IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to follow this author

Eric Michel Renault

This is information that was supplied by Eric Renault in registering through RePEc. If you are Eric Michel Renault , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name:Eric
Middle Name:Michel
Last Name:Renault
Suffix:
RePEc Short-ID:pre313
Email:[This author has chosen not to make the email address public]
Homepage:
Postal Address:
Phone:
Location: Providence, Rhode Island (United States)
Homepage: http://www.econ.brown.edu/
Email:
Phone:
Fax:
Postal:
Handle: RePEc:edi:edbrous (more details at EDIRC)
in new window

  1. Fousseni Chabi-Yo & Eric Ghysels & Eric Renault, 2008. "On Portfolio Separation Theorems with Heterogeneous Beliefs and Attitudes towards Risk," Working Papers 08-16, Bank of Canada.
  2. Fousseni Chabi-Yo & Dietmar Leisen & Eric Renault, 2007. "Implications of Asymmetry Risk for Portfolio Analysis and Asset Pricing," Working Papers 07-47, Bank of Canada.
  3. GARCIA, René & RENAULT, Eric & VEREDAS, David, 2006. "Estimation of stable distributions by indirect inference," CORE Discussion Papers 2006112, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  4. Fousseni Chabi-Yo & René Garcia & Eric Renault, 2005. "State Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle," Working Papers 05-9, Bank of Canada.
  5. Fousseni Chabi-Yo & René Garcia & Eric Renault, 2005. "The Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order Moments," Working Papers 05-2, Bank of Canada.
  6. Patrick Gagliardini & C. Gourieroux & E. Renault, 2005. "Efficient Derivative Pricing by Extended Method of Moments," University of St. Gallen Department of Economics working paper series 2005 2005-05, Department of Economics, University of St. Gallen.
  7. Hélène Bonnal & Éric Renault, 2004. "On the Efficient Use of the Informational Content of Estimating Equations: Implied Probabilities and Euclidean Empirical Likelihood," CIRANO Working Papers 2004s-18, CIRANO.
  8. Patrick GAGLIARDINI & Christian GOURIEROUX & Eric RENAULT, 2004. "Efficient Derivative Pricing By The Extended Method of Moments," Swiss Finance Institute Research Paper Series 10-07, Swiss Finance Institute, revised Oct 2009.
  9. Catherine Doz & Éric Renault, 2004. "Conditionally Heteroskedastic Factor Models: Identification and Instrumental Variables Estimation," CIRANO Working Papers 2004s-37, CIRANO.
  10. René Garcia & Eric Ghysels & Éric Renault, 2004. "The Econometrics of Option Pricing," CIRANO Working Papers 2004s-04, CIRANO.
  11. Rene Garcia & Richard Luger & Eric Renault, 2004. "Option Prices, Preferences, and State Variables," Emory Economics 0418, Department of Economics, Emory University (Atlanta).
  12. Catherine Doz & Eric Renault, 2004. "Conditionaly Heteroskedastic Factor Models : Identificationand Instrumental variables Estmation," THEMA Working Papers 2004-13, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  13. Sergio Pastorello & Valentin Patilea & Éric Renault, 2003. "Iterative and Recursive Estimation in Structural Non-Adaptive Models," CIRANO Working Papers 2003s-08, CIRANO.
  14. René Garcia & Éric Renault & Andrei Semenov, 2003. "Disentangling Risk Aversion and Intertemporal Substitution Through a Reference Level," CIRANO Working Papers 2003s-12, CIRANO.
  15. Jean-Marie Dufour & Denis Pelletier & Éric Renault, 2003. "Short Run and Long Run Causality in Time Series: Inference," CIRANO Working Papers 2003s-61, CIRANO.
  16. Darolles, Serge & Fan, Yanqin & Florens, Jean-Pierre & Renault, Eric, 2003. "Non Parametric Instrumental Regression," IDEI Working Papers 228, Institut d'Économie Industrielle (IDEI), Toulouse, revised 2010.
  17. René Garcia & Richard Luger & Éric Renault, 2001. "Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note : New version February 2002) / Empirical Assessment of an Intertemporal Option Pricing Model with Latent Varia," CIRANO Working Papers 2001s-02, CIRANO.
  18. GARCIA,René & LUGER, Richard & RENAULT, Éric, 2001. "Asymmetric Smiles, Leverage Effects and Structural Parameters," Cahiers de recherche 2001-09, Universite de Montreal, Departement de sciences economiques.
