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Estimation of stable distributions by indirect inference
Garcia, René; Renault, Eric; Veredas, David - In: Journal of econometrics 161 (2011) 2, pp. 325-337
Persistent link: https://www.econbiz.de/10009242117
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Estimation of stable distributions by indirect inference
Garcia, René (contributor); Renault, Eric (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003402433
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Estimation of Stable Distributions by Indirect Inference
Garcia, René - 2009
This article deals with the estimation of the parameters of an a-stable distribution with indirect inference, using the skewed-t distribution as an auxiliary model. The latter distribution appears as a good candidate since it has the same number of parameters as the a-stable distribution, with...
Persistent link: https://www.econbiz.de/10012721744
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Latent variable models for stochastic discount factors
Garcia, René; Renault, Eric - 2000
Persistent link: https://www.econbiz.de/10001504786
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Econometric methods for derivative securities and risk management
Garcia, René (contributor); Ghysels, Eric (contributor);  … - In: Journal of econometrics 94 (2000) 1/2, pp. 1-7
Persistent link: https://www.econbiz.de/10001437739
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Latent variable models for stochastic discount factors
Garcia, René; Renault, Eric - 2000
Persistent link: https://www.econbiz.de/10001488010
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Risk aversion, intertemporal substitution, and option pricing
Garcia, René; Renault, Eric - 1998
Persistent link: https://www.econbiz.de/10000984192
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A note on hedging in ARCH and stochastic volatility option pricing models
Garcia, René - In: Mathematical finance : an international journal of … 8 (1998) 2, pp. 153-161
Persistent link: https://www.econbiz.de/10001242838
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Asymmetic smiles, leverage effects and structural parameters
Garcia, René; Luger, Richard; Renault, Eric - 2000
Persistent link: https://www.econbiz.de/10001549285
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Empirical assessment of an intertemporal option pricing model with latent variables
Garcia, René; Luger, Richard; Renault, Eric - 2000
Persistent link: https://www.econbiz.de/10001549287