Eric Renault - Academia.edu (original) (raw)

Papers by Eric Renault

Research paper thumbnail of Temporal Aggregation of Volatility Models

Research paper thumbnail of On Portfolio Separation Theorems with Heterogeneous Beliefs and Attitudes towards Risk

The early work of Tobin (1958) showed that portfolio allocation decisions can be reduced to a two... more The early work of Tobin (1958) showed that portfolio allocation decisions can be reduced to a two stage process: first decide the relative allocation of assets across the risky assets, and second decide how to divide total wealth between the risky assets and the safe asset. This so called twofund separation relies on special assumptions on either returns or preferences.

Research paper thumbnail of Calibrarion By Simulation for Small Sample Bias Correction

This paper is interested in small sample properties of the indirect inference procedure which has... more This paper is interested in small sample properties of the indirect inference procedure which has been previously studied only from an asymptotic point of view. First, we highlight the fact that the Andrews(1993) median-bias correction procedure for autoregresssive parameter of an AR(1) process is closely related to indirect inference; we prove that the counterpart of the midian-bias correction for indirect

Research paper thumbnail of Diffusion Processes with Polynomial Eigenfunctions

The aim of this paper is to characterize the one-dimensional stochastic differential equations, f... more The aim of this paper is to characterize the one-dimensional stochastic differential equations, for which the eigenfunctions of the infinitesimal generator are polynomials in y. Affine transformations of the Ornstein-Uhlenbeck process, the Cox-Ingersoll-Ross process and the Jacobi process belong to the solutions of this stochastic differential equation family. Such processes exhibit specific patterns of the drift and volatility functions and

Research paper thumbnail of <title>MUSE instrument global performance analysis</title>

Modeling, Systems Engineering, and Project Management for Astronomy IV, 2010

MUSE (Multi Unit Spectroscopic Explorer) is a second generation instrument developed for ESO (Eur... more MUSE (Multi Unit Spectroscopic Explorer) is a second generation instrument developed for ESO (European Southern Observatory) and will be assembled to the VLT (Very Large Telescope) in 2012. The MUSE instrument can simultaneously record 90.000 spectra in the visible wavelength range (465-930nm), across a 1*1arcmin2 field of view, thanks to 24 identical Integral Field Units (IFU). A collaboration of 7

Research paper thumbnail of <title>The MUSE second-generation VLT instrument</title>

Ground-based and Airborne Instrumentation for Astronomy III, 2010

Summary: The Multi Unit Spectroscopic Explorer (MUSE) is a second-generation VLT panoramic integr... more Summary: The Multi Unit Spectroscopic Explorer (MUSE) is a second-generation VLT panoramic integral-field spectrograph currently in manufacturing, assembly and integration phase. MUSE has a field of 1x1 arcmin2 sampled at 0.2x0.2 arcsec2 and is assisted by the VLT ground layer adaptive optics ESO facility using four laser guide stars. The instrument is a large assembly of 24 identical high performance

Research paper thumbnail of <title>The MUSE project from the dream toward reality</title>

Modeling, Systems Engineering, and Project Management for Astronomy IV, 2010

MUSE (Multi Unit Spectroscopic Explorer) is a second generation instrument developed for ESO (Eur... more MUSE (Multi Unit Spectroscopic Explorer) is a second generation instrument developed for ESO (European Southern Observatory) to be installed on the VLT (Very Large Telescope) in year 2012. The MUSE project is supported by a European consortium of 7 institutes. After a successful Final Design Review the project is now facing a turning point which consist in shifting from design

Research paper thumbnail of Editors’ introduction

Research paper thumbnail of Calibration by simulation for small sample bias correction

Methods and Applications, 2000

Page 1. Calibration by Simulation for Small Sample Bias Correction Christian GOURIEROUX1-2 Eric R... more Page 1. Calibration by Simulation for Small Sample Bias Correction Christian GOURIEROUX1-2 Eric RENAULTS Nizar TOUZIIA July 1994 revised July 1995 ... eT = 90+ A;1 B TC3, 2 o(T'12), (2.2) VT T where the coefficients A71, B7.1 and Cif are deduced from A, B and C by : Ax = ...

Research paper thumbnail of 5 Stochastic volatility

Handbook of Statistics, 1996

This paper prepared for the Handbook of Statistics (Vol.14: &amp;amp;amp;amp;amp;amp;amp;amp;... more This paper prepared for the Handbook of Statistics (Vol.14: &amp;amp;amp;amp;amp;amp;amp;amp;amp;amp;amp;amp;amp;amp;amp;amp;quot;Statistical Methods in Finance&amp;amp;amp;amp;amp;amp;amp;amp;amp;amp;amp;amp;amp;amp;amp;amp;quot;), surveys the subject of stochastic volatility. the following subjects are covered: volatility in financial markets (instantaneous volatility of asset returns, implied volatilities in option prices and related stylized facts), statistical modelling in discrete and continuous time and, finally, statistical inference (methods of moments, quasi-maximum likelihood, likelihood-based and

Research paper thumbnail of New Science Opportunities Offered by MUSE

Astrophysics and Space Science Proceedings, 2009

The Multi Unit Spectroscopic Explorer MUSE [MUSE public web site: http://muse. univ-lyon1. fr] is... more The Multi Unit Spectroscopic Explorer MUSE [MUSE public web site: http://muse. univ-lyon1. fr] is one of the second generation VLT instruments. MUSE is a wide-field optical integral field spectrograph operating in the visible wavelength range with improved spatial ...

