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[BOOK] Stochastic volatility

[PDF] from cirano.qc.ca
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 ...
Cited by 890 - Related articles - View as HTML - Get it from MIT Libraries - Library Search - All 36 versions

Indirect inference

[PDF] from unisg.ch
Full text - MIT Libraries
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, ...
Cited by 958 - Related articles - Library Search - BL Direct - All 14 versions

Long memory in continuous‐time stochastic volatility models

[PDF] from long-memory.com
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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. ...
Cited by 318 - Related articles - Library Search - BL Direct - All 20 versions

Generalised residuals

Full text - MIT Libraries
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 ...
Cited by 301 - Related articles - Library Search - All 6 versions

OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL1

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 ...
Cited by 209 - Related articles - Get it from MIT Libraries - Library Search - BL Direct - All 10 versions

Temporal aggregation of volatility models

[PDF] from univ-tlse1.fr
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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. ...
Cited by 168 - Related articles - Library Search - All 21 versions

Nonparametric instrumental regression

[PDF] from univ-tlse1.fr
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 ...
Cited by 157 - Related articles - All 28 versions

Long memory continuous time models

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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 ...
Cited by 131 - Related articles - All 11 versions

Short run and long run causality in time series: theory

[PDF] from unc.edu
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 ...
Cited by 125 - Related articles - Get it from MIT Libraries - BL Direct - All 12 versions

[PDF] The Econometrics of Option Pricing¤

[PDF] from uchicago.edu
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 ...
Cited by 86 - Related articles - View as HTML - All 23 versions

Econometric models of option pricing errors

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): ...
Cited by 88 - Related articles - BL Direct - All 2 versions

Statistical inference for random-variance option pricing

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 ...
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Simulated residuals

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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 ...
Cited by 63 - Related articles - Library Search - All 6 versions

Empirical assessment of an intertemporal option pricing model with latent variables

[PDF] from umontreal.ca
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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 ...
Cited by 57 - Related articles - Library Search - All 33 versions

Aggregations and marginalization of garch and stochastic volatility models

[PDF] from umontreal.ca
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 ...
Cited by 52 - Related articles - All 17 versions

Short run and long run causality in time series: inference

[PDF] from umontreal.ca
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JM Dufour, D Pelletier… - Journal of Econometrics, 2006 - Elsevier
Cited by 51 - Related articles - Library Search - All 23 versions

Indirect inference and calibration of dynamic stochastic general equilibrium models

[PDF] from psu.edu
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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 ...
Cited by 46 - Related articles - All 10 versions

On the efficient use of the informational content of estimating equations: Implied probabilities and Euclidean empirical likelihood

Full text - MIT Libraries
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 ...
Cited by 45 - Related articles - All 6 versions

Affine fractional stochastic volatility models

[PS] from univ-paris5.fr
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 ...
Cited by 39 - Related articles - Get it from MIT Libraries - All 4 versions

A note on hedging in ARCH and stochastic volatility option pricing models

[PDF] from psu.edu
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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. ...
Cited by 35 - Related articles - Library Search - BL Direct - All 24 versions

Estimation of stable distributions by indirect inference

[PDF] from academielouvain.be
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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 ...
Cited by 34 - Related articles - Library Search - All 38 versions

[PDF] Proper Conditioning for Coherent VoR in Portfolio Management

[PDF] from umontreal.ca
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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 ...
Cited by 37 - Related articles - View as HTML - BL Direct - All 16 versions

Risk aversion, intertemporal substitution, and option pricing

[PDF] from umontreal.ca
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 ...
Cited by 31 - Related articles - All 26 versions

[BOOK] Semi-parametric indirect inference

[PDF] from lse.ac.uk
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 ...
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Iterative and recursive estimation in structural nonadaptive models

[PDF] from amstat.org
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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 ...
Cited by 27 - Related articles - BL Direct - All 15 versions

Stochastic volatility models with transaction time risk

[PDF] from uvt.nl
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 ...
Cited by 26 - Related articles - All 24 versions

[BOOK] Asymmetric smiles, leverage effects and structural parameters

[PDF] from cirano.qc.ca
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 ...
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GARCH and irregularly spaced data

[PDF] from univ-tlse1.fr
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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 ...
Cited by 23 - Related articles - All 12 versions

[PDF] A consumption CAPM with a reference level

[PDF] from psu.edu
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 ...
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Kullback causality measures

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 ...
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State dependence can explain the risk aversion puzzle

