The Last Horror Film

Vinny Durand (Joe Spinell) is a New York City taxi driver who is obsessed with the international cult actress Jana Bates (Caroline Munro), who is known as the "queen of horror films". Vinny returns home to his apartment where he lives with his mother (played by Joe Spinell's real life mother), where he tells her that he's packing to go to the Cannes Film Festival in France hoping to meet Jana Bates and get her to star in his movie as his career start of being a film director. But his mother calls it just another one of his "crazy ideas."
Vinny arrives in Cannes and tries to get to meet Jana several times, but is turned away. Jana is in Cannes to promote her latest horror film Scream where she has been nominated for Best Actress. Accompanying Jana is her manager and ex-husband Bret Bates (Glenn Jacobson), and the film's producer Alan Cunningham (Judd Hamilton) who is her current beau. Vinny phones Bret to talk to Jana at her hotel room, but get hung up on. Shortly afterwards, Jana is at a press conference with Alan when she receives flowers and a note saying, "You've made your last horror film." When she goes to see Bret at his hotel room, she finds him dead, after being slit and later beheaded and runs away, when she later returns with the police, the body is gone.
Vinny continues following Jana around and filming her with his movie camera. Marty Bernestein (Devon Goldenberg) runs into Vinny and shrugs him off when Vinny asks him if he's willing promote his movie. Marty meets with the movie's director Stanley Kline (David Winters), and his personal assistant Susan Archer (Susanne Benson) where they reveal that all of them have received the same notes that Jana and Bret received. But when Marty takes his suspicions to the police, they think that Bret's disappearance is another publicity stunt. The next day, Marty gets a letter from Bret to meet him in a theater screening room. When Marty shows up, he is hacked with a hatchet by a hooded figure.
While Jana attends more press conferences, Vinny goes to a nightclub where he attacks a stripper after seeing her as Jana. He goes to a local cinema where he watches a gory horror film of Stanley Kline, and runs into him outside the theater. The following day, Susan tells Stanley that she wants to leave Cannes, but he convinces her to stay a while longer. That evening, both of them are killed by the hooded figure atop a building where Stanley is stabbed, and she falls off the building's ledge after getting shot. The killer then takes his movie camera and films all the deaths.
Across town in Jana's hotel room, Vinny sneaks in with a bottle of champagne and surprises Jana as she's taking a shower. He asks her to appear in his movie, but she insists him to leave immediately, causing Vinny to break down in tears. Angered and upset, Vinny smashes the bottle in the sink and threatens Jana with the bottle's jagged edge. When the doorbell rings, Jana shoves Vinny aside and sprints off. Jana, clad only in her bathroom towel, runs screaming through the hotel lobby being chased by Vinny. The people in the lobby think it is another public stunt and applaud. Vinny, caught off guard, stops and smiles for them, allowing Jana to escape, who runs into Alan and a group of reporters outside the hotel. After explaining what happened, Alan tells Jana that he will take her away from the city.
The next day, Alan drives Jana to a remote castle in the French countryside where a musician friend of his, named Jonathan, is staying. Vinny follows them. That evening, Vinny sneaks into the castle, but is chased away by Jana's bodyguards who accidentally kill Jonathan as he tries to stop Vinny.
Alan and Jana return to Cannes for the awards ceremony where Vinny sneaks into the festivities dressed as a local policeman. While Jana waits in the back wing of the building, Vinny subdues Jana with chloroform and takes the unconscious actress away in his car back to the castle to film a scene there. Vinny films a scene with him playing Dracula and Jana as a victim. Suddenly, Bret Bates shows up with another camera and a pistol, and congratulates Vinny on setting everything up for him. Bret is revealed to be the killer and the mastermind behind this whole thing, not Vinny. Bret reveals that on the day when Vinny phoned him about his movie proposal, he realized that he had the perfect fall guy to set Vinny up for all the killings and to get even with Jana for leaving him. Vinny throws his cape over Bret, distracting him, and runs. But Bret grabs Jana and taunts Vinny to come out in the open. Outside, Vinny turns on a motorcycle's headlights, blinding Bret, and as Jana steps aside, Vinny murders Bret with a chainsaw, via armless and beheaded. As Alan arrives with the police, Vinny stands before Bret's dead body and screams.
The image falls back to reveal that the whole story is a movie that Vinny filmed at the Cannes Film Festival with Jana Bates, and he is now back in New York showing it to his mother in a screening room. His mother tells Vinny that she's finally proud of him for directing and starring in his first movie, but Vinny explains that it will be his last horror film. As Vinny starts to talk to his mother about ideas for his next movie, the old woman interrupts him to ask for a joint. The two share to smoke as the film ends.

Question: Where did Vinny film the movie?
Answer: Cannes Film Festival