Eric Renault -- Research
Econometrics of Option Pricing
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.