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Econometric methods for derivative securities and risk management

Garcia, R.; Ghysels, E.; Renault, E. - In: Journal of Econometrics 94 (2000) 1-2, pp. 1-7

Persistent link: https://www.econbiz.de/10005285305

Long memory continuous time models

Comte, F.; Renault, E. - In: Journal of Econometrics 73 (1996) 1, pp. 101-149

Persistent link: https://www.econbiz.de/10005285665

The dynamic mixed hitting-time model for multiple transaction prices and times

Renault, Eric; van der Heijden, Thijs; Werker, Bas J.M. - In: Journal of Econometrics 180 (2014) 2, pp. 233-250

We propose a structural model for durations between events and (a vector of) associated marks, using a multivariate Brownian motion. Successive passage times of one latent Brownian component relative to random boundaries define durations. The other, correlated, Brownian components generate the...

Persistent link: https://www.econbiz.de/10010776915

Temporal aggregation of volatility models

Meddahi, Nour; Renault, Eric - In: Journal of Econometrics 119 (2004) 2, pp. 355-379

Persistent link: https://www.econbiz.de/10005122707

Generalised residuals

Gourieroux, Christian; Monfort, Alain; Renault, Eric; … - In: Journal of Econometrics 34 (1987) 1-2, pp. 5-32

Persistent link: https://www.econbiz.de/10005228608

Empirical assessment of an intertemporal option pricing model with latent variables

Garcia, Rene; Luger, Richard; Renault, Eric - In: Journal of Econometrics 116 (2003) 1-2, pp. 49-83

Persistent link: https://www.econbiz.de/10005285359

Dynamic factor models

Croux, Christophe; Renault, Eric; Werker, Bas - In: Journal of Econometrics 119 (2004) 2, pp. 223-230

Persistent link: https://www.econbiz.de/10005285684

On the efficient use of the informational content of estimating equations: Implied probabilities and Euclidean empirical likelihood

Antoine, Bertille; Bonnal, Helene; Renault, Eric - In: Journal of Econometrics 138 (2007) 2, pp. 461-487

Persistent link: https://www.econbiz.de/10005239128

Indirect inference and calibration of dynamic stochastic general equilibrium models

Dridi, Ramdan; Guay, Alain; Renault, Eric - In: Journal of Econometrics 136 (2007) 2, pp. 397-430

Persistent link: https://www.econbiz.de/10005192422

Simulated residuals

Gourieroux, Christian; Monfort, Alain; Renault, Eric; … - In: Journal of Econometrics 34 (1987) 1-2, pp. 201-252

Persistent link: https://www.econbiz.de/10005192744