Eric Renault - Research

Efficient Derivative Pricing by Extended Method of Moments
(with P. Gagliardini and C. Gourieroux), May 2007.

Efficient Minimum Distance Estimation with Multiple Rates of Convergence
(with B. Antoine), February 2008.

Estimation of Stable Distributions by Indirect Inference.
(with R. Garcia and D. Veredas)

GMM Overidentification Test with First Order Underindentification
(with P. Dovonon), August 2009.

In-sample Asymptotics and Across-sample Efficiency Gains for High Frequency Data Statistics
(with E. Ghysels and P. Mykland), January 2010.

Nonparametric Instrumental Regression
(with S. Darolles and JP. Florens), August 2007.

On Portfolio Separation Theorems with Heterogeneous Beliefs and Attitudes Towards Risk
(with F. Chabi-Yo and E. Ghysels), February 2008.

Pricing Kernels and Stochastic Discount Factors
(with L. Hansen), May 2009.

Realized Volatility When Sampling Times are Possibly Endogenous
(with Y. Li, P. Mykland, L. Zhang, and X. Zheng), November 2009.

Volatility Estimation with High-Frequency Data: Three Approaches and Three Horizons
(with P. Mykland and L. Zhang), Slides for E. J. Hannan Lecture, ESAM, Canberra, July 2009.

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