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Option hedging and implicit volatilities in a stochastic volatility model

Renault, Eric; Touzi, Nizar - 1993 - Rev

Persistent link: https://www.econbiz.de/10000874371

Long memory continuous time models

Comte, Fabienne; Renault, Eric - 1993

Persistent link: https://www.econbiz.de/10000880864

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

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

Factor stochastic volatility in mean models : a GMM approach

Doz, Catherine; Renault, Eric - In: Econometric reviews 25 (2006) 2/3, pp. 275-309

Persistent link: https://www.econbiz.de/10003355766

GARCH and irregularly spaced data

Meddahi, Nour; Renault, Eric; Werker, Bas J. M. - In: Economics letters 90 (2006) 2, pp. 200-204

Persistent link: https://www.econbiz.de/10003275843

Short run and long run causality in time series : inference

Dufour, Jean-Marie; Pelletier, Denis; Renault, Eric - In: Journal of econometrics 132 (2006) 2, pp. 337-362

Persistent link: https://www.econbiz.de/10003348758

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

The JFEC invited lecture at the 2008 SoFiE conference

Garcia, René (contributor); Ghysels, Eric (contributor); … - 2009

Persistent link: https://www.econbiz.de/10003884345

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