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Editorial Announcement
Ghysels, Eric; Renault, Eric - In: Journal of Financial Econometrics 12 (2013) 1, pp. 1-2
Persistent link: https://www.econbiz.de/10010728000
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In-sample asymptotics and across-sample efficiency gains for high frequency data statistics
Ghysels, Eric; Mykland, Per A.; Renault, Eric - In: Econometric theory 39 (2023) 1, pp. 70-106
Persistent link: https://www.econbiz.de/10014247294
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The JFEC Invited Lecture at the 2009 SoFiE Conference
Garcia, René; Ghysels, Eric; Renault, Eric - In: Journal of Financial Econometrics 9 (2011) 1, pp. 1-2
Persistent link: https://www.econbiz.de/10008784378
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Factor analysis with large panels volatility proxies
Ghysels, Eric - 2014
Persistent link: https://www.econbiz.de/10010382083
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Comment on: price discovery in high resolution and the analysis of mixed frequency data
Ghysels, Eric - In: Journal of financial econometrics 19 (2021) 3, pp. 459-464
Persistent link: https://www.econbiz.de/10012654948
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Macroeconomics and the reality of mixed frequency data
Ghysels, Eric - In: Journal of econometrics 193 (2016) 2, pp. 294-314
Persistent link: https://www.econbiz.de/10011704951
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Indirect inference with(out) constraints
Frazier, David T.; Renault, Eric - In: Quantitative Economics 11 (2020) 1, pp. 113-159
Indirect Inference (I‐I) estimation of structural parameters θ requires matching observed and simulated statistics, which are most often generated using an auxiliary model that depends on instrumental parameters β. The estimators of the instrumental parameters will...
Persistent link: https://www.econbiz.de/10012637318
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Asymptotic Normal Inference in Linear Inverse Problems
Carrasco, Marine; Florens, Jean-Pierre; Renault, Eric - In: The Oxford handbook of applied nonparametric and …. 2014
Persistent link: https://www.econbiz.de/10012881205
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The leverage effect puzzle revisited : identification in discrete time
Han, Hyojin; Khrapov, Stanislav; Renault, Eric - In: Journal of econometrics 217 (2020) 2, pp. 230-258
Persistent link: https://www.econbiz.de/10012482760
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Testing identification strength
Antoine, Bertille; Renault, Eric - In: Journal of econometrics 218 (2020) 2, pp. 271-293
Persistent link: https://www.econbiz.de/10012483002