A. Ronald Gallant : Citation Profile


Are you A. Ronald Gallant?

Pennsylvania State University

27

H index

35

i10 index

3775

Citations

RESEARCH PRODUCTION:

44

Articles

37

Papers

EDITOR:

1

Books edited

1

Series edited

RESEARCH ACTIVITY:

   43 years (1975 - 2018). See details.
   Cites by year: 87
   Journals where A. Ronald Gallant has often published
   Relations with other researchers
   Recent citing documents: 309.    Total self citations: 18 (0.47 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pga696
   Updated: 2020-05-23    RAS profile: 2015-05-28    
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Relations with other researchers


Works with:

Jahan-Parvar, Mohammad (2)

Ragusa, Giuseppe (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with A. Ronald Gallant.

Is cited by:

Andersen, Torben (76)

Bollerslev, Tim (75)

Barnett, William (66)

Serletis, Apostolos (62)

Ghysels, Eric (47)

McAleer, Michael (46)

Asai, Manabu (43)

Shephard, Neil (34)

Zhang, Harold (33)

Perote, Javier (33)

Diebold, Francis (31)

Cites to:

Tauchen, George (49)

Ghysels, Eric (14)

Engle, Robert (12)

Renault, Eric (12)

Hansen, Lars (12)

Singleton, Kenneth (11)

Bollerslev, Tim (10)

Harvey, Andrew (8)

Ludvigson, Sydney (8)

Lettau, Martin (8)

Shephard, Neil (7)

Main data


Where A. Ronald Gallant has published?


Journals with more than one article published# docs
Journal of Econometrics23
Econometrica7
Journal of Business & Economic Statistics3
Macroeconomic Dynamics2
Econometric Theory2

Working Papers Series with more than one paper published# docs
Working Papers / Duke University, Department of Economics21

Recent works citing A. Ronald Gallant (2018 and 2017)


YearTitle of citing document
2017Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model. (2017). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2017-28.

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2017Is the diurnal pattern sufficient to explain the intraday variation in volatility? A nonparametric assessment. (2017). Podolskij, Mark ; Hounyo, Ulrich ; Christensen, Kim. In: CREATES Research Papers. RePEc:aah:create:2017-30.

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2018Models with Multiplicative Decomposition of Conditional Variances and Correlations. (2018). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Amado, Cristina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2018-14.

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2018Inference for Local Distributions at High Sampling Frequencies: A Bootstrap Approach. (2018). Varneskov, Rasmus T ; Hounyo, Ulrich. In: CREATES Research Papers. RePEc:aah:create:2018-16.

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2018The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing. (2018). Veliyev, Bezirgen ; Thyrsgaard, Martin ; Christensen, Kim. In: CREATES Research Papers. RePEc:aah:create:2018-19.

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2017Multiple Imputations for Determining an Optimum Biological Dose of a Metronomic Chemotherapy. (2017). , Ramesh. In: Biostatistics and Biometrics Open Access Journal. RePEc:adp:jbboaj:v:3:y:2017:i:5:p:129-140.

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2018Some Financial Implications of Global Warming: an Empirical Assessment. (2018). Sbrana, Giacomo. In: CARD Technical Report Series. RePEc:ags:cpaper:268728.

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2017Temperature Anomalies, Radiative Forcing and ENSO. (2017). Sbrana, Giacomo ; MORANA, CLAUDIO. In: MITP: Mitigation, Innovation and Transformation Pathways. RePEc:ags:feemmi:253732.

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2017An Economic Analysis of Shellfish Harvests Regulations for Food Safety. (2017). Solis, Daniel ; Alvarez, Sergio ; Hwang, Joonghyun. In: 2017 Annual Meeting, February 4-7, 2017, Mobile, Alabama. RePEc:ags:saea17:252721.

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2018Predicting Soybean Yield with NDVI using a Flexible Fourier Transform Model. (2018). Katchova, Ani ; Xu, Chang. In: 2018 Annual Meeting, February 2-6, 2018, Jacksonville, Florida. RePEc:ags:saea18:266693.

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2018Forecasting Methods in Finance. (2018). Timmermann, Allan. In: Annual Review of Financial Economics. RePEc:anr:refeco:v:10:y:2018:p:449-479.

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2017Nonlinear Panel Data Methods for Dynamic Heterogeneous Agent Models. (2017). Arellano, Manuel ; Bonhomme, Stephane. In: Annual Review of Economics. RePEc:anr:reveco:v:9:y:2017:p:471-496.

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2017Limit-order book resiliency after effective market orders: Spread, depth and intensity. (2017). Xu, Hai-Chuan ; Zhou, Wei-Xing ; Zhang, Wei ; Xiong, Xiong ; Chen, Wei. In: Papers. RePEc:arx:papers:1602.00731.

