minimum Distance Based Tests	2022-05-31	Paper
Identification strength with a large number of moments	2022-03-04	Paper
Testing identification strength	2021-02-09	Paper
Score tests in GMM: why use implied probabilities?	2021-02-04	Paper
Indirect inference with(out) constraints	2020-08-24	Paper
The leverage effect puzzle revisited: identification in discrete time	2020-06-18	Paper
A technical note on divergence of the Wald statistic	2019-06-13	Paper
Indirect inference with endogenously missing exogenous variables	2018-05-31	Paper
Efficient two-step estimation via targeting	2017-11-07	Paper
EFFICIENT ESTIMATION OF INTEGRATED VOLATILITY AND RELATED PROCESSES	2017-05-16	Paper
Efficient minimum distance estimation with multiple rates of convergence	2017-05-12	Paper
Estimation of stable distributions by indirect inference	2016-08-10	Paper
Estimation of objective and risk-neutral distributions based on moments of integrated volatility	2016-08-10	Paper
Causality effects in return volatility measures with random times	2016-08-10	Paper
Short run and long run causality in time series: inference	2016-06-10	Paper
On the efficient use of the informational content of estimating equations: implied probabilities and Euclidean empirical likelihood	2016-05-09	Paper
Indirect inference and calibration of dynamic stochastic general equilibrium models	2016-05-02	Paper
Causality and separability	2015-05-18	Paper
Aggregation of preferences for skewed asset returns	2014-11-19	Paper
REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS	2014-09-25	Paper
The dynamic mixed hitting-time model for multiple transaction prices and times	2014-06-04	Paper
Temporal aggregation of volatility models	2014-03-07	Paper
Testing for Common Conditionally Heteroskedastic Factors	2014-02-24	Paper
Wald tests when restrictions are locally singular	2013-12-02	Paper
Nonparametric Instrumental Regression	2013-03-14	Paper
GARCH and irregularly spaced data	2013-01-07	Paper
Efficient Derivative Pricing by the Extended Method of Moments	2012-10-26	Paper
THE ET INTERVIEW: CHRISTIAN GOURIÉROUX AND ALAIN MONFORT	2012-08-30	Paper
Proper Conditioning for Coherent VaR in Portfolio Management	2012-02-21	Paper
Efficient GMM with nearly-weak instruments	2010-02-12	Paper
Moment–Based Estimation of Stochastic Volatility Models	2009-11-27	Paper
Factor Stochastic Volatility in Mean Models: A GMM Approach	2006-08-28	Paper
https://portal.mardi4nfdi.de/entity/Q3374313	2006-03-09	Paper
https://portal.mardi4nfdi.de/entity/Q4813110	2004-08-12	Paper
Empirical assessment of an intertemporal option pricing model with latent variables.	2003-08-07	Paper
https://portal.mardi4nfdi.de/entity/Q4409944	2003-07-01	Paper
https://portal.mardi4nfdi.de/entity/Q2771103	2003-03-16	Paper
https://portal.mardi4nfdi.de/entity/Q4790580	2003-02-04	Paper
Short Run and Long Run Causality in Time Series: Theory	2002-05-28	Paper
Long memory in continuous-time stochastic volatility models	2001-03-29	Paper
OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL	1999-07-05	Paper
A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models	1998-10-07	Paper
Long memory continuous time models	1997-02-24	Paper
Two-stage generalized moment method with applications to regressions with heteroscedasticity of unknown form	1996-11-11	Paper
Testing For Common Roots	1989-01-01	Paper
Simulated residuals	1987-01-01	Paper
Generalised residuals	1987-01-01	Paper

Research outcomes over time

Doctoral students

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Known relations from the MaRDI Knowledge Graph

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This page was built for person: Eric Renault