  19. Ali Alami & Éric Renault, 2001. "Risque de modèle de volatilité," CIRANO Working Papers 2001s-06, CIRANO.
  20. GARCIA,René & LUGER, Richard & RENAULT, Éric, 2001. "Empirical Assessment of an Intertemporal Option Pricing Model with Latent variables," Cahiers de recherche 2001-10, Universite de Montreal, Departement de sciences economiques.
  21. Ramdan Dridi & Eric Renault, 2000. "Semi-Parametric Indirect Inference," STICERD - Econometrics Paper Series /2000/392, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  22. Nour Meddahi & Éric Renault, 2000. "Temporal Aggregation of Volatility Models," CIRANO Working Papers 2000s-22, CIRANO.
  23. Garcia, R. & Renault, E., 2000. "Letent Variable Models for Stochastic Discount Factors," Cahiers de recherche 2000-01, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  24. René Garcia & Eric Renault, 2000. "Latent Variable Models for Stochastic Discount," Working Papers 2000-19, Centre de Recherche en Economie et Statistique.
  25. Nour Meddahi & Éric Renault, 1998. "Quadratic M-Estimators for ARCH-Type Processes," CIRANO Working Papers 98s-29, CIRANO.
  26. Eric Renault & Khalid Sekkat & Ariane Szafarz, 1998. "Testing for Spurious Causality in Exchange Rates," ULB Institutional Repository 2013/709, ULB -- Universite Libre de Bruxelles.
  27. Garcia, R. & Renault, E., 1998. "Risk Aversion, Intertemporal Substitution, and Option Pricing," Cahiers de recherche 9801, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  28. GHYSELS, Eric & PATILEA, Valentin & RENAULT, Eric & TORRES, Olivier, 1997. "Nonparametric methods and option pricing," CORE Discussion Papers 1997075, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  29. René Garcia & Éric Renault, 1997. "A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models," CIRANO Working Papers 97s-13, CIRANO.
  30. PATILEA, Valentin & RENAULT, Eric, 1997. "Continuously updated extremum estimators," CORE Discussion Papers 1997076, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  31. Gourieroux, C. & Renault, E. & Touzi, N., 1996. "Calibrarion By Simulation for Small Sample Bias Correction," Papers 96.428, Toulouse - GREMAQ.
  32. Ghysels, E. & Harvey, A. & Renault, E., 1996. "Stochastic Volatility," Cahiers de recherche 9613, Universite de Montreal, Departement de sciences economiques.
  33. Comte, F. & Renault, E., 1996. "Long Memory in Continuous Time Stochastic Volatility Models," Papers 96.406, Toulouse - GREMAQ.
  34. Renault, E., 1996. "Econometric Models of Option Pricing Errors," Papers 96.407, Toulouse - GREMAQ.
  35. Meddahi, N & Renault, E., 1996. "Aggregations and Marginalization of Garch and Stochastic Volatility Models," Papers 96.433, Toulouse - GREMAQ.
  36. Dufour, J.M. & Renault, E., 1995. "Short-Run and Long-Rub Causality in Time Series: Theory," Cahiers de recherche 9538, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  37. Pastorello, S. & Renault, E. & Touzi, N., 1995. "Statistical Inference for Random Variance Option Pricing," Papers 95.403, Toulouse - GREMAQ.
  38. GOLLIER, Christian & Eric RENAULT & Jean-Charles ROCHET, 1994. "Recursive Utility, Precautionary Saving and the Demand for Insurance," Working Papers 019, Risk and Insurance Archive.
  39. Renault, E. & Touzi, N., 1993. "Option Hedging and Implicit Volatilities," Papers 93.297, Toulouse - GREMAQ.
  40. Renault, E. & Comte, F., 1993. "Option Hedging and Implicit Volatilities. Non Causality in Continuous Time Varma Models," Papers 93.298, Toulouse - GREMAQ.
  41. Renault, Eric & Touzi, Nizar, 1993. "Option Hedging and Implicit Volatilities in a Stochastic Volatility Model," IDEI Working Papers 30, Institut d'Économie Industrielle (IDEI), Toulouse.
  42. Gourieroux, C. & Monfort, A. & Renault, E., 1992. "Indirect Inference," Papers 92.279, Toulouse - GREMAQ.
  43. Dufour, J.M. & Renault, E., 1992. "Causalites a court et a long terme dans les modeles VAR et ARIMA multivaries," Papers 92.286, Toulouse - GREMAQ.
