Eric Renault

University of North Carolina (UNC) at Chapel Hill - Department of Economics

Latane Distinguished Professor of Economics

Chapel Hill, NC 27599

United States

SCHOLARLY PAPERS

16

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CITATIONS
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Top 6,219

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80

Scholarly Papers (16)

1.

The Econometrics of Option Pricing

Number of pages: 79 Posted: 02 Jan 2004
René Garcia, Eric Ghysels and Eric Renault
Université de Montréal - CIREQ - Département de sciences économiques, University of North Carolina Kenan-Flagler Business School and University of North Carolina (UNC) at Chapel Hill - Department of Economics
Downloads 1,039 (14,118)
Citation 23

Abstract:

Stock Price Dynamics, Multivariate Jump-Diffusion Models, Latent variables, Stochastic Volatility, Objective and Risk Neutral Distributions, Nonparametric Option Pricing, Discrete time Option Pricing Models, Risk Neutral Valuation, Preference-free Option Pricing

2.

Nonparametric Instrumental Regression

Number of pages: 52 Posted: 07 Feb 2009 Last Revised: 15 Jun 2015
Université Paris Dauphine - DRM-CEREG, University of Washington - Department of Economics, University of Toulouse and University of North Carolina (UNC) at Chapel Hill - Department of Economics
Downloads 345 (63,669)
Citation 28

Abstract:

Instrumental Variables, Ill-posed Problem, Tikhonov, Kernel Smoothing

3.

Estimation of Stable Distributions by Indirect Inference

Number of pages: 62 Posted: 09 Sep 2005 Last Revised: 11 Jun 2009
René Garcia, Eric Renault and David Veredas
Université de Montréal - CIREQ - Département de sciences économiques, University of North Carolina (UNC) at Chapel Hill - Department of Economics and Vlerick Business School
Downloads 329 (70,726)
Citation 10

Abstract:

Stable distribution, Indirect Inference, Constrained Indirect Inference, Skewed-t distribution

4.

Realized Volatility When Sampling Times are Possibly Endogenous

Econometric Theory, Forthcoming
Number of pages: 45 Posted: 21 Dec 2009 Last Revised: 27 Apr 2013
Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management, University of Chicago - Department of Statistics, University of North Carolina (UNC) at Chapel Hill - Department of Economics, University of Illinois at Chicago - Department of Finance and Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management
Downloads 259 (89,152)
Citation 2

Abstract:

bias-correction, continuous semimartingale, discrete observation, efficiency, endogeneity, It{\^o} process, realized volatility, stable convergence

5.

Efficient Derivative Pricing by the Extended Method of Moments

Swiss Finance Institute Research Paper No. 10-07
Number of pages: 55 Posted: 10 Feb 2010
University of Lugano and Swiss Finance Institute, University of Toronto - Department of Economics and University of North Carolina (UNC) at Chapel Hill - Department of Economics
Downloads 214 (101,435)
Citation 4

Abstract:

Derivative Pricing, Trading Activity, GMM, Information Theoretic Estimation, KLIC, Identification, Weak Instrument, Nonparametric Efficiency, Semiparametric Efficiency

6.

Efficient Estimation of Integrated Volatility and Related Processes

Number of pages: 38 Posted: 14 Jul 2013 Last Revised: 21 Jan 2015
Eric Renault, Cisil Sarisoy and Bas J. M. Werker
University of North Carolina (UNC) at Chapel Hill - Department of Economics, Northwestern University-Kellogg School of Management and Tilburg University - Center for Economic Research (CentER)
Downloads 162 (107,886)

Abstract:

High-frequency data, Integrated power variance, Local Asymptotic Normality, Nonparametric efficiency bounds, Realized volatility, Volatility estimation

7.

The Dynamic Mixed Hitting-Time Model for Multiple Transaction Prices and Times

Journal of Econometrics, Forthcoming
Number of pages: 43 Posted: 13 Sep 2012 Last Revised: 05 Mar 2014
University of North Carolina (UNC) at Chapel Hill - Department of Economics, University of Melbourne - Department of Finance and Tilburg University - Center for Economic Research (CentER)
Downloads 120 (169,378)
Citation 2

Abstract:

duration modeling, hitting time, trading intensity, market microstructure

8.

