E Ghysels, AC Harvey, E Renault… - 1996 - secure.cirano.qc.ca
This paper, prepared for the" Handbook of Statistics", vol. 14, Statistical Methods in Finance,
surveys the subject of Stochastic Volatility. The following subjects are covered: volatility in
financial markets (instantaneous volatility of asset returns, implied volatilities in option ...
C Gourieroux, A Monfort… - Journal of applied …, 1993 - Wiley Online Library
Abstract In this paper we present inference methods which are based on an
'incorrect'criterion, in the sense that the optimization of this criterion does not directly provide
a consistent estimator of the parameter of interest. Moreover, the argument of the criterion, ...
F Comte… - Mathematical Finance, 1998 - Wiley Online Library
This paper studies a classical extension of the Black and Scholes model for option pricing,
often known as the Hull and White model. Our specification is that the volatility process is
assumed not only to be stochastic, but also to have long-memory features and properties. ...
C Gourieroux, A Monfort, E Renault… - Journal of Econometrics, 1987 - Elsevier
Abstract This paper proposes a definition of generalised residuals for a large class of non-
linear econometric models. These residuals are shown to have properties similar to those of
the familiar residuals in the linear model and to be useful in many hypothesis testing ...
E Renault… - Mathematical Finance, 1996 - Wiley Online Library
In the stochastic volatility framework of Hull and White (1987), we characterize the so-called
Black and Scholes implied volatility as a function of two arguments the ratio of the strike to
the underlying asset price and the instantaneous value of the volatility By studying the ...
N Meddahi… - Journal of Econometrics, 2004 - Elsevier
In this paper, we consider temporal aggregation of volatility models. We introduce
semiparametric volatility models, termed square-root stochastic autoregressive volatility (SR-
SARV), which are characterized by autoregressive dynamics of the stochastic variance. ...
S Darolles, Y Fan, JP Florens… - 2010 - papers.ssrn.com
Abstract: The focus of the paper is the nonparametric estimation of an instrumental
regression function f defined by conditional moment restrictions stemming from a structural
econometric model: E [Yf (Z)| W]= 0, and involving endogenous variables Y and Z and ...
F Comte… - Journal of Econometrics, 1996 - Elsevier
This paper presents a new family of long memory models: the continuous time moving
average fractional process. The continuous time framework allows to reconcile two
competitive types of modelling: fractional integration of ARMA processes and fractional ...
JM Dufour… - Econometrica, 1998 - JSTOR
Causality in the sense of Granger is typically defined in terms of predictibility of a vector of
variables one period ahead. Recently, Lütkepohl (1993) proposed to define noncausality
between two variables in terms of nonpredictibility at any number of periods ahead. When ...
E Ghysels… - 2004 - uchicago.edu
The growth of the option pricing literature parallels the spectacular developments of
derivative securities and the rapid expansion of markets for derivatives in the last three
decades. Writing a survey of option pricing models appears therefore like a formidable ...
E Renault - Econometric Society Monographs, 1997 - books.google.com
CHAPTER 8 Econometric models of option pricing errors Eric Renault 1 INTRODUCTION On
prefacing his excellent textbook on dynamic asset pricing theory, Duffie (1992) distinguishes
two decades to characterize the progress in this field: First, the" golden decade"(1969-79): ...
S Pastorello, E Renault… - Journal of Business & Economic …, 2000 - JSTOR
This article deals with the estimation of continuous-time stochastic volatility models of option
pricing. We argue that option prices are much more informative about the parameters than
are asset prices. This is confirmed in a Monte Carlo experiment that compares two very ...
C Gourieroux, A Monfort, E Renault… - Journal of Econometrics, 1987 - Elsevier
Abstract In this article we consider models deduced from a latent regression model by a non-
linear mapping (probit, tobit, disequilibrium models,…). In this context we define simulated
residuals whose role is similar to that of usual residuals in the regression model. In ...