  44. Renault, E. & Szafarz, A., 1991. "True Versus Spurious Instantaneous Causality," Papers 9103, Universite Libre de Bruxelles - C.E.M.E..
  45. Gourieroux Christian & Monfort Alain & Renault E, 1991. "Two stages generalized moment method with applications to regressions with heteroscedasticity of unkwnown form," CEPREMAP Working Papers (Couverture Orange) 9110, CEPREMAP.
  46. El Babsiri, M. & Renault, E., 1990. "Temporal Aggregation and Tests of Arbitrage Pricing Theory," DELTA Working Papers 90-01, DELTA (Ecole normale supérieure).
  47. Gourieroux Christian & Monfort Alain & Renault Eric, 1987. "Consistent m-estimators in a semi-parametric model," CEPREMAP Working Papers (Couverture Orange) 8720, CEPREMAP.
  48. Gourieroux Christian & Monfort Alain & Renault E & Trognon A, 1985. "Simulated residuals," CEPREMAP Working Papers (Couverture Orange) 8502, CEPREMAP.
  49. Gourieroux Christian & Monfort Alain & Renault E, 1985. "Testing unknown linear restrictions on parameter functions," CEPREMAP Working Papers (Couverture Orange) 8516, CEPREMAP.
    RePEc:dgr:kubcen:200424 is not listed on IDEAS
    RePEc:dgr:kubcen:200327 is not listed on IDEAS
  1. S. Darolles & Y. Fan & J. P. Florens & E. Renault, 2011. "Nonparametric Instrumental Regression," Econometrica, Econometric Society, vol. 79(5), pages 1541-1565, 09.
  2. Garcia, René & Lewis, Marc-André & Pastorello, Sergio & Renault, Éric, 2011. "Estimation of objective and risk-neutral distributions based on moments of integrated volatility," Journal of Econometrics, Elsevier, vol. 160(1), pages 22-32, January.
  3. René Garcia, Eric Ghysels and Eric Renault, 2011. "The JFEC Invited Lecture at the 2009 SoFiE Conference," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 9(1), pages 1-2, Winter.
  4. P. Gagliardini & C. Gourieroux & E. Renault, 2011. "Efficient Derivative Pricing by the Extended Method of Moments," Econometrica, Econometric Society, vol. 79(4), pages 1181-1232, 07.
  5. Renault, Eric & Werker, Bas J.M., 2011. "Causality effects in return volatility measures with random times," Journal of Econometrics, Elsevier, vol. 160(1), pages 272-279, January.
  6. Garcia, René & Renault, Eric & Veredas, David, 2011. "Estimation of stable distributions by indirect inference," Journal of Econometrics, Elsevier, vol. 161(2), pages 325-337, April.
  7. Bertille Antoine & Eric Renault, 2009. "Efficient GMM with nearly-weak instruments," Econometrics Journal, Royal Economic Society, vol. 12(s1), pages S135-S171, 01.
  8. Fousseni Chabi-Yo & René Garcia & Eric Renault, 2008. "State Dependence Can Explain the Risk Aversion Puzzle," Review of Financial Studies, Society for Financial Studies, vol. 21(2), pages 973-1011, April.
  9. Dridi, Ramdan & Guay, Alain & Renault, Eric, 2007. "Indirect inference and calibration of dynamic stochastic general equilibrium models," Journal of Econometrics, Elsevier, vol. 136(2), pages 397-430, February.
  10. Antoine, Bertille & Bonnal, Helene & Renault, Eric, 2007. "On the efficient use of the informational content of estimating equations: Implied probabilities and Euclidean empirical likelihood," Journal of Econometrics, Elsevier, vol. 138(2), pages 461-487, June.
  11. Christian GOURIEROUX & Eric RENAULT & Pascale VALERY, 2007. "Diffusion Processes with Polynomial Eigenfunctions," Annales d'Economie et de Statistique, ENSAE, issue 85, pages 115-130.
  12. René Garcia & Éric Renault & Georges Tsafack, 2007. "Proper Conditioning for Coherent VaR in Portfolio Management," Management Science, INFORMS, vol. 53(3), pages 483-494, March.
  13. Dufour, Jean-Marie & Pelletier, Denis & Renault, Eric, 2006. "Short run and long run causality in time series: inference," Journal of Econometrics, Elsevier, vol. 132(2), pages 337-362, June.
  14. Meddahi, Nour & Renault, Eric & Werker, Bas, 2006. "GARCH and irregularly spaced data," Economics Letters, Elsevier, vol. 90(2), pages 200-204, February.
  15. Catherine Doz & Eric Renault, 2006. "Factor Stochastic Volatility in Mean Models: A GMM Approach," Econometric Reviews, Taylor & Francis Journals, vol. 25(2-3), pages 275-309.
