Eric Renault -- Research
Efficient Derivative Pricing by Extended Method of
(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
(with R. Garcia and D. Veredas)
GMM Overidentification Test with First Order
(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
(with L. Hansen), May 2009.
Realized Volatility When Sampling Times are
(with Y. Li, P. Mykland, L. Zhang, and X. Zheng), November 2009.
Volatility Estimation with High-Frequency Data: Three Approaches and Three
(with P. Mykland and L. Zhang), Slides for E. J. Hannan Lecture, ESAM, Canberra, July 2009.