R Garcia, R Luger… - Journal of Econometrics, 2003 - Elsevier
This paper assesses the empirical performance of an intertemporal option pricing model
with latent variables which generalizes the Black–Scholes and the stochastic volatility
formulas. We derive a closed-form formula for an equilibrium model with recursive ...
N Meddahi… - 1998 - papyrus.bib.umontreal.ca
The GARCH and Stochastic Volatility paradigms are often brought into conflict as two
competitive views of the appropriate conditional variance concept: conditional variance
given past values of the same series or conditional variance given a larger past ...
JM Dufour, D Pelletier… - Journal of Econometrics, 2006 - Elsevier
R Dridi, A Guay… - Journal of Econometrics, 2007 - Elsevier
We advocate in this paper the use of a sequential partial indirect inference (SPII) approach,
in order to account for calibration practice where dynamic stochastic general equilibrium
models (DGSE) are studied only through their ability to reproduce some well-chosen ...
B Antoine, H Bonnal… - Journal of Econometrics, 2007 - Elsevier
A number of information-theoretic alternatives to GMM have recently been proposed in the
literature. For practical use and general interpretation, the main drawback of these
alternatives, particularly in the case of conditional moment restrictions, is that they give up ...
F Comte, L Coutin… - Annals of Finance, 2010 - Springer
Abstract By fractional integration of a square root volatility process, we propose in this paper
a long memory extension of the Heston (Rev Financ Stud 6: 327–343, 1993) option pricing
model. Long memory in the volatility process allows us to explain some option pricing ...
R Garcia… - Mathematical Finance, 1998 - Wiley Online Library
... REN´E GARCIA Université de Montréal, CRDE and CIRANO ´ERIC RENAULT Université
Paris IX-Dauphine and CREST-INSEE Recently, Duan (1995) proposed a GARCH option
pricing formula and a corresponding hedging formula. ...
R Garcia, E Renault… - Journal of Econometrics, 2011 - Elsevier
This article deals with the estimation of the parameters of an α-stable distribution with
indirect inference, using the skewed-t distribution as an auxiliary model. The latter
distribution appears as a good candidate since it has the same number of parameters as ...
R Garcia, É Renault… - Management Science, 2007 - sceco.umontreal.ca
Page 1. Proper Conditioning for Coherent VaR in Portfolio Management ∗ René Garcia Université
de Montréal, CIRANO and CIREQ Éric Renault University of North Carolina at Chapel Hill,
CIRANO and CIREQ Georges Tsafack Université de Montréal, CIRANO and CIREQ ...
R Garcia… - 1998 - papyrus.bib.umontreal.ca
Page 1. 9801 GARCIA, René RENAULT, Éric Risk Aversion, Intertemporal Substitution,
and Option Pricing Page 2. Département de sciences économiques Université de
Montréal Faculté des arts et des sciences CP 6128, succursale ...
R Dridi, E Renault… - 2001 - papers.ssrn.com
Abstract: We develop in this paper a generalization of the Indirect Inference (II) to semi-
parametric settings and termed Semi-parametric Indirect Inference (SII). We introduce a new
notion of Partial Encompassing which lays the emphasis on Pseudo True Values of ...
S Pastorello, V Patilea… - Journal of Business and …, 2003 - Taylor & Francis
An inference method, called latent backfitting, is proposed. This method appears well suited
for econometric models where the structural relationships of interest define the observed
endogenous variables as a known function of unobserved state variables and unknown ...
E Renault… - CentER Discussion Paper No. 2004-24, 2004 - papers.ssrn.com
Abstract: We provide a structural approach to disentangle Granger versus instantaneous
causality effects from transaction durations to price volatility. So far, in the literature,
instantaneous causality effects have either been excluded or cannot be identified ...
R Garcia, É Renault, R Luger… - 2001 - cirano.qc.ca
Page 1. Asymmetric Smiles, Leverage Effects and Structural Parameters Renée Garcia
Universit e de Montr eal, CRDE and CIRANO Richard Luger Universit e de Montr eal, CRDE
and CIRANO éeric Renault Crest Ensai and Paris IX Dauphine ...
