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Efficient two-step estimation via targeting

Frazier, David T.; Renault, Eric - 2016

Persistent link: https://www.econbiz.de/10011453604

Efficient two-step estimation via targeting

Frazier, David T.; Renault, Eric - In: Journal of econometrics 201 (2017) 2, pp. 212-227

Persistent link: https://www.econbiz.de/10011918705

A new approach to risk-return trade-off dynamics via decomposition

Frazier, David T.; Liu, Xiaochun - In: Journal of economic dynamics & control 62 (2016), pp. 43-55

Persistent link: https://www.econbiz.de/10011708149

Econometric models of option pricing errors

Renault, Eric - 1997

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

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