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Econometric methods for derivative securities and risk management

Garcia, René (contributor); Ghysels, Eric (contributor); … - In: Journal of econometrics 94 (2000) 1/2, pp. 1-7

Persistent link: https://www.econbiz.de/10001437739

Econometric models of option pricing errors

Renault, Eric - 1997

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

Some econometric recipes for high-frequency data cooking

Ghysels, Eric - In: Journal of business & economic statistics : JBES ; a … 18 (2000) 2, pp. 154-163

Persistent link: https://www.econbiz.de/10001469563

Non causality in continuous time VARMA models

Comte, Fabienne; Renault, Eric - 1993 - Rev

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Indirect inference

Gouriéroux, Christian; Monfort, Alain; Renault, Eric - 1992 - Rev

Persistent link: https://www.econbiz.de/10000839360

Noncausality in continuous time models

Comte, Fabienne - In: Econometric theory 12 (1996) 2, pp. 215-256

Persistent link: https://www.econbiz.de/10001205643

The Dynamic Mixed Hitting-Time Model for Multiple Transaction Prices and Times

Renault, Eric - 2014

We propose a structural model for durations between events and (a vector of) associated marks, using a multivariate Brownian motion. Successive passage times of one latent Brownian component relative to random boundaries define durations. The other, correlated, Brownian components generate the...

Persistent link: https://www.econbiz.de/10013065459

Issue of the annals of econometrics on indirect estimation methods in finance and economics

Halbleib, Roxana; Kristensen, Dennis; Renault, Eric; … - In: Journal of econometrics 205 (2018) 1, pp. 1-5

Persistent link: https://www.econbiz.de/10012110222

Theoretical and financial econometrics : essays in honor of C. Gourieroux

Darolles, Serge (ed.); Renault, Eric (ed.); … - 2017

Persistent link: https://www.econbiz.de/10011918068

Annals journal of econometrics: predictive methodology and application in economics finance : volume in honor of the accomplishments of Clive W. J. Granger

Swanson, Norman R.; Elliott, Graham; Ghysels, Eric; … - 2006

Persistent link: https://www.econbiz.de/10003376072