N Meddahi, E Renault… - Economics Letters, 2006 - Elsevier
An exact discretization of continuous time stochastic volatility processes observed at
irregularly spaced times is used to give insights on how a coherent GARCH model can be
specified for such data. The relation of our approach with those in the existing literature is ...
R Garcia, É Renault… - manuscript, University of Montreal, …, 2005 - Citeseer
Page 1. A Consumption CAPM with a Reference Level∗ René Garcia CIREQ, CIRANO
and Université de Montréal Éric Renault CIREQ, CIRANO and Université de Montréal
Andrei Semenov York University December 16, 2003 Abstract ...
C Gourieroux, A Monfort… - Annales d'Économie et de Statistique, 1987 - JSTOR
In this paper we propose causality measures based on the Kullback Information Criterion.
These causality measures are applicable in a general context which contains, as special
cases, the stationary autoregressive case, considered by GEWEKE, and qualitative ...
F Chabi-Yo, R Garcia… - Review of Financial …, 2008 - Soc Financial Studies
Abstract Risk aversion functions extracted from observed stock and option prices can be
negative, as shown by Aït-Sahalia and Lo (2000), Journal of Econometrics 94: 9–51; and
Jackwerth (2000), The Review of Financial Studies 13 (2), 433–51. We rationalize this ...
E Renault… - Journal of Econometrics, 2011 - Elsevier
We provide a structural approach to identify instantaneous causality effects between
durations and stock price volatility. So far, in the literature, instantaneous causality effects
have either been excluded or cannot be identified separately from Granger type causality ...
R Garcia, É Renault… - Finance Research Letters, 2006 - Elsevier
C Doz… - CIRANO Working Papers, 2004 - ideas.repec.org
Downloadable! This paper provides a semiparametric framework for modelling multivariate
conditional heteroskedasticity. First, we show that stochastic volatility factor models with possibly
cross-correlated disturbances cannot be identified from returns conditional variance structure ...
E Renault, K Sekkat… - Journal of Empirical Finance, 1998 - Elsevier
In this paper, we distinguish between the 'true'and 'spurious' components of observed
causalities.'True'refers to the underlying continuous-time model while 'spurious' designates
a term arising from the discretization of the model. We provide a test for making the ...
C Doz… - Econometric Reviews, 2006 - Taylor & Francis
This paper provides a semiparametric framework for modeling multivariate conditional
heteroskedasticity. We put forward latent stochastic volatility (SV) factors as capturing the
commonality in the joint conditional variance matrix of asset returns. This approach is in ...
H Bonnal… - CIRANO Working Papers, 2004 - ideas.repec.org
Downloadable! A number of information-theoretic alternatives to GMM have recently been
proposed in the literature. For practical use and general interpretation, the main drawback of
these alternatives, particularly in the case of conditional moment restrictions, is that they rely on ...
B Antoine… - The Econometrics Journal, 2009 - Wiley Online Library
Summary This paper is in the line of the recent literature on weak instruments, which,
following the seminal approach of Stock and Wright captures weak identification by drifting
population moment conditions. In contrast with most of the existing literature, we do not ...
E Renault… - Papers, 1991 - ideas.repec.org
2. Jonathan B. Hill, 2007." Efficient tests of long-run causation in trivariate VAR processes
with a rolling window study of the money-income relationship," Journal of Applied
Econometrics, John Wiley & Sons, Ltd., vol. 22 (4), pages 747-765.[Downloadable!]
B Antoine… - Journal of Econometrics, forthcoming, 2010 - sfu.ca
Abstract: This paper extends the asymptotic theory of GMM inference to allow sample
counterparts of the estimating equations to converge at (multiple) rates, different from the
usual square-root of the sample size. In this setting, we provide consistent estimation of ...
E Renault - Papers, 1996 - ideas.repec.org
This paper, prepared for the Invited Symposium" Financial Econometrics" at the 7th WCES,
Tokyo, August 1995, surveys the subject of Econometrics of option pricing, and more
precisely try to offer versatile tools to model the source of the prediction errors in option ...
