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Econometric models of option pricing errors

Renault, Eric - 1997

Persistent link: https://www.econbiz.de/10001328730

Latent variable models for stochastic discount factors

Garcia, René; Renault, Eric - 2000

Persistent link: https://www.econbiz.de/10001504786

Latent variable models for stochastic discount factors

Garcia, René; Renault, Eric - 2000

Persistent link: https://www.econbiz.de/10001488010

Temporal aggregation and tests of the arbitrage pricing theory

Babsiri, Mohamed el; Renault, Eric - 1990 - Preliminary version

Persistent link: https://www.econbiz.de/10000789705

Iterative and recursive estimation in structural nonadaptive models

Pastorello, Sergio; Patilea, Valentin; Renault, Eric - In: Journal of business & economic statistics : JBES ; a … 21 (2003) 4, pp. 449-482

Persistent link: https://www.econbiz.de/10001807000

Efficient derivative pricing by extended method of moments

Gagliardini, Patrick; Gouriéroux, Christian; Renault, Eric - 2004

Persistent link: https://www.econbiz.de/10002597912

The stochastic discount factor : extending the volatility bound and a new approach to portfolio selection with higher-order moments

Chabi-Yo, Fousseni; Garcia, René; Renault, Eric - 2005

Persistent link: https://www.econbiz.de/10002655756

Conditionaly heteroskedastic factor models : identification and instrumental variables estmation

Doz, Catherine (contributor); Renault, Eric (contributor) - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002439973

Efficient derivative pricing by extended method of moments

Gagliardini, Patrick; Gouriéroux, Christian; Renault, Eric - 2005

Persistent link: https://www.econbiz.de/10002771895

Efficient derivative pricing by the extended method of moments

Gagliardini, Patrick; Gouriéroux, Christian; Renault, Eric - 2010 - this version: October 2009

In this paper we introduce the Extended Method of Moments (XMM) estimator. This estimator accommodates a more general set of moment restrictions than the standard Generalized Method of Moments (GMM) estimator. More specifically, the XMM differs from the GMM in that it can handle not only uniform...

Persistent link: https://www.econbiz.de/10003973066