[PDF] from ohio-state.edu
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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 ...
Cited by 19 - Related articles - BL Direct - All 14 versions

Causality effects in return volatility measures with random times

[PDF] from tilburguniversity.edu
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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 ...
Cited by 20 - Related articles - All 22 versions

Disentangling risk aversion and intertemporal substitution through a reference level

R Garcia, É Renault… - Finance Research Letters, 2006 - Elsevier
Cited by 17 - Related articles - Library Search - All 10 versions

Conditionally heteroskedastic factor models: identification and instrumental variables estimation

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 ...
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Testing for spurious causality in exchange rates

Full text - MIT Libraries
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 ...
Cited by 17 - Related articles - All 14 versions

Factor stochastic volatility in mean models: a GMM approach

Full text - MIT Libraries
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 ...
Cited by 15 - Related articles - BL Direct - All 5 versions

On the efficient use of the informational content of estimating equations: Implied probabilities and euclidean empirical likelihood

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 ...
Cited by 14 - Related articles - Cached - Library Search - All 12 versions

Efficient GMM with nearly‐weak instruments

Full text - MIT Libraries
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 ...
Cited by 14 - Related articles - All 6 versions

[CITATION] True versus spurious instantaneous causality

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!]
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[PDF] Efficient minimum distance estimation with multiple rates of convergence

[PDF] from sfu.ca
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 ...
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Econometric models of option pricing errors

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 ...
Cited by 11 - Related articles - Cached - Get it from MIT Libraries - All 4 versions

Moment–Based Estimation of Stochastic Volatility Models

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 ...
Cited by 11 - Related articles - Get it from MIT Libraries - All 2 versions

Nonparametric instrumental regression

[PDF] from econometricsociety.org
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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. ...
Cited by 12 - Related articles - All 7 versions

[PDF] Generalized method of moments with tail trimming

[PDF] from psu.edu
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 ...
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[PDF] Implications of asymmetry risk for portfolio analysis and asset pricing

[PDF] from publications.gc.ca
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 ...
Cited by 10 - Related articles - All 42 versions

Realized volatility when sampling times are possibly endogenous

[PDF] from uchicago.edu
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 ...
Cited by 10 - Related articles - All 8 versions

[BOOK] Efficient derivative pricing by extended method of moments

[PDF] from uzh.ch
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 ...
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[CITATION] lIndirect Inference, mJournal of Applied Econometrics, 8

C Gouriéroux, A Monfort… - S85% S, 1993
Cited by 9 - Related articles

Estimation of objective and risk-neutral distributions based on moments of integrated volatility

Full text - MIT Libraries
R Garcia, MA Lewis, S Pastorello… - Journal of Econometrics, 2011 - Elsevier
Cited by 8 - Related articles - All 5 versions

Two-stage generalized moment method with applications to regressions with heteroscedasticity of unknown form

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 ...
Cited by 8 - Related articles - Get it from MIT Libraries - Library Search - All 8 versions

Testing for common roots

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 ...
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GARCH and irregularly spaced data

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 ...
Cited by 7 - Related articles - Cached - Get it from MIT Libraries - Library Search - All 6 versions

Efficient derivative pricing by the extended method of moments

[PDF] from econometricsociety.org
Full text - MIT Libraries
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 ...
Cited by 8 - Related articles - All 7 versions

Pricing Kernels

[PDF] from uchicago.edu
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 ...
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[PDF] Disentangling the effects of heterogeneous beliefs and preferences on asset prices

[PDF] from riskattitude.eu
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.
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[PDF] In-sample asymptotics and across-sample efficiency gains for high frequency data statistics

[PDF] from psu.edu
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 ...
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[CITATION] Dynamic factor models

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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. ...
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[CITATION] Calibration of DSGE Models: An Sequential Partial Indirect Inference Approach

R Dridi, A Guay… - Manuscript, 2003
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[PDF] Pricing and hedging options with implied asset prices and volatilities

[PDF] from cemfi.es
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 ...
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[PDF] Efficient GMM with nearly-weak identification

[PDF] from yale.edu
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 ...
Cited by 5 - Related articles - View as HTML - Get it from MIT Libraries - All 6 versions

[PDF] Realized volatility when sampling times can be endogenous

[PDF] from uic.edu
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 ...
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[BOOK] Calibration of structural models by semiparametric Indirect inference

[PDF] from stat.fi
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 ...
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[BOOK] On portfolio separation theorems with heterogeneous beliefs and attitudes towards risk

[PDF] from psu.edu
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 ...
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Causality effect in return volatility measures with random tims

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 ...
Cited by 3 - Related articles - Cached - All 2 versions

[CITATION] Short-Run and Long-Rub Causality in Time Series: Theory

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.
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Latent Variable Models for Stochastic Discount Factors.