  16. Garcia, Rene & Renault, Eric & Semenov, Andrei, 2006. "Disentangling risk aversion and intertemporal substitution through a reference level," Finance Research Letters, Elsevier, vol. 3(3), pages 181-193, September.
  17. René Garcia & Richard Luger & Éric Renault, 2005. "Viewpoint: Option prices, preferences, and state variables," Canadian Journal of Economics, Canadian Economics Association, vol. 38(1), pages 1-27, February.
  18. Croux, Christophe & Renault, Eric & Werker, Bas, 2004. "Dynamic factor models," Journal of Econometrics, Elsevier, vol. 119(2), pages 223-230, April.
  19. Meddahi, Nour & Renault, Eric, 2004. "Temporal aggregation of volatility models," Journal of Econometrics, Elsevier, vol. 119(2), pages 355-379, April.
  20. Garcia, Rene & Luger, Richard & Renault, Eric, 2003. "Empirical assessment of an intertemporal option pricing model with latent variables," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 49-83.
  21. Pastorello, Sergio & Patilea, Valentin & Renault, Eric, 2003. "Iterative and Recursive Estimation in Structural Nonadaptive Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(4), pages 449-82, October.
  22. Pastorello, Sergio & Patilea, Valentin & Renault, Eric, 2003. "Iterative and Recursive Estimation in Structural Nonadaptive Models: Rejoinder," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(4), pages 503-09, October.
  23. Renault, Eric, 2002. "Symposium on Marshall's Tendencies: 4 Comments on Marshall's Tendencies," Economics and Philosophy, Cambridge University Press, vol. 18(01), pages 29-44, April.
  24. Garcia, R. & Ghysels, E. & Renault, E., 2000. "Econometric methods for derivative securities and risk management," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 1-7.
  25. Pastorello, Sergio & Renault, Eric & Touzi, Nizar, 2000. "Statistical Inference for Random-Variance Option Pricing," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(3), pages 358-67, July.
  26. Florens, Jean-Pierre & Renault, Eric & Touzi, Nizar, 1998. "Testing For Embeddability By Stationary Reversible Continuous-Time Markov Processes," Econometric Theory, Cambridge University Press, vol. 14(06), pages 744-769, December.
  27. René Garcia & �ric Renault, 1998. "A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models," Mathematical Finance, Wiley Blackwell, vol. 8(2), pages 153-161.
  28. Renault, Eric & Sekkat, Khalid & Szafarz, Ariane, 1998. "Testing for spurious causality in exchange rates," Journal of Empirical Finance, Elsevier, vol. 5(1), pages 47-66, January.
  29. Fabienne Comte & Eric Renault, 1998. "Long memory in continuous-time stochastic volatility models," Mathematical Finance, Wiley Blackwell, vol. 8(4), pages 291-323.
  30. Jean-Marie Dufour & Eric Renault, 1998. "Short Run and Long Run Causality in Time Series: Theory," Econometrica, Econometric Society, vol. 66(5), pages 1099-1126, September.
  31. Renault, Éric & Rochet, Jean-Charles, 1997. "Les techniques quantitatives de la gestion de portefeuille," L'Actualité Economique, Société Canadienne de Science Economique, vol. 73(1), pages 265-310, mars-juin.
  32. Comte, F. & Renault, E., 1996. "Long memory continuous time models," Journal of Econometrics, Elsevier, vol. 73(1), pages 101-149, July.
  33. Eric Renault & Nizar Touzi, 1996. "Option Hedging And Implied Volatilities In A Stochastic Volatility Model," Mathematical Finance, Wiley Blackwell, vol. 6(3), pages 279-302.
  34. Comte, F. & Renault, E., 1996. "Noncausality in Continuous Time Models," Econometric Theory, Cambridge University Press, vol. 12(02), pages 215-256, June.
  35. Gourieroux, C & Monfort, A & Renault, E, 1993. "Indirect Inference," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(S), pages S85-118, Suppl. De.
  36. Christian GOURIEROUX & Alain MONFORT & Eric RENAULT, 1993. "Tests sur le noyau, l'image et le rang de la matrice des coefficients d'un modéle linéaire multivarié," Annales d'Economie et de Statistique, ENSAE, issue 32, pages 81-111.
