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Causality effects in return volatility measures with random times

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Efficient derivative pricing by the extended method of moments

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Testing for common conditionally heteroskedastic factors

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Efficient derivative pricing by extended methods of moments

Gagliardini, Patrick (contributor); … - 2008

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Efficient GMM with nearly-weak instruments

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Affine fractional stochastic volatility models

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ET interview : Christian Gouriéroux and Alain Monfort

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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

Maximization by parts in extremum estimation

Fan, Yanqin; Pastorello, Sergio; Renault, Eric - In: The econometrics journal 18 (2015) 2, pp. 147-171

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Realized volatility when sampling times are possibly endogenous

Li, Yingying; Mykland, Per A.; Renault, Eric; Zhang, Lan; … - In: Econometric theory 30 (2014) 3, pp. 580-605

Persistent link: https://www.econbiz.de/10010500887