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Number of items: 31.
2023
Renault, Eric, van der Heijden, Thijs and Werker, Bas J. M (2023) Arbitrage pricing theory for idiosyncratic variance factors. Journal of Financial Econometrics, 21 (5). pp. 1403-1442. doi:10.1093/jjfinec/nbac008 ISSN 1479-8409.
Chaudhuri, Saraswata and Renault, Eric (2023) Efficient estimation of regression models with user-specified parametric model for heteroskedasticty. Working Paper. Department of Economics: Coventry, UK. Warwick economics research papers series (WERPS) (1473). (Unpublished)
Chaudhuri, Saraswata, Renault, Eric and Wahlstrom, Oscar (2023) Identification of beliefs in the presence of disaster risk and misspecification. In: Essays in Honor of Joon Y. Park: Econometric Methodology in Empirical Applications. Advances in Econometrics, 45B . Bingley: Emerald Publishing Limited, pp. 261-290. ISBN 9781837532131
2022
Czellar, Veronika, Frazier, David T. and Renault, Eric (2022) Approximate maximum likelihood for complex structural models. Journal of Econometrics, 231 (2). pp. 432-456. doi:10.1016/j.jeconom.2021.05.009 ISSN 0304-4076.
2021
Czellar, Veronika, Frazier, David T. and Renault, Eric (2021) Approximate maximum likelihood for complex structural models. Working Paper. Coventry: University of Warwick. Department of Economics. Warwick economics research papers series (WERPS) (1337). (Unpublished)
Frazier, David T., Renault, Eric, Zhang, Lina and Zhao, Xueyan (2021) Weak identification in discrete choice models. Working Paper. Coventry: University of Warwick. Department of Economics. Warwick economics research papers series (WERPS) (1336). (Unpublished)
Bertille, Antoine and Renault, Eric (2021) GMM with nearly-weak identification. Econometrics and Statistics . doi:10.1016/j.ecosta.2021.10.010 ISSN 2452-3062. (In Press)
Ghysels, Eric, Mykland, Per and Renault, Eric (2021) In-sample asymptotics and across-sample efficiency gains for high frequency data statistics. Econometric Theory . doi:10.1017/S0266466621000359 ISSN 0266-4666.
2020
Antoine, Bertille and Renault, Eric (2020) Testing identiο¬cation strength. Journal of Econometrics, 218 (2). pp. 271-293. doi:10.1016/j.jeconom.2020.04.017 ISSN 0304-4076.
Antoine, Bertille, Proulx, Kevin and Renault, Eric (2020) Pseudo-true SDFs in conditional asset pricing models. Journal of Financial Econometrics, 18 (4). pp. 656-714. doi:10.1093/jjfinec/nby017 ISSN 1479-8409.
Antoine, Bertille, Proulx, Kevin and Renault, Eric (2020) Rejoinder on : pseudo-true SDFs in conditional asset pricing models. Journal of Financial Econometrics, 18 (4). pp. 776-790. nbaa019. doi:10.1093/jjfinec/nbaa019 ISSN 1479-8409.
Han, Hyojin, Khrapov, Stanislav and Renault, Eric (2020) The leverage eο¬ect puzzle revisited : identiο¬cation in discrete time. Journal of Econometrics, 217 (2). pp. 230-258. doi:10.1016/j.jeconom.2019.12.003 ISSN 0304-4076.
Han, Hyojin and Renault, Eric (2020) Identification strength with a large number of moments. Econometric Reviews, 39 (7). 691-714 . doi:10.1080/07474938.2020.1771903 ISSN 0747-4938.
Frazier, David T. and Renault, Eric (2020) Indirect inference with(out) constraints. Quantitative Economics, 11 (1). pp. 113-159. doi:10.3982/QE986 ISSN 1759-7323.
2019
Chaudhuri, Saraswata and Renault, Eric (2019) Score tests in GMM : why use implied probabilities? Journal of Econometrics, 219 (2). pp. 260-280. doi:10.1016/j.jeconom.2020.03.004 ISSN 0304-4076.
Frazier, David T. and Renault, Eric (2019) Indirect inference : which moments to match? Econometrics, 7 (1). 14. doi:10.3390/econometrics7010014 ISSN 2225-1146.
