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Efficient Two-Step Estimation via Targeting
David T. Frazierz and Eric Renault
CS
Indirect Inference with Endogenously Missing Exogenous Variables
Saraswata Chaudhuriy, David T. Frazierz and Eric Renault
CS
Testing for Common GARCH Factors
Prosper Dovonon and Eric Renault
CS
Conditionally Heteroskedastic Factor Models: Identification and Instrumental Variables Estimation
Catherine Doz and Eric Renault
CS
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The Econometrics of Option Pricing
René Garcia, Eric Ghysels and Eric Renault
CS
Short Run and Long Run Causality in Time Series: Inference
Jean-Marie Dufour, Denis Pelletier and Eric Renault
CS
Iterative and Recursive Estimation in Structural Non-Adaptive Models
Sergio Pastorello, Valentin Patilea and Eric Renault
CS
Disentangling Risk Aversion and Intertemporal Substitution Through a Reference Level
René Garcia, Eric Renault and Andrei Semenov
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Risque de modèle de volatilité
Ali Alami and Eric Renault
CS
Asymmetric Smiles, Leverage Effects and Structural Parameters
René Garcia, Richard Luger and Eric Renault
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Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note : Nouvelle version Février 2002)
René Garcia, Richard Luger and Eric Renault
CS
Temporal Aggregation of Volatility Models
Nour Meddahi and Eric Renault
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Latent Variable Models for Stochastic Discount Factors
René Garcia and Eric Renault
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Risk Aversion, Intertemporal Substitution, and Option Pricing
René Garcia and Eric Renault
CS
Quadratic M-Estimators for ARCH-Type Processes
Nour Meddahi and Eric Renault
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A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models
René Garcia and Eric Renault
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Nonparametric Methods and Option Pricing
Eric Ghysels, Valentin Patilea, Eric Renault and Olivier Torrès
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