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2019Indirect Inference with a Non-Smooth Criterion Function. (2019). Oka, Tatsushi ; Zhu, Dan ; Frazier, David T. In: Papers. RePEc:arx:papers:1708.02365.

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2018Predicting crypto-currencies using sparse non-Gaussian state space models. (2018). Zoerner, Thomas ; Huber, Florian ; Zorner, Thomas O ; Hotz-Behofsits, Christian. In: Papers. RePEc:arx:papers:1801.06373.

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2018Affine forward variance models. (2018). Keller-Ressel, Martin ; Gatheral, Jim. In: Papers. RePEc:arx:papers:1801.06416.

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2018Adversarial Generalized Method of Moments. (2018). Syrgkanis, Vasilis ; Lewis, Gregory. In: Papers. RePEc:arx:papers:1803.07164.

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2019Varying Random Coefficient Models. (2019). hoderlein, stefan ; Breunig, Christoph. In: Papers. RePEc:arx:papers:1804.03110.

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2018Measuring Systematic Risk with Neural Network Factor Model. (2018). Huh, Jeonggyu. In: Papers. RePEc:arx:papers:1809.04925.

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2018Stochastic Revealed Preferences with Measurement Error. (2018). Kashaev, Nail ; Aguiar, Victor. In: Papers. RePEc:arx:papers:1810.05287.

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2019Equilibrium price and optimal insider trading strategy under stochastic liquidity with long memory. (2019). Huang, Nan-Jing ; He, Xinjiang ; Yang, Ben-Zhang. In: Papers. RePEc:arx:papers:1901.00345.

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2019An Agent-Based Model to Explain the Emergence of Stylised Facts in Log Returns. (2019). Heffernan, Daniel M ; Green, Elena. In: Papers. RePEc:arx:papers:1901.05053.

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2019A Sieve-SMM Estimator for Dynamic Models. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1902.01456.

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2020A Nonparametric Dynamic Causal Model for Macroeconometrics. (2019). Shephard, Neil ; Rambachan, Ashesh. In: Papers. RePEc:arx:papers:1903.01637.

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2019An analytical perturbative solution to the Merton Garman model using symmetries. (2019). Shaw, Nathaniel Wiesendanger ; Calmet, Xavier. In: Papers. RePEc:arx:papers:1909.01413.

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2019Consistent and Efficient Pricing of SPX and VIX Options under Multiscale Stochastic Volatility. (2019). Huh, Jeonggyu ; Kim, Geonwoo ; Jeon, Jaegi. In: Papers. RePEc:arx:papers:1909.10187.

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2019A Scrambled Method of Moments. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1911.09128.

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2020A Put-Call Transformation of the Exchange Option Problem under Stochastic Volatility and Jump Diffusion Dynamics. (2020). , Gerald ; Dominic, Len Patrick. In: Papers. RePEc:arx:papers:2002.10194.

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2020From code to market: Network of developers and correlated returns of cryptocurrencies. (2020). Lucchini, Lorenzo ; Baronchelli, Andrea ; Gallo, Angela ; Lepri, Bruno ; Alessandretti, Laura. In: Papers. RePEc:arx:papers:2004.07290.

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2020Revealing Cluster Structures Based on Mixed Sampling Frequencies. (2020). Rho, Yeonwoo ; Ahn, Hie Joo ; Liu, Yun. In: Papers. RePEc:arx:papers:2004.09770.

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2020Tail Granger causalities and where to find them: extreme risk spillovers vs. spurious linkages. (2020). Mazzarisi, Piero ; Lillo, Fabrizio ; Campajola, Carlo ; Zaoli, Silvia. In: Papers. RePEc:arx:papers:2005.01160.

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2019Forecasting and Trading Monetary Policy Switching Nelson-Siegel Models. (2019). Guidolin, Massimo ; Pedio, Manuela. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp19106.

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2018Asymmetric Effects of Terms of Trade Shocks on Tradable and Non-tradable Investment Rates: The Colombian Case. (2018). Toro-Córdoba, Jorge Hernán ; Garavito, Aaron ; Cárdenas Hurtado, Camilo ; Toro-Cordoba, Jorge Hernan ; Garavito-Acosta, Aaron Levi ; Cardenas-Hurtado, Camilo Alberto. In: Borradores de Economia. RePEc:bdr:borrec:1043.

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2019THE EFFECT OF TRADING VOLUMES ON STOCK RETURNS FOLLOWING LARGE PRICE MOVES. (2019). Kudryavtsev, Andrey. In: Economic Annals. RePEc:beo:journl:v:64:y:2019:i:220:p:85-116.

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2018Low‐frequency volatility of real estate securities and macroeconomic risk. (2018). Lee, Chyi Lin ; Stevenson, Simon. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:s1:p:311-342.

