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Economics and Finance

D-Index
37
Citations
8648
World Ranking
2632
National Ranking
311

Research.com Recognitions

  • 1998 - Fellows of the Econometric Society

Overview

Eric Renault is affiliated with the University of Warwick in the United Kingdom. Their research primarily centers on the fields of Economics, Econometrics, and Finance, with a focus that includes subfields such as Finance, Economics and Econometrics, Statistics and Probability, General Economics, Econometrics and Finance, and Control and Systems Engineering.

The main topics of their scholarly work include stochastic processes and financial applications, financial markets and investment strategies, monetary policy and economic impact, financial risk and volatility modeling, statistical methods and inference, economic theories and models, and control systems and identification.

Eric Renault has published extensively, with notable papers including:

  • IN-SAMPLE ASYMPTOTICS AND ACROSS-SAMPLE EFFICIENCY GAINS FOR HIGH FREQUENCY DATA STATISTICS (2021, Econometric Theory)
  • Arbitrage Pricing Theory for Idiosyncratic Variance Factors (2022, Journal of Financial Econometrics)
  • Implications of Asymmetry Risk for Portfolio Analysis and Asset Pricing (2021, Econstor)
  • Testing identification strength (2020, Journal of Econometrics)
  • On Portfolio Separation Theorems with Heterogeneous Beliefs and Attitudes towards Risk (2021, Econstor)

The scientist's frequent publication venues reflect their research focus and include:

  • Journal of Econometrics
  • Journal of Financial Econometrics
  • Econstor
  • RePEc: Research Papers in Economics
  • Econometric Theory

Eric Renault has collaborated regularly with various co-authors, including Bertille Antoine, Fousseni Chabi-Yo, David T. Frazier, Éric Ghysels, and Saraswata Chaudhuri.

Their career achievements include being named a Fellow of the Econometric Society in 1998.

Best Publications

  • 5 Stochastic volatility

    Eric Ghysels;Andrew C. Harvey;Eric Renault

  • Long memory in continuous‐time stochastic volatility models

    Fabienne Comte;Eric Renault

  • Nonparametric instrumental regression

    Serge Darolles;Yanqin Fan;Jean-Pierre Florens;Eric Renault

  • Chapter 77 Linear Inverse Problems in Structural Econometrics Estimation Based on Spectral Decomposition and Regularization

    Marine Carrasco;Jean-Pierre Florens;Eric Renault

  • OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL

    Eric Renault;Nizar Touzi

  • Linear Inverse Problems in Structural Econometrics Estimation Based on Spectral Decomposition and Regularization

    Marine Carrasco;Jean-Pierre Florens;Eric Renault

  • Long memory continuous time models

    F. Comte;E. Renault

  • Short run and long run causality in time series: Theory

    Jean-Marie Dufour;Eric Renault

  • Temporal aggregation of volatility models

    Nour Meddahi;Eric Renault

  • Affine fractional stochastic volatility models

    Fabienne Comte;Laure Coutin;Eric Renault

  • Short run and long run causality in time series: inference ⁄

    Jean Marie Dufour;Denis Pelletier;Éric Renault

  • State Dependence Can Explain the Risk Aversion Puzzle

    Fousseni Chabi-Yo;René Garcia;Eric Renault

  • The Econometrics of Option Pricing

    René Garcia;Eric Ghysels;Eric Renault

  • Advances in Economics and Econometrics: Theory and Applications: Econometric models of option pricing errors

    Eric Renault

  • Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables

    René Garcia;Richard Luger;Eric Renault

  • Simulation-based Inference in Econometrics: Calibration by simulation for small sample bias correction

    Christian Gourieroux;Eric Renault;Nizar Touzi

  • Indirect inference and calibration of dynamic stochastic general equilibrium models

    Ramdan Dridi;Alain Guay;Eric Renault;Eric Renault

  • On the Efficient Use of the Informational Content of Estimating Equations: Implied Probabilities and Euclidean Empirical Likelihood ∗

    Bertille Antoine;Hélène Bonnal;Eric Renault

  • Statistical Inference for Random-Variance Option Pricing

    Sergio Pastorello;Eric Renault;Nizar Touzi

  • Proper Conditioning for Coherent VaR in Portfolio Management

    René Garcia;Éric Renault;Georges Tsafack

  • Nonparametric Instrumental Regression

    Serge Darolles;Jean-Pierre Florens;Yanqin Fan;Eric Renault

Frequent Co-Authors

René Garcia
René Garcia University of Montreal
Christian Gourieroux
Christian Gourieroux Toulouse School of Economics
Eric Ghysels
Eric Ghysels University of North Carolina at Chapel Hill
Jean-Marie Dufour
Jean-Marie Dufour McGill University
Alain Monfort
Alain Monfort École Nationale de la Statistique et de l'Administration Économique
Per A. Mykland
Per A. Mykland University of Chicago
Jean-Charles Rochet
Jean-Charles Rochet Toulouse School of Economics
Andrew Harvey
Andrew Harvey University of Cambridge
Valérie Mignon
Valérie Mignon Paris Nanterre University
Christian Gollier
Christian Gollier Toulouse School of Economics

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