Research paper thumbnail of Econometric methods for derivative securities and risk management

Journal of Econometrics, 2000

Research paper thumbnail of Stochatic Volatility Models with Transaction Time Risk

We consider possible instantaneous causality between transaction times and transaction prices in ... more We consider possible instantaneous causality between transaction times and transaction prices in a financial market in a structural setting. Although a large part of the current litera- ture neglects this possible instantaneous causality, we provide moment conditions that identify these eects both statistically and economically. Based on ultra-high frequency data for IBM, we find that about two-thirds of its volatility

Research paper thumbnail of A Consumption CAPM with a Reference Level

We study an intertemporal asset pricing model in which a representative consumer maximizes expect... more We study an intertemporal asset pricing model in which a representative consumer maximizes expected utility derived from both the ratio of his consumption to some reference level and this level itself. If the reference consumption level is assumed to be determined by past consumption levels, the model generalizes the usual habit formation specifications. When the reference level growth rate is

Research paper thumbnail of Access Control to Objects and their Description in the Future Network of Information

Research paper thumbnail of Efficient Derivative Pricing by the Extended Method of Moments

SSRN Electronic Journal, 2000

Research paper thumbnail of The Econometrics of Option Pricing

SSRN Electronic Journal, 2000

Research paper thumbnail of Asymmetric Smiles, Leverage Effects and Structural Parameters

In this paper, we characterize the asymmetric of the smile through multiple leverage effects in a... more In this paper, we characterize the asymmetric of the smile through multiple leverage effects in a stochastic dynamic asset pricing framework.

Research paper thumbnail of Base-specific Photocleavage of DNA Induced by Pazelliptine Sensitization: Study of the Mechanism by Time-resolved Absorption and Fluorescence

Photochemistry and Photobiology, 1999

Research paper thumbnail of MethDB--a public database for DNA methylation data

Nucleic Acids Research, 2001

Research paper thumbnail of Temporal Aggregation of Volatility Models

Research paper thumbnail of On Portfolio Separation Theorems with Heterogeneous Beliefs and Attitudes towards Risk

The early work of Tobin (1958) showed that portfolio allocation decisions can be reduced to a two... more The early work of Tobin (1958) showed that portfolio allocation decisions can be reduced to a two stage process: first decide the relative allocation of assets across the risky assets, and second decide how to divide total wealth between the risky assets and the safe asset. This so called twofund separation relies on special assumptions on either returns or preferences.

Research paper thumbnail of Calibrarion By Simulation for Small Sample Bias Correction

This paper is interested in small sample properties of the indirect inference procedure which has... more This paper is interested in small sample properties of the indirect inference procedure which has been previously studied only from an asymptotic point of view. First, we highlight the fact that the Andrews(1993) median-bias correction procedure for autoregresssive parameter of an AR(1) process is closely related to indirect inference; we prove that the counterpart of the midian-bias correction for indirect

Research paper thumbnail of Diffusion Processes with Polynomial Eigenfunctions

The aim of this paper is to characterize the one-dimensional stochastic differential equations, f... more The aim of this paper is to characterize the one-dimensional stochastic differential equations, for which the eigenfunctions of the infinitesimal generator are polynomials in y. Affine transformations of the Ornstein-Uhlenbeck process, the Cox-Ingersoll-Ross process and the Jacobi process belong to the solutions of this stochastic differential equation family. Such processes exhibit specific patterns of the drift and volatility functions and

Research paper thumbnail of <title>MUSE instrument global performance analysis</title>

Modeling, Systems Engineering, and Project Management for Astronomy IV, 2010

MUSE (Multi Unit Spectroscopic Explorer) is a second generation instrument developed for ESO (Eur... more MUSE (Multi Unit Spectroscopic Explorer) is a second generation instrument developed for ESO (European Southern Observatory) and will be assembled to the VLT (Very Large Telescope) in 2012. The MUSE instrument can simultaneously record 90.000 spectra in the visible wavelength range (465-930nm), across a 1*1arcmin2 field of view, thanks to 24 identical Integral Field Units (IFU). A collaboration of 7

Research paper thumbnail of <title>The MUSE second-generation VLT instrument</title>

