Citation Impact
Citing Papers
Bayesian Analysis of DSGE Models
2007
Econometric Analysis of Cross Section and Panel Data
2001 Standout
Nonlinearity and temporal dependence
2009 StandoutNobel
Beliefs, Doubts and Learning: Valuing Macroeconomic Risk
2007 StandoutNobel
Causal Effects of Monetary Shocks: Semiparametric Conditional Independence Tests with a Multinomial Propensity Score
2008 StandoutNobel
THE IMPACT ON OPTION PRICING OF SPECIFICATION ERROR IN THE UNDERLYING STOCK PRICE RETURNS
1976 StandoutNobel
Quantifying Transient 3D Dynamical Phenomena of Single mRNA Particles in Live Yeast Cell Measurements
2013 StandoutNobel
Giving Content to Investor Sentiment: The Role of Media in the Stock Market
2007 Standout
Identification and Inference in Nonlinear Difference-in-Differences Models
2006 StandoutNobel
Recent Developments in the Econometrics of Program Evaluation
2009 StandoutNobel
GMM and QML asymptotic standard deviations in stochastic volatility models: Comments on Ruiz (1994)
1997
On the network topology of variance decompositions: Measuring the connectedness of financial firms
2014 Standout
Séries codépendantes : application à l’hypothèse de parité du pouvoir d’achat
2009
Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation
2005
Empirical properties of asset returns: stylized facts and statistical issues
2001 Standout
Contracting in space: An application of spatial statistics to discrete-choice models
1998
How to do Xtabond2: An Introduction to Difference and System GMM in Stata
2009 Standout
Financing Innovation and Growth: Cash Flow, External Equity, and the 1990s R&D Boom
2009 Standout
The Cyclical Behavior of Equilibrium Unemployment and Vacancies
2005 Standout
Modeling and Forecasting Realized Volatility
2003 Standout
Nonlinear principal components and long-run implications of multivariate diffusions
2009 StandoutNobel
Estimation by Simulation
1994 StandoutNobel
Credible School Value-Added with Undersubscribed School Lotteries
2021 StandoutNobel
Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
2001
Transform Analysis and Asset Pricing for Affine Jump-diffusions
2000 Standout
Long-term equity anticipation securities and stock market volatility dynamics
1999
Underidentification?
2012 StandoutNobel
The Impact of Uncertainty Shocks
2009 Standout
An Empirical Investigation of Continuous‐Time Equity Return Models
2002
Financial Network Systemic Risk Contributions
2013
LAPM: A Liquidity‐Based Asset Pricing Model
2001 StandoutNobel
Robust Nonparametric Confidence Intervals for Regression-Discontinuity Designs
2014 Standout
Modelling Income Processes with Lots of Heterogeneity
2010
Corporate social responsibility and access to finance
2013 Standout
Estimation of affine asset pricing models using the empirical characteristic function
2001
Variational Mode Decomposition
2014 Standout
Weak Identification in Fuzzy Regression Discontinuity Designs
2015
ANALYTICAL EVALUATION OF VOLATILITY FORECASTS*
2004
Two Illustrations of the Quantity Theory of Money: Breakdowns and Revivals
2011 StandoutNobel
Estimation of Continuous-Time Markov Processes Sampled at Random Time Intervals
2004
Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility
2003
An Introduction to Econophysics: Correlations and Complexity in Finance
2000 Standout
Short-Term Interest Rates as Subordinated Diffusions
1997 StandoutNobel
Estimating continuous-time stochastic volatility models of the short-term interest rate
1997
Simple tests for sample selection bias in censored and discrete choice models
1992
A Selective Overview of Nonparametric Methods in Financial Econometrics
2005
Two-sided markets: a progress report
2006 StandoutNobel
Using Daily Range Data to Calibrate Volatility Diffusions and Extract the Forward Integrated Variance
1999
Disasters Implied by Equity Index Options
2011
A theoretical comparison between integrated and realized volatility
2002
An Empirical Model of Growth Through Product Innovation
2008 StandoutNobel
Dynamic Valuation Decomposition Within Stochastic Economies
2012 StandoutNobel
The jump-risk premia implicit in options: evidence from an integrated time-series study
2002
Kernel-based nonlinear canonical analysis and time reversibility
2003
GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study
1996
Pricing and hedging long-term options
2000
Forecasting Volatility in Financial Markets: A Review
2003 StandoutNobel
Short and long run causality measures: Theory and inference
2009
Creditor control rights and firm investment policy☆
2009 Standout
Which Moments to Match?
