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