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2018TRADER TYPE EFFECTS ON THE VOLATILITY‐VOLUME RELATIONSHIP EVIDENCE FROM THE KOSPI 200 INDEX FUTURES MARKET. (2018). Kartsaklas, Aris. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:70:y:2018:i:3:p:226-250.

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2018ASYMMETRIES IN THE RESPONSES OF REGIONAL JOB FLOWS TO OIL PRICE SHOCKS. (2018). Karaki, Mohamad. In: Economic Inquiry. RePEc:bla:ecinqu:v:56:y:2018:i:3:p:1827-1845.

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2018The Performance of Market†Timing Strategies of Italian Mutual Fund Investors. (2018). Cagnazzo, Alberto ; Borri, Nicola. In: Economic Notes. RePEc:bla:ecnote:v:47:y:2018:i:1:p:5-20.

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2018Investor heterogeneity and trading. (2018). Knyazeva, Anzhela ; Kostovetsky, Leonard. In: European Financial Management. RePEc:bla:eufman:v:24:y:2018:i:4:p:680-718.

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2017Testing for Flexible Nonlinear Trends with an Integrated or Stationary Noise Component. (2017). Yabu, Tomoyoshi ; Shintani, Mototsugu ; Perron, Pierre. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:79:y:2017:i:5:p:822-850.

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2018The sparse method of simulated quantiles: An application to portfolio optimization. (2018). Stolfi, Paola ; Petrella, Lea ; Bernardi, Mauro. In: Statistica Neerlandica. RePEc:bla:stanee:v:72:y:2018:i:3:p:375-398.

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2017Specification analysis in regime-switching continuous-time diffusion models for market volatility. (2017). Ruijun, BU ; Kaddour, Hadri ; Jie, Cheng . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:21:y:2017:i:1:p:65-80:n:3.

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2018Specification Tests for Non-Gaussian Maximum Likelihood Estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: Working Papers. RePEc:cmf:wpaper:wp2018_1804.

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2019Uncertainty in Electricity Markets from a seminonparametric Approach. (2019). Perote, Javier ; Cortes, Lina M ; Trespalacios, Alfredo. In: Documentos de Trabajo CIEF. RePEc:col:000122:017304.

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2019Modeling the electricity spot price with switching regime semi-nonparametric distributions. (2019). Perote, Javier ; Cortés, Lina ; Cortes, Lina M ; Trespalacios, Alfredo. In: Documentos de Trabajo CIEF. RePEc:col:000122:017618.

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2017Belief Dispersion in the Stock Market. (2017). Basak, Suleyman ; Atmaz, Adem. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12056.

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2018Risk Everywhere: Modeling and Managing Volatility. (2018). Bollerslev, Tim ; Pedersen, Lasse Heje ; Huss, John ; Hood, Benjamin. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12687.

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2018A Practical Guide to Parallelization in Economics. (2018). Fernandez-Villaverde, Jesus ; Valencia, David Zarruk. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12890.

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2018Specification tests for non-Gaussian maximum likelihood estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12934.

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2019Equilibrium Counterfactuals. (2019). Hennessy, Christopher ; Chemla, Gilles. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14146.

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2018Agent-Based Models in Economics. (2018). Russo, Alberto ; Richiardi, Matteo ; Gallegati, Mauro ; Fagiolo, Giorgio ; Delli Gatti, Domenico. In: Cambridge Books. RePEc:cup:cbooks:9781108400046.

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2017The Application of Genetic Programming on the Stock Movement Forecasting System. (2017). Tsai, Yi-Chi ; Hong, Cheng-Yih. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-06-9.

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2018Measuring substitution in Chinas monetary-assets demand system. (2018). Jin, Man. In: China Economic Review. RePEc:eee:chieco:v:50:y:2018:i:c:p:117-132.

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2019Too big to change: How heterogeneous firms respond to time-of-use electricity price. (2019). Wu, Libo ; Su, Yun ; Ma, Rong ; Zhou, Yang. In: China Economic Review. RePEc:eee:chieco:v:58:y:2019:i:c:s1043951x19301038.

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2018Copula based generalized additive models for location, scale and shape with non-random sample selection. (2018). Wojty, Magorzata ; Radice, Rosalba ; Marra, Giampiero. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:127:y:2018:i:c:p:1-14.

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2019Correlated pseudo-marginal schemes for time-discretised stochastic kinetic models. (2019). Gillespie, Colin S ; Lowe, Tom ; Bradley, Emma ; Golightly, Andrew . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:136:y:2019:i:c:p:92-107.

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2020A least squares-type density estimator using a polynomial function. (2020). Im, Jongho ; Ha, Hyung-Tae ; Morikawa, Kosuke. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:144:y:2020:i:c:s0167947319302373.

