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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
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State dependence can explain the risk aversion puzzle
Chabi-Yo, Fousseni; Garcia, René; Renault, Eric - In: The review of financial studies 21 (2008) 2, pp. 973-1011
Persistent link: https://www.econbiz.de/10003716673
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Aggregation of preferences for skewed asset returns
Chabi-Yo, Fousseni; Leisen, Dietmar; Renault, Eric - In: Journal of economic theory 154 (2014), pp. 453-489
Persistent link: https://www.econbiz.de/10010481322
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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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Latent variable models for stochastic discount factors
Garcia, René; Renault, Eric - 2000
Persistent link: https://www.econbiz.de/10001488010
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Option prices, preferences, and state variables
Garcia, René (contributor); Luger, Richard (contributor);  … - 2004
Persistent link: https://www.econbiz.de/10002750617
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Disentangling risk aversionand intertemporal substitution through a reference level
Garcia, René; Renault, Eric; Semenov, Andrei - In: Finance research letters 3 (2006) 3, pp. 181-193
Persistent link: https://www.econbiz.de/10003374037
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Pricing kernels with coskewness and volatility risk
Chabi-Yo, Fousseni - 2008 - This version : December 1, 2008
Persistent link: https://www.econbiz.de/10003819936
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Conditioning information and variance bounds on pricing kernels with higher-order moments : theory and evidence
Chabi-Yo, Fousseni - In: The review of financial studies 21 (2008) 1, pp. 181-231
Persistent link: https://www.econbiz.de/10003716152
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Econometric models of option pricing errors
Renault, Eric - 1997
Persistent link: https://www.econbiz.de/10001328730