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

17

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18

CROSSREF CITATIONS

76

Scholarly Papers (17)

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 1,178 (17,078)
Citation 16

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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 377 (78,506)
Citation 40

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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 341 (88,217)
Citation 6

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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), Dept of ISOM and Dept of Finance, 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 297 (102,683)
Citation 11

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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
USI Università della Svizzera italiana, University of Toronto - Department of Economics and University of North Carolina (UNC) at Chapel Hill - Department of Economics
Downloads 252 (122,129)
Citation 7

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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, Board of Governors of the Federal Reserve System and Tilburg University - Center for Economic Research (CentER)
Downloads 250 (123,104)
Citation 3

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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 162 (184,475)
Citation 3

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duration modeling, hitting time, trading intensity, market microstructure

8.

Arbitrage Pricing Theory for Idiosyncratic Variance Factors

Number of pages: 61 Posted: 09 Nov 2017 Last Revised: 23 Sep 2019
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 135 (214,488)
Citation 1

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Common Volatility Factors, Option Prices, Nonlinear Pricing Kernels, Arbitrage Pricing Theory

9.

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, USI Università della Svizzera italiana and University of Toronto - Department of Economics
Downloads 132 (218,399)

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Generalized Method of Moments, Derivative pricing, Stochastic Volatility

10.

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 110 (249,962)
Citation 6

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

11.

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 97 (272,374)
Citation 6

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

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 68 (336,903)

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13.

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 56 (371,649)
Citation 2

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

14.

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 (502,453)
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15.

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 (644,155)
Citation 1
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16.

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

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G12, G13

17.

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)

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Volatility, continuous time model, exact discretization