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Econometric models of option pricing errors

Renault, Eric - 1997

Persistent link: https://www.econbiz.de/10001328730

On stable factor structures in the pricing of risk

Ghysels, Eric - 1995

Persistent link: https://www.econbiz.de/10001512514

On stable factor structures in the pricing of risk : do time-varying betas help or hurt?

Ghysels, Eric - In: The journal of finance : the journal of the American … 53 (1998) 2, pp. 549-573

Persistent link: https://www.econbiz.de/10001238269

State dependence can explain the risk aversion puzzle

Chabi-Yo, Fousseni; Garcia, René; Renault, Eric - In: The review of financial studies 21 (2008) 2, pp. 973-1011

Persistent link: https://www.econbiz.de/10003716673

Efficient derivate pricing by extended method of moments

Gagliardini, Patrick; Gouriéroux, Christian; Renault, Eric - 2005

Persistent link: https://www.econbiz.de/10003333856

Efficient derivative pricing by extended methods of moments

Gagliardini, Patrick (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003806842

Indirect inference and calibration of dynamic stochastic general equilibrium models

Dridi, Ramdan; Guay, Alain; Renault, Eric - In: Journal of econometrics 136 (2007) 2, pp. 397-430

Persistent link: https://www.econbiz.de/10003412637

Disentangling risk aversionand intertemporal substitution through a reference level

Garcia, René; Renault, Eric; Semenov, Andrei - In: Finance research letters 3 (2006) 3, pp. 181-193

Persistent link: https://www.econbiz.de/10003374037

Efficient derivative pricing by the extended method of moments

Gagliardini, Patrick; Gouriéroux, Christian; Renault, Eric - 2010 - this version: October 2009

In this paper we introduce the Extended Method of Moments (XMM) estimator. This estimator accommodates a more general set of moment restrictions than the standard Generalized Method of Moments (GMM) estimator. More specifically, the XMM differs from the GMM in that it can handle not only uniform...

Persistent link: https://www.econbiz.de/10003973066

Efficient derivative pricing by extended method of moments

Gagliardini, Patrick; Gouriéroux, Christian; Renault, Eric - 2004

Persistent link: https://www.econbiz.de/10002597912