  37. Gourieroux, Christian & Monfort, Alan & Renault, Eric, 1989. "Testing for Common Roots," Econometrica, Econometric Society, vol. 57(1), pages 171-85, January.
  38. Gourieroux, Christian & Monfort, Alain & Renault, Eric & Trognon, Alain, 1987. "Simulated residuals," Journal of Econometrics, Elsevier, vol. 34(1-2), pages 201-252.
  39. Christian GOURIEROUX & Alain MONFORT & Eric RENAULT, 1987. "Kullback Causality Measures," Annales d'Economie et de Statistique, ENSAE, issue 6-7, pages 369-410.
  40. Gourieroux, Christian & Monfort, Alain & Renault, Eric & Trognon, Alain, 1987. "Generalised residuals," Journal of Econometrics, Elsevier, vol. 34(1-2), pages 5-32.
  1. Carrasco, Marine & Florens, Jean-Pierre & Renault, Eric, 2007. "Linear Inverse Problems in Structural Econometrics Estimation Based on Spectral Decomposition and Regularization," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 6, chapter 77 Elsevier.
  1. Journal of Financial Econometrics, Society for Financial Econometrics.
16 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BEC: Business Economics (3) 2005-02-13 2005-04-09 2005-05-29
  2. NEP-CFN: Corporate Finance (2) 2004-02-08 2007-09-02
  3. NEP-CMP: Computational Economics (1) 2005-04-09
  4. NEP-ECM: Econometrics (10) 2003-04-13 2003-05-12 2003-06-09 2003-09-28 2003-10-28 2004-02-08 2004-04-04 2004-06-22 2004-06-22 2005-05-29. Author is listed
  5. NEP-ETS: Econometric Time Series (5) 2003-04-13 2003-09-28 2004-02-08 2004-04-04 2004-06-22. Author is listed
  6. NEP-FIN: Finance (6) 2004-02-08 2004-04-04 2004-12-02 2005-02-13 2005-04-09 2005-05-29. Author is listed
  7. NEP-FMK: Financial Markets (3) 2004-02-08 2004-04-04 2007-09-02
  8. NEP-GEO: Economic Geography (1) 2003-04-13
  9. NEP-RMG: Risk Management (6) 2003-04-13 2003-04-27 2003-09-28 2003-10-28 2004-02-08 2005-04-09. Author is listed
  10. NEP-UPT: Utility Models & Prospect Theory (1) 2008-05-24
This author is among the top 5% authors according to these criteria:
  1. Average Rank Score
  2. Number of Works
  3. Number of Distinct Works
  4. Number of Distinct Works, Weighted by Simple Impact Factor
  5. Number of Distinct Works, Weighted by Recursive Impact Factor
  6. Number of Distinct Works, Weighted by Number of Authors and Simple Impact Factors
  7. Number of Distinct Works, Weighted by Number of Authors and Recursive Impact Factors
  8. Number of Citations
  9. Number of Citations, Discounted by Citation Age
  10. Number of Citations, Weighted by Simple Impact Factor
  11. Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
  12. Number of Citations, Weighted by Recursive Impact Factor
  13. Number of Citations, Weighted by Recursive Impact Factor, Discounted by Citation Age
  14. Number of Citations, Weighted by Number of Authors
  15. Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
  16. Number of Citations, Weighted by Number of Authors and Simple Impact Factors
  17. Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
  18. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
  19. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age
  20. h-index
  21. Number of Registered Citing Authors
  22. Number of Registered Citing Authors, Weighted by Rank (Max. 1 per Author)
  23. Number of Journal Pages
  24. Number of Journal Pages, Weighted by Simple Impact Factor
  25. Number of Journal Pages, Weighted by Recursive Impact Factor
  26. Number of Journal Pages, Weighted by Number of Authors
  27. Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
  28. Number of Journal Pages, Weighted by Number of Authors and Recursive Impact Factors
  29. Closeness measure in co-authorship network
  30. Betweenness measure in co-authorship network
  31. Breadth of citations across fields
  32. Wu-Index
  33. Strength of students

Most cited item

Most downloaded item (past 12 months)

Access and download statistics for all items

Co-authorship network on CollEc

For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Eric Renault should log into the RePEc Author Service

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.