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

15

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SSRN CITATIONS
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Top 13,896

in Total Papers Citations

31

CROSSREF CITATIONS

75

Scholarly Papers (15)

1.

The Econometrics of Option Pricing

Number of pages: 79 Posted: 02 Jan 2004
René Garcia, Eric Ghysels and Eric Renault
Université de Montréal, University of North Carolina Kenan-Flagler Business School and University of North Carolina (UNC) at Chapel Hill - Department of Economics
Downloads 1,323 (28,387)
Citation 18

Abstract:

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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 453 (118,236)
Citation 48

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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, University of North Carolina (UNC) at Chapel Hill - Department of Economics and Vlerick Business School
Downloads 384 (142,997)
Citation 8

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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 FinanceHong 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 372 (148,227)
Citation 14

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

5.

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 306 (182,894)
Citation 4

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

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 298 (188,144)
Citation 3

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

7.

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, University of Toronto - Department of Economics and University of North Carolina (UNC) at Chapel Hill - Department of Economics
Downloads 293 (191,566)
Citation 11

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

8.

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 199 (278,864)
Citation 5

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duration modeling, hitting time, trading intensity, market microstructure

9.

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 177 (309,612)
Citation 9

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

10.

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 University of Toronto - Department of Economics
Downloads 170 (320,796)

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Generalized Method of Moments, Derivative pricing, Stochastic Volatility

11.

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 131 (396,743)
Citation 8

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

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 110 (452,397)

Abstract:

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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 91 (514,502)
Citation 2

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

14.

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

Abstract:

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G12, G13

15.

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:

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Volatility, continuous time model, exact discretization