E Renault - Handbook of Financial Time Series, 2009 - Springer
This chapter reviews the possible uses of the Generalized Method of Moments (GMM) to
estimate Stochastic Volatility (SV) models. A primary attraction of the method of moments
technique is that it is well suited for identifying and estimating volatility models without a ...
S Darolles, Y Fan, JP Florens… - Econometrica, 2011 - Wiley Online Library
The focus of this paper is the nonparametric estimation of an instrumental regression
function ϕ defined by conditional moment restrictions that stem from a structural econometric
model E [Y− ϕ (Z)| W]= 0, and involve endogenous variables Y and Z and instruments W. ...
JB Hill… - Dept. of Economics, University of North Carolina …, 2010 - econ.psu.edu
Abstract We develop a GMM estimator for stationary heavy tailed data by trimming an
asymptotically vanishing sample portion of the estimating equations. Trimming ensures the
estimator is asymptotically normal, and self-normalization implies we do not need to know ...
F Chabi-Yo, D Leisen… - 2006 - publications.gc.ca
Abstract Asymmetric shocks are common in markets; securities' payoffs are not normally
distributed and exhibit skewness. This paper studies the portfolio holdings of heterogeneous
agents with preferences over mean, variance and skewness, and derives equilibrium ...
Y Li, P Mykland, E Renault, L Zhang… - 2010 - papers.ssrn.com
Abstract When estimating integrated volatilities based on high-frequency data, simplifying
assumptions are usually imposed on the relationship between the observation times and the
price process. In this paper, we establish a central limit theorem for the Realized Volatility ...
P Gagliardini, C Gouriéroux, E Renault… - 2005 - papers.ssrn.com
Abstract: In this paper we introduce the Extended Method of Moments (XMM) estimator. This
estimator accommodates a more general set of moment restrictions than the standard
Generalized Method of Moments (GMM) estimator. More specifically, the XMM differs from ...
[CITATION] lIndirect Inference, mJournal of Applied Econometrics, 8
C Gouriéroux, A Monfort… - S85% S, 1993
R Garcia, MA Lewis, S Pastorello… - Journal of Econometrics, 2011 - Elsevier
C Gouriéroux, A Monfort… - Journal of statistical planning and …, 1996 - Elsevier
We describe in a general framework a two-stage generalized moment method. More
precisely we explain how to partition the set of estimating constraints and to unfold the set of
parameters in order to derive a two-stage approach which is asymptotically equivalent to ...
C Gourieroux, A Monfort… - Econometrica: Journal of the …, 1989 - JSTOR
In this paper we propose a procedure for testing commoh roots hypothesis for polynomials in
lag operator. Using a generalized Bezout property, we first show that this hypothesis can be
written in a" mixed" form, ie as a set of equations linking the parameters of interest (the ...
N Meddahi, E Renault… - Discussion Paper, 2003 - ideas.repec.org
An exact discretization of continuous time stochastic volatility processes observed at
irregularly spaced times is used to give insights on how a coherent GARCH model can be
specified for such data. The relation of our approach with those in the existing literature is ...
P Gagliardini, C Gourieroux… - Econometrica, 2011 - Wiley Online Library
In this paper, we introduce the extended method of moments (XMM) estimator. This
estimator accommodates a more general set of moment restrictions than the standard
generalized method of moments (GMM) estimator. More specifically, the XMM differs from ...
LP Hansen… - Encyclopedia of Quantitative Finance, 2010 - Wiley Online Library
Pricing kernels or stochastic discount factors (SDFs)(see Stochastic Discount Factors) are
used to represent valuation operators in dynamic stochastic economies. A kernel is a
commonly used mathematical term for representing an operator. The term stochastic ...
F Chabi-Yo, E Ghysels… - 2007 - riskattitude.eu
• Several authors have recognized that pricing kernels should reward assets for their
contribution to the higher order moments, such as skewness and kurtosis, of the return on
the market portfolio in order to successfully explain individual asset risk premiums.