1996
Long-Memory versus Option-Implied Volatility Predictions
2002
Efficient estimation of general dynamic models with a continuum of moment conditions
2006
A Simple Approximate Long-Memory Model of Realized Volatility
2008 Standout
The Technology of Skill Formation
2007 Standout
Maximum likelihood estimation of the double exponential jump-diffusion process
2006
Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates
2007
Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
2002
The Distribution of Realized Exchange Rate Volatility
2001 Standout
Which Moments to Match?
1998
How Costly Is External Financing? Evidence from a Structural Estimation
2007
Instrumental variable estimation of nonseparable models
2006 StandoutNobel
Quantifying equilibrium network externalities in the ACH banking industry
2006
When to Start a Fight and When to Fight Back: Liability Disputes in the Workers’ Compensation System
2009 StandoutNobel
The distribution of realized stock return volatility
2001 Standout
Modeling and Forecasting Realized Volatility
2001
The econometrics of financial markets
1996
Identification in Nonseparable Models
2003
DIVORCE AND THE COGNITIVE ACHIEVEMENT OF CHILDREN
2015
Spectral methods for identifying scalar diffusions
1998 StandoutNobel
Simulation-based inference
1993
Aggregation of space-time processes
2003 StandoutNobel
Estimating quadratic variation using realized variance
2002
Codependent cycles
1997 StandoutNobel
On the dynamics of interstate migration: Migration costs and self-selection
2012
Shocks and Government Beliefs: The Rise and Fall of American Inflation
2006 StandoutNobel
Closing the GARCH gap: Continuous time GARCH modeling
1996
Oil and stock market volatility: A multivariate stochastic volatility perspective
2011
Diagnostic tests for models based on individual data: A survey
1989
Evolution and Intelligent Design
2008 StandoutNobel
Disinflation Shocks in the Eurozone: A DSGE Perspective
2010
Estimating Hospital Quality with Quasi-Experimental Data
2018
Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards
2004 Standout
A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation
2000
Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach
2007 Standout
The Cross‐Section of Volatility and Expected Returns
2006 Standout
Works of Éric Renault being referenced
Tests sur le noyau, l'image et le rang de la matrice des coefficients d'un modéle linéaire multivarié
1993
Short run and long run causality in time series: inference
2005
Simulated residuals
1987
OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL1
1996
Short Run and Long Run Causality in Time Series: Theory
1998
TESTING FOR EMBEDDABILITY BY STATIONARY REVERSIBLE CONTINUOUS-TIME MARKOV PROCESSES
1998
Empirical assessment of an intertemporal option pricing model with latent variables
2003
The Econometrics of Option Pricing
2003
State Dependence Can Explain the Risk Aversion Puzzle
2007
Efficient minimum distance estimation with multiple rates of convergence
2012
Statistical Inference for Random-Variance Option Pricing
2000
Proper Conditioning for Coherent VaR in Portfolio Management
2007
Efficient GMM with nearly-weak instruments
2009
Long memory in continuous‐time stochastic volatility models
1998
Nonparametric Instrumental Regression
2010
Long memory continuous time models
1996
Indirect inference
1993
Estimation of objective and risk-neutral distributions based on moments of integrated volatility
2010
Statistical Inference for Random-Variance Option Pricing
2000
Causality effects in return volatility measures with random times
2010
Generalised residuals
1987
Indirect inference and calibration of dynamic stochastic general equilibrium models
2006