Member's Details
Associate Fellows
Brown University
401 863-3519
Ph.D., Applied Mathematics for Social Sciences, Université Paris-Dauphine (France)
C.V. Starr Professor of Economics
Department of Economics
Brown University
Domain(s) of interest
Financial Econometrics, Valuation of Derivative Assets, Process Statistics, Macroeconometrics
Eric Renault is the C.V. Starr Professor of Economics at Brown University. Professor Renault received his Masters in Economics and Statistics from ENSAE, Paris and his PhD in Applied Mathematics for Social Sciences from Université Paris-Dauphine. He is a leading figure in the fields of econometric...

List of scientific publications at CIRANO by Eric Renault

Code Publications
2016s-16 WP David T. Frazierz et Éric Renault. Efficient Two-Step Estimation via Targeting
2016s-15 WP Saraswata Chaudhuriy, David T. Frazierz et Éric Renault. Indirect Inference with Endogenously Missing Exogenous Variables
2012s-34 WP Prosper Dovonon et Éric Renault. Testing for Common GARCH Factors
2004s-37 WP Catherine Doz et Éric Renault. Conditionally Heteroskedastic Factor Models: Identification and Instrumental Variables Estimation
2004s-18 WP Hélène Bonnal et Éric Renault. On the Efficient Use of the Informational Content of Estimating Equations: Implied Probabilities and Euclidean Empirical Likelihood
2004s-04 WP René Garcia, Eric Ghysels et Éric Renault. The Econometrics of Option Pricing
2003s-61 WP Jean-Marie Dufour, Denis Pelletier et Éric Renault. Short Run and Long Run Causality in Time Series: Inference
2003s-08 WP Sergio Pastorello, Valentin Patilea et Éric Renault. Iterative and Recursive Estimation in Structural Non-Adaptive Models
2003s-12 WP René Garcia, Éric Renault et Andrei Semenov. Disentangling Risk Aversion and Intertemporal Substitution Through a Reference Level
2001s-06 WP Ali Alami et Éric Renault. Risque de modèle de volatilité
2001s-01 WP René Garcia, Richard Luger et Éric Renault. Asymmetric Smiles, Leverage Effects and Structural Parameters
2001s-02 WP René Garcia, Richard Luger et Éric Renault. Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note : Nouvelle version Février 2002)
2000s-22 WP Nour Meddahi et Éric Renault. Temporal Aggregation of Volatility Models
99s-47 WP René Garcia et Éric Renault. Latent Variable Models for Stochastic Discount Factors
98s-02 WP René Garcia et Éric Renault. Risk Aversion, Intertemporal Substitution, and Option Pricing
98s-29 WP Nour Meddahi et Éric Renault. Quadratic M-Estimators for ARCH-Type Processes
97s-13 WP René Garcia et Éric Renault. A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models
97s-19 WP Eric Ghysels, Valentin Patilea, Éric Renault et Olivier Torrès. Nonparametric Methods and Option Pricing
95s-49 WP Eric Ghysels, Andrew Harvey et Éric Renault. Stochastic Volatility

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