E Ghysels, P Mykland… - 2007 - Citeseer
Abstract We revisit in-sample asymptotic analysis extensively used in the realized volatility
literature. We show that there are gains to be made in estimating current realized volatility
from considering realizations in prior periods. Our analysis is reminiscent of local-to-unity ...
C Croux, E Renault… - Journal of econometrics, 2004 - econpapers.repec.org
... EconPapers has moved to http://EconPapers.repec.org! Please update your bookmarks. Dynamic
factor models. Christophe Croux, Eric Renault and Bas JM Werker (). Journal of Econometrics,
2004, vol. 119, issue 2, pages 223-230. Date: 2004 Track citations by RSS feed. ...
[CITATION] Calibration of DSGE Models: An Sequential Partial Indirect Inference Approach
R Dridi, A Guay… - Manuscript, 2003
R Garcia, R Luger… - 2003 - cemfi.es
Page 1. Pricing and Hedging Options with Implied Asset Prices and Volatilities£ Renée
Garcia CIRANO and CIREQ, Universit e de Montr eal Richard Luger Bank of Canada
éEric Renault CIRANO and CIREQ, Universit e de Montr eal ...
B Antoine… - 2007 - mailhost.econ.yale.edu
Abstract: This paper is in the line of the recent literature on weak instruments, which,
following the seminal approach of Staiger and Stock (1997) and Stock and Wright (2000)
captures weak identification by drifting population moment conditions. In contrast with ...
Y Li, PA Mykland, E Renault, L Zhang… - 2009 - tigger.uic.edu
Abstract When estimating integrated volatilities based on high-frequency data, simplifying
assumptions are usually imposed on the relationship between the observation times and the
price process. In this paper, we establish a central limit theorem for the Realized Volatility ...
L Broze, R Dridi, E Renault… - 2001 - stat.fi
There is a fairly general agreement about the two main goals of Econometrics, as defined by
Christ (1966):«the production of quantitative economic statements that either explain the
behavior of variables that we have already seen, or forecast (ie predict) behavior that we ...
F Chabi-Yo, E Ghysels, E Renault… - 2008 - Citeseer
Abstract The early work of Tobin (1958) showed that portfolio allocation decisions can be
reduced to a two stage process: first decide the relative allocation of assets across the risky
assets, and second decide how to divide total wealth between the risky assets and the ...
E Renault… - 2005 - Citeseer
Abstract We provide a structural approach to identify instantaneous causality effects
between quote-to-quote durations and stock price volatility. So far, in the literature,
instantaneous causality effects have either been excluded or cannot be identified ...
JM Dufour… - Cahiers de recherche, 1995 - econpapers.repec.org
By Jean-Marie Dufour and E. Renault; Short-Run and Long-Rub Causality in Time Series: Theory.
R Garcia… - 2000 - papyrus.bib.umontreal.ca
Page 1. Cahier 2000-01 GARCIA, René RENAULT, Éric Latent Variable Models
for Stochastic Discount Factors Page 2. Département de sciences économiques
Université de Montréal Faculté des arts et des sciences CP 6128 ...
[CITATION] The speed of learning in financial markets
L Germain, N Meddahi… - Manuscript. Toulouse: Toulouse Univ, 1996
B Antoine… - Handbook of Empirical Economics and …, 2009 - books.google.com
The generalized method of moments (GMM) provides a computationally convenient method
for inference on the structural parameters of economic models. The method has been
applied in many areas of economics but it was in empirical finance that the power of the ...
[CITATION] Nonparametric Instrumental Variable Regression
S Darolles, JP Florens… - Manuscript. Toulouse: Univ. Toulouse, Dept. …, 2001
[CITATION] 1Indirect Inference Estimation of Factor Models of the Term Structure of Interest Rates1
A Frachot, JP Lesne… - 1995 - … de France, Unversité de Cergy and …
F Chabi-Yo, R Garcia, E Renault… - 2005 - 204.101.58.163
Abstract This paper examines the ability of economic models with regime shifts to rationalize
and explain the risk aversion and pricing kernel puzzles put forward in Jackwerth (2000). We
build an economy where investors' preferences or economic fundamentals are state- ...
