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Eric Renault

From EverybodyWiki Bios & Wiki



Eric Renault
Born
🏳️ CitizenshipFrench
🎓 Alma materENSAE Paris
Paris University (Dauphine)
💼 Occupation
Known forIndirect inference, stochastic volatility models, financial econometrics

Eric Renault is a French economist and econometrician who currently serves as Professor of Economics at the University of Warwick. He is a Fellow of the Econometric Society and has worked in financial econometrics, econometric methodology, and applied mathematics for social sciences.[1]

Early life and education

Renault received his Master of Science in Economics and Statistics from ENSAE (École Nationale de la Statistique et de l'Administration Économique) in Paris in 1977.[2] He completed his Ph.D. in Applied Mathematics for Social Sciences at Paris University (Dauphine) in 1983.[2]

Academic career

Renault has held academic positions at several leading institutions. Since 2019, he has been Professor of Economics at the University of Warwick.[1] Previously, he served as C.V. Starr Professor of Economics at Brown University (2011-2018),[3] Latane Distinguished Professor of Economics at the University of North Carolina at Chapel Hill (2004-2011),[4] and Professor of Economics at the University of Montreal (2000-2004).[2]

He has also held positions at Princeton University (2002, invited professor),[2] École Polytechnique (1998-2000, Associate Professor of Applied Mathematics),[2] Toulouse University (1990-1997, Professor of Economics),[2] ENSAE (1978-1979, 1983-1986, 1988-1990),[2] Paris University (Dauphine) (1986-1988),[2] and CNAM (1979-1983).[2]

At Toulouse University, he served as Director of GREMAQ, UMR CNRS (1993-1997).[2] He has also served as Director of CREST-INSEE in Paris (1997-1998) and Director of CREST in Rennes (1998-2000).[2][5]

Renault has held visiting positions at Monash University, Melbourne (since 2014),[2] University of California, San Diego,[6] and University of Melbourne.[6]

He has been an Associate Researcher and Fellow at CIRANO, Montreal since 1998,[6] and is also a Research Fellow at CIREQ, Montreal, and at the Center, Tilburg.[2] He is also a member of the Advisory Board of the Info-Metrics Institute at American University and a member of the Stevanovich Center for Mathematical Finance at the University of Chicago.[2]

Research and contributions

Renault's research focuses on econometric methodology, financial econometrics, and applied mathematics.[1][2] He has authored over seventy research papers and book chapters,[6] making contributions to the field of econometrics, particularly in the areas of financial econometrics, time series analysis, and econometric inference methods.[7]

1980s: Foundations in econometric methodology

During his early career, Renault focused on fundamental econometric theory and diagnostic methods. His work with Christian Gourieroux and Alain Monfort on generalized and simulated residuals (1987) provided tools for model specification testing and diagnostic analysis.[8][9] He also contributed to testing for common roots in time series models (1989), which is important for understanding unit roots and cointegration in econometric models.[10]

1990s: Indirect inference and stochastic volatility

Renault, together with Gourieroux and Monfort, developed indirect inference (1993), a simulation-based estimation method that has become widely used when direct maximum likelihood estimation is difficult or infeasible.[11]

His work on "Stochastic Volatility" (1996, with Eric Ghysels and Andrew C. Harvey) became his most cited publication, with over 1,300 citations.[12] He also contributed to understanding long memory in continuous-time stochastic volatility models (1998)[13] and option hedging and implied volatilities (1996).[14]

2000s: Structural econometrics and derivative pricing

In the 2000s, Renault's research expanded into structural econometrics and advanced financial applications. He contributed a chapter on linear inverse problems in structural econometrics to the Handbook of Econometrics (2007), focusing on estimation methods based on spectral decomposition and regularization.[15] He also worked on efficient derivative pricing using the extended method of moments (2011),[16] portfolio theory with heterogeneous beliefs,[17] and estimation of stable distributions in financial contexts.[18][not in citation given] This period also saw work on risk aversion and intertemporal substitution in asset pricing models.[19]

2010s–Present: Nonparametric methods and identification

In recent years, Renault has focused on nonparametric econometric methods and identification problems. His work on nonparametric instrumental regression (2011, with Serge Darolles, Yanqin Fan, and Jean-Pierre Florens).[20] He has also contributed to the literature on identification strength testing[21][not in citation given] and the use of weak instruments in econometric estimation,[22] as well as efficient minimum distance estimation with multiple rates of convergence (2012).[23][not in citation given]

Awards and honors

  • 1999: Elected Fellow of the Econometric Society[24]
  • 2003: Marcel Dagenais Price for the period 2000-2003 (Société Canadienne de Science Économique)[25]
  • 2003-2004: Canada Research Chair in Financial Econometrics[2]
  • 2012: Fellow of the Journal of Econometrics[2]
  • 2013-2015: President of the Society for Financial Econometrics (SoFiE)[2]

Selected publications

Academic service

Renault co-founded and serves as founding editor of the Journal of Financial Econometrics, published by Oxford University Press.[26][6] He has also held editorial positions at Econometrica, the Journal of Econometrics, and Econometric Theory.[6]