2018
Chaudhuri, Saraswata, Frazier, David T. and Renault, Eric (2018) Indirect Inference with endogenously missing exogenous variables. Journal of Econometrics, 205 (1). pp. 55-75. doi:10.1016/j.jeconom.2018.03.005 ISSN 0304-4076.
Dungey, Mardi and Renault, Eric (2018) Identifying contagion. Journal of Applied Econometrics, 33 (2). pp. 227-250. doi:10.1002/jae.2593 ISSN 0883-7252.
2017
Frazier, David T. and Renault, Eric (2017) Efficient two-step estimation via targeting. Journal of Econometrics, 201 (2). pp. 212-227. doi:10.1016/j.jeconom.2017.08.004 ISSN 0304-4076.
GouriΓ©roux, Christian, Monfort, Alain and Renault, Eric (2017) Consistent pseudo-maximum likelihood estimators. Annals of Economics and Statistics (125/126). pp. 187-218. doi:10.15609/annaeconstat2009.125-126.0187 ISSN 2115-4430.
Antoine, Bertille and Renault, Eric (2017) On the relevance of weaker instruments. Econometric Reviews, 36 (6-9). pp. 928-945. doi:10.1080/07474938.2017.1307598 ISSN 0747-4938.
Renault, Eric, Sarisoy, Cisil and Werker, Bas J.M. (2017) Efficient estimation of integrated volatility and related processes. Econometric Theory, 33 (2). pp. 439-478. doi:10.1017/S0266466616000013 ISSN 0266-4666.
2016
Renault, Eric and ScidΓ‘, Daniela (2016) Causality and Markovianity : information theoretic measures. Advances in Econometrics, 36 . pp. 349-385. doi:10.1108/S0731-905320160000036019 ISSN 0731-9053.
2015
Fan, Yanqin, Pastorello, Sergio and Renault, Eric (2015) Maximization by parts in extremum estimation. The Econometrics Journal, 18 (2). pp. 147-171. doi:10.1111/ectj.12046 ISSN 1368-4221.
Renault, Eric and Triacca, Umberto (2015) Causality and separability. Statistics & Probability Letters, 99 . pp. 1-5. doi:10.1016/j.spl.2014.12.018 ISSN 0167-7152.
Chaudhuri, Saraswata and Renault, Eric (2015) Shrinkage of variance for minimum distance based tests. Econometric Reviews, 34 (3). pp. 328-351. doi:10.1080/07474938.2014.944794 ISSN 0747-4938.
2014
Chabi-Yo, Fousseni, Leisen, Dietmar P.J. and Renault, Eric (2014) Aggregation of preferences for skewed asset returns. Journal of Economic Theory, 154 . pp. 453-489. doi:10.1016/j.jet.2014.09.020 ISSN 0022-0531.
Kouki, Mokhtar, Park, Sang Soo and Renault, Eric (2014) Estimating scale economies in financial intermediation : a doubly indirect inference. Journal of Productivity Analysis, 41 (3). pp. 351-365. doi:10.1007/s11123-013-0345-z ISSN 0895-562X.
Li, Yingying, Mykland, Per A., Renault, Eric, Zhang, Lan and Zheng, Xinghua (2014) Realized volatility when sampling times are possibly endogenous. Econometric Theory, 30 (3). pp. 580-605. doi:10.1017/S0266466613000418 ISSN 0266-4666.
Renault, Eric, van der Heijden, Thijs and Werker, Bas J.M. (2014) The dynamic mixed hitting-time model for multiple transaction prices and times. Journal of Econometrics, 180 (2). pp. 233-250. doi:10.1016/j.jeconom.2014.01.009 ISSN 03044076.
Carrasco, Marine, Florens, Jean-Pierre and Renault, Eric (2014) Asymptotic normal inference in linear inverse problems. In: Racine, Jeffrey S. and Su, Liangjun and Ullah, Aman, (eds.) The Oxford Handbook of Applied Nonparametric and Semiparametric Econometrics and Statistics. Oxford University Press. ISBN 9780199857944
This list was generated on Thu Mar 28 21:00:59 2024 GMT.