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Consistent pseudo-maximum likelihood estimators

Gouriéroux, Christian; Monfort, Alain; Renault, Eric - In: Annals of economics and statistics 125/126 (2017), pp. 187-218

Persistent link: https://www.econbiz.de/10011744364

Comment on: pseudo-true SDFs in conditional asset pricing models : comparing fixed- versus vanishing-bandwidth estimators of pseudo-true SDFs

Gagliardini, Patrick; Ronchetti, Diego - In: Journal of financial econometrics 18 (2020) 4, pp. 736-775

Persistent link: https://www.econbiz.de/10012405520

Rejoinder on: pseudo-true SDFs in conditional asset pricing models

Antoine, Bertille; Proulx, Kevin; Renault, Eric - In: Journal of financial econometrics 18 (2020) 4, pp. 776-790

Persistent link: https://www.econbiz.de/10012405523

Double instrumental variable estimation of interaction models with big data

Gagliardini, Patrick; Gouriéroux, Christian - In: Journal of econometrics 201 (2017) 2, pp. 176-197

Persistent link: https://www.econbiz.de/10011918688

Positional portfolio management

Gagliardini, Patrick; Gouriéroux, Christian; Rubin, Mirco - 2014 - This version: March 2014

We study positional portfolio management strategies in which the manager maximizes an expected utility function written on the cross-sectional rank (position) of the portfolio return. The objective function reflects the manager's goal to be well-ranked among competitors. To implement positional...

Persistent link: https://www.econbiz.de/10010338730

Identification by Laplace transforms in nonlinear time series and panel models with unobserved stochastic dynamic effects

Gagliardini, Patrick; Gouriéroux, Christian - In: Journal of econometrics 208 (2019) 2, pp. 613-637

Persistent link: https://www.econbiz.de/10012149372

Positional portfolio management

Gagliardini, Patrick; Gouriéroux, Christian; Rubin, Mirco - In: Journal of financial econometrics 19 (2021) 4, pp. 650-706

Persistent link: https://www.econbiz.de/10012654983

Efficient two-step estimation via targeting

Frazier, David T.; Renault, Eric - In: Journal of econometrics 201 (2017) 2, pp. 212-227

Persistent link: https://www.econbiz.de/10011918705

Efficient estimation of integrated volatility and related processes

Renault, Eric; Sarisoy, Cisil; Werker, Bas J. M. - In: Econometric theory 33 (2017) 2, pp. 439-478

Persistent link: https://www.econbiz.de/10011665439

On the relevance of weaker instruments

Antoine, Bertille; Renault, Eric - In: Econometric reviews 36 (2017) 6/9, pp. 928-945

Persistent link: https://www.econbiz.de/10011795536