Rechercher

Suivez-nous

Publications

19 résultats

CS

Efficient Two-Step Estimation via Targeting

David T. Frazierz et Eric Renault

CS

Indirect Inference with Endogenously Missing Exogenous Variables

Saraswata Chaudhuriy, David T. Frazierz et Eric Renault

CS

Testing for Common GARCH Factors

Prosper Dovonon et Eric Renault

CS

Conditionally Heteroskedastic Factor Models: Identification and Instrumental Variables Estimation

Catherine Doz et Eric Renault

Simulation
CS

On the Efficient Use of the Informational Content of Estimating Equations: Implied Probabilities and Euclidean Empirical Likelihood

Hélène Bonnal et Eric Renault

CS

The Econometrics of Option Pricing

René Garcia, Eric Ghysels et Eric Renault

Économétrie et Simulation
CS

Short Run and Long Run Causality in Time Series: Inference

Jean-Marie Dufour, Denis Pelletier et Eric Renault

Économétrie
CS

Iterative and Recursive Estimation in Structural Non-Adaptive Models

Sergio Pastorello, Valentin Patilea et Eric Renault

Économétrie et Simulation
CS

Disentangling Risk Aversion and Intertemporal Substitution Through a Reference Level

René Garcia, Eric Renault et Andrei Semenov

Gestion des risques
CS

Risque de modèle de volatilité

Ali Alami et Eric Renault

Gestion des risques et Simulation
CS

Asymmetric Smiles, Leverage Effects and Structural Parameters

René Garcia, Richard Luger et Eric Renault

Simulation
CS

Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note : Nouvelle version Février 2002)

René Garcia, Richard Luger et Eric Renault

Simulation
CS

Temporal Aggregation of Volatility Models

Nour Meddahi et Eric Renault

Simulation
CS

Latent Variable Models for Stochastic Discount Factors

René Garcia et Eric Renault

Économétrie et Simulation
CS

Risk Aversion, Intertemporal Substitution, and Option Pricing

René Garcia et Eric Renault

Simulation
CS

Quadratic M-Estimators for ARCH-Type Processes

Nour Meddahi et Eric Renault

CS

A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models

René Garcia et Eric Renault

Simulation
CS

Nonparametric Methods and Option Pricing

Eric Ghysels, Valentin Patilea, Eric Renault et Olivier Torrès

CS

Stochastic Volatility

Eric Ghysels, Andrew Harvey et Eric Renault

Efficient Two-Step Estimation via Targeting

Indirect Inference with Endogenously Missing Exogenous Variables

Testing for Common GARCH Factors

Conditionally Heteroskedastic Factor Models: Identification and Instrumental Variables Estimation

On the Efficient Use of the Informational Content of Estimating Equations: Implied Probabilities and Euclidean Empirical Likelihood

The Econometrics of Option Pricing

Short Run and Long Run Causality in Time Series: Inference

Iterative and Recursive Estimation in Structural Non-Adaptive Models

Disentangling Risk Aversion and Intertemporal Substitution Through a Reference Level

Risque de modèle de volatilité

Asymmetric Smiles, Leverage Effects and Structural Parameters

Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note : Nouvelle version Février 2002)

Temporal Aggregation of Volatility Models

Latent Variable Models for Stochastic Discount Factors

Risk Aversion, Intertemporal Substitution, and Option Pricing

Quadratic M-Estimators for ARCH-Type Processes

A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models

Nonparametric Methods and Option Pricing

Stochastic Volatility

Bottin CIRANO

2 résultats

Garcia, René
rene.garcia@cirano.qc.ca
Université de Montréal
Renault, Eric
eric.renault@cirano.qc.ca
Université Brown