Efficient Derivative Pricing by Extended Method of Moments

Number of pages: 72 Posted: 04 Mar 2005
University of North Carolina (UNC) at Chapel Hill - Department of Economics, University of Lugano and Swiss Finance Institute and University of Toronto - Department of Economics
Downloads 115 (184,442)
Citation 4

Abstract:

Generalized Method of Moments, Derivative pricing, Stochastic Volatility

9.

Stochastic Volatility Models with Transaction Time Risk

CentER Discussion Paper No. 2004-24
Number of pages: 28 Posted: 24 Jun 2004
Eric Renault and Bas J. M. Werker
University of North Carolina (UNC) at Chapel Hill - Department of Economics and Tilburg University - Center for Economic Research (CentER)
Downloads 98 (204,794)
Citation 3

Abstract:

Causality, continuous time models, transaction prices, transaction times, ultra-high frequency data

10.

GMM Overidentification Test with First Order Underidentification

Number of pages: 35 Posted: 05 Nov 2009
Prosper Dovonon and Eric Renault
Barclays Wealth and University of North Carolina (UNC) at Chapel Hill - Department of Economics
Downloads 72 (242,569)

Abstract:

onstandard asymptotics, GMM, GMM overidentification test, identification, first order identification, second order identification, common GARCH features

11.

Testing for Common GARCH Factors

CIRANO - Scientific Publication No. 2012s-34
Number of pages: 40 Posted: 12 Jan 2013
Prosper Dovonon and Eric Renault
Concordia University, Quebec and University of North Carolina (UNC) at Chapel Hill - Department of Economics
Downloads 48 (306,811)

Abstract:

: Common features, GARCH factors, Nonstandard asymptotics, GMM, GMM overidentification test, identification, first order identification

12.

Semi-Parametric Indirect Inference

LSE STICERD Research Paper No. EM392
Number of pages: 66 Posted: 21 Jul 2008
Ramdan Dridi and Eric Renault
London School of Economics & Political Science (LSE) - Department of Economics and University of North Carolina (UNC) at Chapel Hill - Department of Economics
Downloads 38 (306,811)
Citation 1

Abstract:

13.

Viewpoint: Option Prices, Preferences, and State Variables

Canadian Journal of Economics, Vol. 38, No. 1, pp. 1-27, February 2005
Number of pages: 27 Posted: 25 Jan 2005
René Garcia, Richard Luger and Eric Renault
Université de Montréal - CIREQ - Département de sciences économiques, Emory University - Department of Economics and University of North Carolina (UNC) at Chapel Hill - Department of Economics
Downloads 24 (405,130)
Citation 1

Abstract:

14.

Efficient Gmm with Nearly-Weak Instruments

Econometrics Journal, Vol. 12, Issue s1, pp. S135-S171, January 2009
Number of pages: 37 Posted: 04 Jul 2009
Bertille Antoine and Eric Renault
Simon Fraser University (SFU) and University of North Carolina (UNC) at Chapel Hill - Department of Economics
Downloads 2 (513,945)
Citation 2

Abstract:

15.

State Dependence Can Explain the Risk Aversion Puzzle

Review of Financial Studies, Vol. 21, Issue 2, pp. 973-1011, 2008
Posted: 26 Jun 2008
Fousseni Chabi-Yo, René Garcia and Eric Renault
University of Massachusetts Amherst - Isenberg School of Management, Université de Montréal - CIREQ - Département de sciences économiques and University of North Carolina (UNC) at Chapel Hill - Department of Economics

Abstract:

G12, G13

16.

GARCH and Irregularly Spaced Data

CentER Working Paper No. 2003-27
Posted: 26 May 2004
Nour Meddahi, Eric Renault and Bas J. M. Werker
University of Montreal - Department of Economics, University of North Carolina (UNC) at Chapel Hill - Department of Economics and Tilburg University - Center for Economic Research (CentER)

Abstract:

Volatility, continuous time model, exact discretization