Renault, Eric
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Incoming Resources
- Contributor of35
- Causalities a court et long terme dans les modeles VAR et ARIMA multivaries
- Empirical assessment of an intertemporal option pricing model with latent variables
- Risk aversion, intertemporal substitution, and option pricing
- Constraintes bilineaires, estimation at test
- A general framework for factor models
- Quadratic M-estimators for arch-type processes
- Aggregations and marginalization of GARCH and stochastic volatility models
- Kullback causality measures
- Testing for embeddability by stationary reversible continuous-time Markov processes
- Long memory continuous time models
- Temporal aggregation and tests of the arbitrage pricing theory
- Nonparametric instrumental regression
- Long memory in continuous time, stochastic volatility models
- Testing for common roots
- Two stage generalized moment method with applications to regressions with heteroscedasticity of unknown form
- Asymmetric smiles, leverage effects and structural parameters
- Semi-parametric indirect inference
- Calibration by simulation for small sample bias correction
- Stochastic volatility
- Empirical assessment of an intertemporal option pricing model with latent variables
- Non causality in continuous time Varma models
- Test sur le noyau, l'image et le rang de la matrice des coefficients d'un modele lineare multivarie
- Short-run and long-run causality in time series, theory
- Statistical inference for random variance option pricing
- Generalised residuals
- Consistent M-estimators in
- Statistical inference for Random variance option pricing
- Latent variable models for stochastic discount factors
- Risk aversion, intertemporal substitution and option pricing
- Latent variable models for stochastic discount factors
- Indirect inference
- Nonparametric methods and option pricing
- Asymmetric smiles, leverage effects and structural parameters
- Stochastic volatility
- Continuously updated extremum estimators
- Creator of1