[CITATION] The Econometrics of Option Pricing, forthcoming in Handbook of Financial Econometrics, Yacine Aït-Sahalia and Lars Peter Hansen eds
R Garcia, E Ghysels… - 2003 - Elsevier-North Holland, Amsterdam
S Chaudhuri… - 2011 - unc.edu
Abstract We are interested in score tests for parameter vectors and sub-vectors defined by
moment restrictions. We provide a general setup to conduct score tests by utilizing the
additional information obtained from the Generalized Empirical Likelihood framework in ...
V Patilea, E Renault… - 1997 - core.ucl.ac.be
Abstract An important class of structural econometric models (nonlinear rational
expectations, option pricing, auction models,...) characterize observable variables as highly
nonlinear transformations of some latent variables. These transformations are one-to-one, ...
E Renault - Economics and Philosophy, 2002 - Cambridge Univ Press
Professor Sutton opens his lively monograph on the nature of economic theory with the
following question: is it possible to find economic models that work? He uses the question to
guide us on a methodological tour with Marshall's characterization of economic theory as ...
F Chabi-Yo, E Ghysels… - 2010 - workspace.imperial.ac.uk
Abstract The predominant framework of factor asset pricing models is that of mean-variance
analysis. Outside this framework we do not know much about how factor asset pricing
models relate to the underlying economy. For example, what is the aggregate effect on ...
R Garcia, R Luger… - Preprint, 2005 - economics.emory.edu
Abstract This paper surveys recent developments in the theory of option pricing. The
emphasis is on the interplay between option prices and investors' impatience and their
aversion to risk. The traditional view, steeped in the risk-neutral approach to derivative ...
E Renault - Encyclopedia of Quantitative Finance, 2009 - Wiley Online Library
In 1997, Robert Merton and Myron Scholes were awarded the Nobel Memorial Prize in
Economics “for a new method to determine the value of derivatives”. Of course, Fisher Black,
who died two years earlier, had been associated with this huge contribution to financial ...
F Chabi-Yo, R Garcia… - 2005 - cosmic.rrz.uni-hamburg.de
Abstract The authors extend the well-known Hansen and Jagannathan (HJ) volatility bound.
HJ characterize the lower bound on the volatility of any admissible stochastic discount factor
(SDF) that prices correctly a set of primitive asset returns. The authors characterize this ...
E Renault, T van der Heijden… - 2010 - gresi-cetai.hec.ca
Abstract We propose a structural model for durations between events and associated marks.
Our model is structural in the sense that both durations and marks are generated by an
underlying Brownian motion. In particular, we model the durations as the successive ...
R Garcia, R Luger… - Canadian Journal of …, 2005 - Wiley Online Library
Skip to Main Content. ...
B Antoine… - 2007 - cireq.umontreal.ca
Abstract: This paper considers an extension of asymptotic theory of GMM inference in a new
setting where sample counterparts of estimating equations have multiple rates of
convergence. GMM estimators are still consistent and asymptotically normally distributed, ...
A Guay… - eea-esem.com
∗Université du Québec `a Montréal, CIRPEE and CIREQ. e-mail: guay.alain@uqam.ca. †Université
de Montréal, CIRANO and CIREQ. e-mail: Eric.Renault@UMontreal.CA . ... The specification
problem in econometric modelling results from the difficulty in reproducing all of the
B Antoine… - 2010 - sfu.ca
Abstract: We consider a general framework where weaker patterns of identification may
arise: typically, the data generating process is allowed to depend on the sample size.
However, contrary to what is usually done in the literature on weak identification, we do ...
CH Ke, C Ma, D Barman, ES El-Alfy, E Renault… - ieeexplore.ieee.org
Abdallah Mhamed, Institut National des Telecommunications, France Agustinus Borgy
Waluyo, I2R, Singapore Alfred Tan, Edith Cown University, Australia Carlos Becker
Westphall, Federal University of Santa Catarina, Brazil Chih-Heng Ke, Kinmen 892, ...
