Browsing Faculté des arts et des sciences – Département de sciences économiques - Travaux et publications by Author "Renault, Éric"
Now showing items 1-11 of 11
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Aggregations and Marginalization of GARCH and Stochastic Volatility Models
(Université de Montréal. Département de sciences économiques., 1998)The GARCH and Stochastic Volatility paradigms are often brought into conflict as two competitive views of the appropriate conditional variance concept : conditional variance given past values of the same series or conditional variance given a larger ... -
Asymmetric Smiles, Leverage Effects and Structural Parameters
(Université de Montréal. Département de sciences économiques., 2001)In this paper, we characterize the asymmetries of the smile through multiple leverage effects in a stochastic dynamic asset pricing framework. The dependence between price movements and future volatility is introduced through a set of latent state ... -
Causalités à court et à long terme dans les modèles VAR et ARIMA multivariés
(Université de Montréal. Département de sciences économiques., 1993)La causalité au sens de Granger est habituellement définie par la prévisibilité d'un vecteur de variables par un autre une période à l'avance. Récemment, Lutkepohl (1990) a proposé de définir la non-causalité entre deux variables (ou vecteurs) par la ... -
Empirical Assessment of an Intertemporal Option Pricing Model with Latent variables
(Université de Montréal. Département de sciences économiques., 2001)This paper assesses the empirical performance of an intertemporal option pricing model with latent variables which generalizes the Hull-White stochastic volatility formula. Using this generalized formula in an ad-hoc fashion to extract two implicit ... -
Latent Variable Models for Stochastic Discount Factors
(Université de Montréal. Département de sciences économiques., 2000)Latent variable models in finance originate both from asset pricing theory and time series analysis. These two strands of literature appeal to two different concepts of latent structures, which are both useful to reduce the dimension of a statistical ... -
Nonparametric Instrumental Regression
(Université de Montréal. Département de sciences économiques., 2002)The focus of the paper is the nonparametric estimation of an instrumental regression function P defined by conditional moment restrictions stemming from a structural econometric model : E[Y-P(Z)|W]=0 and involving endogenous variables Y and Z and ... -
Quadratic M-Estimators for ARCH-Type Processes
(Université de Montréal. Département de sciences économiques., 1998)This paper addresses the issue of estimating semiparametric time series models specified by their conditional mean and conditional variance. We stress the importance of using joint restrictions on the mean and variance. This leads us to take into account ... -
Risk Aversion, Intertemporal Substitution, and Option Pricing
(Université de Montréal. Département de sciences économiques., 1998)This paper develops a general stochastic framework and an equilibrium asset pricing model that make clear how attitudes towards intertemporal substitution and risk matter for option pricing. In particular, we show under which statistical conditions ... -
Short run and long run causality in time series: Inference
(Université de Montréal. Département de sciences économiques., 2003)We propose methods for testing hypotheses of non-causality at various horizons, as defined in Dufour and Renault (1998, Econometrica). We study in detail the case of VAR models and we propose linear methods based on running vector autoregressions at ... -
Short-Run and Long-Rub Causality in Time Series: Theory
(Université de Montréal. Département de sciences économiques., 1995) -
Stochastic Volatility
(Université de Montréal. Département de sciences économiques., 1996)This paper prepared for the Handbook of Statistics (Vol.14: Statistical Methods in Finance), surveys the subject of stochastic volatility. the following subjects are covered: volatility in financial markets (instantaneous volatility of asset returns, ...