[PDF] from umontreal.ca
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 ...
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[CITATION] The speed of learning in financial markets

L Germain, N Meddahi… - Manuscript. Toulouse: Toulouse Univ, 1996
Cited by 3 - Related articles

Efficient Inference with Poor Instruments: a General Framework

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 ...
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[CITATION] Nonparametric Instrumental Variable Regression

S Darolles, JP Florens… - Manuscript. Toulouse: Univ. Toulouse, Dept. …, 2001
Cited by 3 - Related articles

[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 …
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[BOOK] State dependence in fundamentals and preferences explains risk-aversion puzzle

[PDF] from 204.101.58.163
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- ...
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[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
Cited by 2 - Related articles

[PDF] Finite-sample improvements of score tests by the use of implied probabilities from Generalized Empirical Likelihood

[PDF] from unc.edu
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 ...
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[BOOK] Continuously updated extremum estimators

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, ...
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Symposium on Marshall's Tendencies: 4 Comments on Marshall's Tendencies

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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 ...
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[PDF] Factor Asset Pricing Models Implied by Heterogeneous Beliefs and Attitudes towards Risk

[PDF] from imperial.ac.uk
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 ...
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[PDF] Option prices, preferences, and state variables

[PDF] from emory.edu
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 ...
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Econometrics of option pricing

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 ...
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[PDF] The Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order Moments

[PDF] from uni-hamburg.de
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 ...
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[PDF] The Dynamic Mixed Hitting-Time Model for Multiple Transaction Prices and Times

[PDF] from hec.ca
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 ...
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Viewpoint: Option prices, preferences, and state variables

Full text - MIT Libraries
R Garcia, R Luger… - Canadian Journal of …, 2005 - Wiley Online Library
Skip to Main Content. ...
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[PDF] Efficient GMM with Multiple Rates of Convergence and Applications to Nearly-Weak Identification

[PDF] from umontreal.ca
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, ...
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[PDF] Very preliminary and incomplete, please do not quote

[PDF] from eea-esem.com
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
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[PDF] E cient Inference with Poor Instruments: a General Framework

[PDF] from sfu.ca
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 ...
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[CITATION] Abdallah Mhamed, Institut National des Telecommunications, France Agustinus Borgy Waluyo, I2R, Singapore Alfred Tan, Edith Cown University, …

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, ...
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[PDF] Appendix to: Causality Effects in Return Volatility Measures with Random Times

[PDF] from uvt.nl
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 ...
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Estimating macroeconomic models: a likelihood approach. Federal Reserve Bank of Atlanta Working Paper

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 ...
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[PDF] Causality Measures

[PDF] from ensae.fr
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, ...
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[PDF] Modified Wald tests with Weak Identification

[PDF] from sfu.ca
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.
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[CITATION] The Econometrics of Option Pricing¤

E Ghysels…
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[CITATION] Model-free versus Model-based Volatility Prediction JOURNAL OF FINANCIAL ECONOMETRICS (2007) 5 (3): 358-359 first published online March 8, …

R Garcia… - Jnl of Financial Econometrics - rpproxy.iii.com
Pay per View-If you would like to purchase short-term access you must have a personal
account. Please sign in with your personal user name and password or Register to obtain a
user name name and password for free. You may access this article for 1 day for US ...
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THE ET INTERVIEW: CHRISTIAN GOURIEROUX AND ALAIN MONFORT

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:

Special Issue on “Multivariate Volatility Models”

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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 ...
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Recursive Utility, Precautionary Saving and the Demand for Insurance

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 ...
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[CITATION] Editors: TAKESHI AMEMIYA A. RONALD GALLANT JOHN F. GEWEKE

C HSIAO, P ROBINSON, A ZELLNER… - Journal of …, 2008 - North Holland Pub. Co.
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[PDF] Efficient GMM with Semi-Weak Identification

[PDF] from quebececonomique.qc.ca
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 ...
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The JFEC Invited Lecture at the 2009 SoFiE Conference

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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 ...
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THE ET INTERVIEW: CHRISTIAN GOURIÉROUX AND ALAIN MONFORT

Full text - MIT Libraries
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
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[CITATION] Joumal of Empirical Finance 5 (I998) 47-66 iii

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E Renault, K Sekkat… - Journal of empirical finance, 1997
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