B Werker… - arno.uvt.nl
Page 1. Bas Werker Eric Renault Appendix to: Causality Effects in Return Volatility Measures
with Random Times Discussion Paper 2005 - 021 January 2008 (replacing last version of
November 2005) Page 2. App endix to: Causality Eff ects in Return V olatility Measures with ...
J Fernández-villaverde, JF Rubio-ramírez… - 2004 - citeseer.ist.psu.edu
Abstract: for comments. Jonas Fisher provided us with his investment deflator. Mark Fisher's
help with coding was priceless. Beyond the usual disclaimer, we must note that any views
expressed herein are those of the authors and not necessarily those of the Federal ...
C GOURIEROUX, A MONFORT… - annales.ensae.fr
ABSTRACT.-In this paper we propose causality measures based on the Kullback
Information Criterion. These causality measures are applicable in a general context which
contains, as special cases, the stationary autoregressive case, considered by GEWEKE, ...
B Antoine… - 2006 - sfu.ca
We are interested in constructing confidence regions for a parameter rξ (θ) where rξ: Θ→ Rr
with r≤ p such that∂ rξ/∂ θT is of full row rank. These regions are defined as the values rξ0
for which the null hypothesis H0 (rξ0): rξ (θ)= rξ0 is not rejected.
[CITATION] The Econometrics of Option Pricing¤
E Ghysels…
R Garcia… - Jnl of Financial Econometrics - rpproxy.iii.com
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E Renault - Cambridge Univ Press
On a pleasant evening late in June 2010 the two Erics met with Alain and Christian in a
Parisian restaurant. It appeared to us that French cuisine was the natural setting to talk about
the French School of Econometrics. In fact, the menu read:
R Garcia, E Ghysels, E Renault… - Journal of Financial …, 2009 - Oxford Univ Press
The topic of multivariate models of volatility is hugely important. Unfortunately, it is also a
hugely complex problem for which there are no simple solutions. Indeed, parameter
proliferation is a common problem that prevents one from opting for relatively easy ...
C Gollier, E RENAULT… - Working Papers, 1994 - ideas.repec.org
We consider in this paper the interaction between precautionary savings and insurance
demand. Under the standard intertemporal expected utility framework, the effect of an
increase in the concavity of the utility function is ambiguous because of the inability of this ...
[CITATION] Editors: TAKESHI AMEMIYA A. RONALD GALLANT JOHN F. GEWEKE
C HSIAO, P ROBINSON, A ZELLNER… - Journal of …, 2008 - North Holland Pub. Co.
B Antoine… - 2006 - quebececonomique.qc.ca
Abstract: This paper proposes a new way to address some issues of weak identification. By
contrast to existing literature, we do not characterize weak identification directly in terms of
drifting population moments but rather in terms of the content of the statistical information ...
R Garcia, E Ghysels, E Renault - Journal of Financial …, 2011 - Oxford Univ Press
It was a great honor for both the Journal and the Society that Lars Hansen accepted our
invitation to deliver this lecture. The JFEC invited lectures are meant to put the spotlight on
scholars that are leaders in our field. The first lecture was delivered by Halbert White at the ...
E Ghysels… - Econometric Theory - Cambridge Univ Press
... ET INTERVIEW. THE ET INTERVIEW: CHRISTIAN GOURIÉROUX AND ALAIN MONFORT. Article
author query; ghysels e [Google Scholar]; renault e [Google Scholar]. Eric Ghysels a1 and Eric
Renault a2. a1 University of North Carolina. a2 Brown University. ...
[CITATION] PANEL DATA
D GILES, ML KING, N KUNITOMO, K LAHIRI… - Journal of …, 1995 - Elsevier
[CITATION] Joumal of Empirical Finance 5 (I998) 47-66 iii
E Renault, K Sekkat… - Journal of empirical finance, 1997
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