References

  1. ↑ 1.0 1.1 1.2 "University of Warwick Department of Economics - Eric Renault". University of Warwick.
  2. ↑ 2.00 2.01 2.02 2.03 2.04 2.05 2.06 2.07 2.08 2.09 2.10 2.11 2.12 2.13 2.14 2.15 2.16 2.17 "Eric Renault - Curriculum Vitae, August 2023" (PDF). University of Warwick.
  3. ↑ "Brown University - New Faculty: Eric Renault". Brown University News.
  4. ↑ "UNC Economics Department - Faculty". University of North Carolina at Chapel Hill.
  5. ↑ "CREST - Center for Research in Economics and Statistics". École Polytechnique.
  6. ↑ 6.0 6.1 6.2 6.3 6.4 6.5 "Eric Renault - CIRANO Profile". CIRANO.
  7. ↑ "Eric Michel Renault - RePEc Author Service". RePEc.
  8. ↑ Gourieroux, Christian; Monfort, Alain; Renault, Eric; Trognon, Alain (1987). "Simulated residuals". Journal of Econometrics. 34 (1–2): 201–252. doi:10.1016/0304-4076(87)90068-3 (inactive 9 December 2025).
  9. ↑ Gourieroux, Christian; Monfort, Alain; Renault, Eric; Trognon, Alain (1987). "Generalised residuals". Journal of Econometrics. 34 (1–2): 5–32. doi:10.1016/0304-4076(87)90067-1 (inactive 9 December 2025).
  10. ↑ Gourieroux, Christian; Monfort, Alain; Renault, Eric (1989). "Testing for Common Roots". Econometrica. 57 (1): 171–185. doi:10.2307/1912576. JSTOR 1912576.
  11. ↑ Gourieroux, Christian; Monfort, Alain; Renault, Eric (1993). "Indirect Inference". Journal of Applied Econometrics. 8 (S): 85–118. doi:10.1002/jae.3950080507.
  12. ↑ Ghysels, Eric; Harvey, Andrew C.; Renault, Eric (1996). "Stochastic Volatility". In Maddala, G.S.; Rao, C.R. Handbook of Statistics. 14. Elsevier. pp. 119–191. Search this book on
  13. ↑ Comte, Fabienne; Renault, Eric (1998). "Long Memory in Continuous-Time Stochastic Volatility Models". Mathematical Finance. 8 (4): 291–323. doi:10.1111/1467-9965.00057.
  14. ↑ Renault, Eric; Touzi, Nizar (1996). "Option Hedging and Implied Volatilities in a Stochastic Volatility Model". Mathematical Finance. 6 (3): 279–302. doi:10.1111/j.1467-9965.1996.tb00119.x.
  15. ↑ Carrasco, Marine; Florens, Jean-Pierre; Renault, Eric (2007). "Linear Inverse Problems in Structural Econometrics Estimation Based on Spectral Decomposition and Regularization". In Heckman, J.J.; Leamer, E.E. Handbook of Econometrics. 6. Elsevier. pp. 5633–5751. Search this book on
  16. ↑ Gagliardini, Patrick; Gourieroux, Christian; Renault, Eric (2011). "Efficient Derivative Pricing by the Extended Method of Moments". Econometrica. 79 (4): 1181–1232. doi:10.3982/ECTA7921 (inactive 9 December 2025).
  17. ↑ Chabi-Yo, Fousseni; Ghysels, Eric; Renault, Eric (2008). "On Portfolio Separation Theorems with Heterogeneous Beliefs and Attitudes towards Risk". Bank of Canada Staff Working Paper 08-16.
  18. ↑ Garcia, René; Renault, Eric; Veredas, David (2011). "Estimation of stable distributions by indirect inference". Journal of Econometrics. 161 (2): 325–337. doi:10.1016/j.jeconom.2010.12.003.
  19. ↑ Chabi-Yo, Fousseni; Garcia, René; Renault, Eric (2005). "State Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle". Bank of Canada Staff Working Paper 05-9.
  20. ↑ Darolles, Serge; Fan, Yanqin; Florens, Jean-Pierre; Renault, Eric (2011). "Nonparametric Instrumental Regression". Econometrica. 79 (5): 1541–1565. doi:10.3982/ECTA7567 (inactive 9 December 2025).
  21. ↑ Antoine, Bertille; Renault, Eric (2020). "Testing identification strength". Journal of Econometrics. 218 (2): 271–293. doi:10.1016/j.jeconom.2019.08.010.
  22. ↑ Antoine, Bertille; Renault, Eric (2012). "Efficient Inference with Poor Instruments: a General Framework". Simon Fraser University Discussion Paper 12-04.
  23. ↑ Antoine, Bertille; Renault, Eric (2012). "Efficient minimum distance estimation with multiple rates of convergence". Journal of Econometrics. 170 (2): 350–367. doi:10.1016/j.jeconom.2012.05.004.
  24. ↑ "1999 Election of Fellows to the Econometric Society". Econometrica. 68 (3): 725–729. May 2000. doi:10.1111/1468-0262.t01-1-00132.
  25. ↑ "Société Canadienne de Science Économique - Prix Marcel-Dagenais". SCSE.
  26. ↑ "Journal of Financial Econometrics - Editorial Board". Oxford University Press.

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