Econometrics, financial econometrics, econometric theory


A CIRANO Associate Researcher and Fellow since 1998, Eric Renault is the C.V. Starr Professor of Economics in the Department of Economics at Brown University. He is Fellow of the Econometric Society and the Journal of Econometrics, is the Founding Editor of the Journal of Financial Econometrics (along with Rene Garcia) and currently holds editorial positions, co-editor or associate editor, at the most prestigious journals in econometrics: Econometrica, Journal of Econometrics and Econometric Theory.

Holding a Ph.D. in Applied Mathematics for Social Sciences from Paris Dauphine University, he is a leading figure in the fields of econometric theory and financial econometrics.

Over his career he has had a substantial impact on many fields of research including continuous time finance, financial mathematics, option and derivative pricing, causality, stochastic volatility, generalized method of moments, nonparametric instrumental variables, and simulation-based estimation. In total, he has written over seventy research papers and scholarly book chapters, including several chapters in the prestigious Handbook series, and has supervised over twenty-five Ph.D. students.

He has been Invited Professor at Princeton University, at the University of California at San Diego, at the University of California at Riverside, at the University of Melbourne, at Monash University, at the Becker Friedman Institute and at the Stevanovic Center at the University of Chicago.

He was elected president of the Society for Financial Econometrics (SoFiE) for the term 2013-2015.

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CIRANO Publications by Eric Renault

As an author