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Eric Michel Renault

Global rank #3642 95%

Institution: Unknown

Primary Field: Econometrics (weighted toward more recent publications)

First Publication: 1987

Most Recent: 2014

RePEc ID: pre313 ↗

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.01: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period S (4x) A (2x) B (1x) C (½x) Total
Last 5 Years 0.00 0.00 0.00 0.00 0.00
Last 10 Years 0.00 0.00 0.00 0.00 0.00
All Time 0.00 12.23 2.08 0.00 26.88

Publication Statistics

Raw Publications 21
Coauthorship-Adjusted Count 15.05

Publications (21)

Year Article Journal Tier Authors
2014 REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS Econometric Theory B 5
2014 The dynamic mixed hitting-time model for multiple transaction prices and times Journal of Econometrics A 3
2014 Aggregation of preferences for skewed asset returns Journal of Economic Theory A 3
2012 Efficient minimum distance estimation with multiple rates of convergence Journal of Econometrics A 2
2011 Estimation of objective and risk-neutral distributions based on moments of integrated volatility Journal of Econometrics A 4
2011 Estimation of stable distributions by indirect inference Journal of Econometrics A 3
2011 Causality effects in return volatility measures with random times Journal of Econometrics A 2
2008 State Dependence Can Explain the Risk Aversion Puzzle The Review of Financial Studies A 3
2007 On the efficient use of the informational content of estimating equations: Implied probabilities and Euclidean empirical likelihood Journal of Econometrics A 3
2007 Indirect inference and calibration of dynamic stochastic general equilibrium models Journal of Econometrics A 3
2006 Short run and long run causality in time series: inference Journal of Econometrics A 3
2006 GARCH and irregularly spaced data Economics Letters C 3
2004 Temporal aggregation of volatility models Journal of Econometrics A 2
2004 Dynamic factor models Journal of Econometrics A 3
2003 Empirical assessment of an intertemporal option pricing model with latent variables Journal of Econometrics A 3
2000 Econometric methods for derivative securities and risk management Journal of Econometrics A 3
1998 TESTING FOR EMBEDDABILITY BY STATIONARY REVERSIBLE CONTINUOUS-TIME MARKOV PROCESSES Econometric Theory B 3
1996 Noncausality in Continuous Time Models Econometric Theory B 2
1996 Long memory continuous time models Journal of Econometrics A 2
1987 Generalised residuals Journal of Econometrics A 4
1987 Simulated residuals Journal of Econometrics A 4