Ground-based and Airborne Instrumentation for Astronomy III, 2010

Summary: The Multi Unit Spectroscopic Explorer (MUSE) is a second-generation VLT panoramic integr... more Summary: The Multi Unit Spectroscopic Explorer (MUSE) is a second-generation VLT panoramic integral-field spectrograph currently in manufacturing, assembly and integration phase. MUSE has a field of 1x1 arcmin2 sampled at 0.2x0.2 arcsec2 and is assisted by the VLT ground layer adaptive optics ESO facility using four laser guide stars. The instrument is a large assembly of 24 identical high performance

Research paper thumbnail of <title>The MUSE project from the dream toward reality</title>

Modeling, Systems Engineering, and Project Management for Astronomy IV, 2010

MUSE (Multi Unit Spectroscopic Explorer) is a second generation instrument developed for ESO (Eur... more MUSE (Multi Unit Spectroscopic Explorer) is a second generation instrument developed for ESO (European Southern Observatory) to be installed on the VLT (Very Large Telescope) in year 2012. The MUSE project is supported by a European consortium of 7 institutes. After a successful Final Design Review the project is now facing a turning point which consist in shifting from design

Research paper thumbnail of Editors’ introduction

Research paper thumbnail of Calibration by simulation for small sample bias correction

Methods and Applications, 2000

Page 1. Calibration by Simulation for Small Sample Bias Correction Christian GOURIEROUX1-2 Eric R... more Page 1. Calibration by Simulation for Small Sample Bias Correction Christian GOURIEROUX1-2 Eric RENAULTS Nizar TOUZIIA July 1994 revised July 1995 ... eT = 90+ A;1 B TC3, 2 o(T'12), (2.2) VT T where the coefficients A71, B7.1 and Cif are deduced from A, B and C by : Ax = ...

Research paper thumbnail of 5 Stochastic volatility

Handbook of Statistics, 1996

This paper prepared for the Handbook of Statistics (Vol.14: &amp;amp;amp;amp;amp;amp;amp;amp;... more This paper prepared for the Handbook of Statistics (Vol.14: &amp;amp;amp;amp;amp;amp;amp;amp;amp;amp;amp;amp;amp;amp;amp;amp;quot;Statistical Methods in Finance&amp;amp;amp;amp;amp;amp;amp;amp;amp;amp;amp;amp;amp;amp;amp;amp;quot;), surveys the subject of stochastic volatility. the following subjects are covered: volatility in financial markets (instantaneous volatility of asset returns, implied volatilities in option prices and related stylized facts), statistical modelling in discrete and continuous time and, finally, statistical inference (methods of moments, quasi-maximum likelihood, likelihood-based and

Research paper thumbnail of New Science Opportunities Offered by MUSE

Astrophysics and Space Science Proceedings, 2009

The Multi Unit Spectroscopic Explorer MUSE [MUSE public web site: http://muse. univ-lyon1. fr] is... more The Multi Unit Spectroscopic Explorer MUSE [MUSE public web site: http://muse. univ-lyon1. fr] is one of the second generation VLT instruments. MUSE is a wide-field optical integral field spectrograph operating in the visible wavelength range with improved spatial ...

Research paper thumbnail of Econometric methods for derivative securities and risk management

Journal of Econometrics, 2000

Research paper thumbnail of Stochatic Volatility Models with Transaction Time Risk

We consider possible instantaneous causality between transaction times and transaction prices in ... more We consider possible instantaneous causality between transaction times and transaction prices in a financial market in a structural setting. Although a large part of the current litera- ture neglects this possible instantaneous causality, we provide moment conditions that identify these eects both statistically and economically. Based on ultra-high frequency data for IBM, we find that about two-thirds of its volatility

Research paper thumbnail of A Consumption CAPM with a Reference Level

We study an intertemporal asset pricing model in which a representative consumer maximizes expect... more We study an intertemporal asset pricing model in which a representative consumer maximizes expected utility derived from both the ratio of his consumption to some reference level and this level itself. If the reference consumption level is assumed to be determined by past consumption levels, the model generalizes the usual habit formation specifications. When the reference level growth rate is

Research paper thumbnail of Access Control to Objects and their Description in the Future Network of Information

Research paper thumbnail of Efficient Derivative Pricing by the Extended Method of Moments

SSRN Electronic Journal, 2000

Research paper thumbnail of The Econometrics of Option Pricing

SSRN Electronic Journal, 2000

Research paper thumbnail of Asymmetric Smiles, Leverage Effects and Structural Parameters

In this paper, we characterize the asymmetric of the smile through multiple leverage effects in a... more In this paper, we characterize the asymmetric of the smile through multiple leverage effects in a stochastic dynamic asset pricing framework.

Research paper thumbnail of Base-specific Photocleavage of DNA Induced by Pazelliptine Sensitization: Study of the Mechanism by Time-resolved Absorption and Fluorescence

Photochemistry and Photobiology, 1999

Research paper thumbnail of MethDB--a public database for DNA methylation data

Nucleic Acids Research, 2001