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2020Benchmarking machine-learning software and hardware for quantitative economics. (2020). Duarte, Victor ; Montecinos, Alexis ; Fonseca, Julia. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:111:y:2020:i:c:s0165188919301939.

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2017How should a local regime-switching model be calibrated?. (2017). He, Xin-Jiang ; Zhu, Song-Ping. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:78:y:2017:i:c:p:149-163.

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2018Level and slope of volatility smiles in long-run risk models. (2018). Branger, Nicole ; Schlag, Christian ; Rodrigues, Paulo. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:86:y:2018:i:c:p:95-122.

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2018Model Complexity and Out-of-Sample Performance: Evidence from S&P 500 Index Returns. (2018). Kaeck, Andreas ; Seeger, Norman J ; Rodrigues, Paulo. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:90:y:2018:i:c:p:1-29.

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2018Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like. (2018). Oliva, I ; Reno, R. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:94:y:2018:i:c:p:242-256.

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2018Equilibrium variance risk premium in a cost-free production economy. (2018). Ruan, Xinfeng ; Zhang, Jin E. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:96:y:2018:i:c:p:42-60.

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2017Can volume predict Bitcoin returns and volatility? A quantiles-based approach. (2017). Roubaud, David ; GUPTA, RANGAN ; Bouri, Elie ; Balcilar, Mehmet. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:74-81.

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2017Fourier ADL cointegration test to approximate smooth breaks with new evidence from Crude Oil Market. (2017). Arčabić, Vladimir ; Lee, Hyejin ; Arabi, Vladimir ; Banerjee, Piyali. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:114-124.

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2018Managing change: Communication, managerial style and change in organizations. (2018). Wait, Andrew ; Smirnov, Vladimir ; Roland, BY. In: Economic Modelling. RePEc:eee:ecmode:v:69:y:2018:i:c:p:1-12.

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2018Baidu news information flow and return volatility: Evidence for the Sequential Information Arrival Hypothesis. (2018). Shen, Dehua ; Zhang, Wei ; Li, Xiao. In: Economic Modelling. RePEc:eee:ecmode:v:69:y:2018:i:c:p:127-133.

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2018Complex price dynamics in vertically linked cobweb markets. (2018). Miranda, Mario ; Chaudhry, Muhammad Imran. In: Economic Modelling. RePEc:eee:ecmode:v:72:y:2018:i:c:p:363-378.

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2019Modeling and forecasting return jumps using realized variation measures. (2019). Liu, YI ; Zhang, Lei. In: Economic Modelling. RePEc:eee:ecmode:v:76:y:2019:i:c:p:63-80.

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2019The relationship between trading activity and stock market volatility: Does the volume threshold matter?. (2019). Slim, Skander ; Koubaa, Yosra. In: Economic Modelling. RePEc:eee:ecmode:v:82:y:2019:i:c:p:168-184.

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2017Moments expansion densities for quantifying financial risk. (2017). Perote, Javier ; Iguez, Trino-Manuel . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:53-69.

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2017Behavior of the standard Dickey–Fuller test when there is a Fourier-form break under the null hypothesis. (2017). Yang, Lixiong ; Su, Jen-Je ; Lee, Chingnun. In: Economics Letters. RePEc:eee:ecolet:v:159:y:2017:i:c:p:128-133.

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2017Small stakes risk aversion in the laboratory: A reconsideration. (2017). Ross, Don ; Lau, Morten ; Harrison, Glenn ; Swarthout, Todd J. In: Economics Letters. RePEc:eee:ecolet:v:160:y:2017:i:c:p:24-28.

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2018Accounting for non-response bias using participation incentives and survey design: An application using gift vouchers. (2018). McGovern, Mark ; Barnighausen, Till ; Canning, David. In: Economics Letters. RePEc:eee:ecolet:v:171:y:2018:i:c:p:239-244.

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2019The influence of shock signals on the change in volatility term structure. (2019). CHOI, SUN-YONG . In: Economics Letters. RePEc:eee:ecolet:v:183:y:2019:i:c:29.

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2017Efficient estimation in models with independence restrictions. (2017). Poirier, Alexandre. In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:1:p:1-22.

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2017Inference in semiparametric conditional moment models with partial identification. (2017). Hong, Shengjie . In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:1:p:156-179.

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2017Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination. (2017). Christensen, Bent Jesper ; Varneskov, Rasmus Tangsgaard . In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:218-244.

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2017A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation. (2017). Hounyo, Ulrich ; Varneskov, Rasmus T. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:1:p:10-28.

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2017Chasing volatility. (2017). Rossi, Eduardo ; Caporin, Massimiliano ; de Magistris, Paolo Santucci. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:1:p:122-145.

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2017Simulated minimum distance estimation of dynamic models with errors-in-variables. (2017). Ng, Serena ; Komunjer, Ivana ; Gospodinov, Nikolay. In: Journal of Econometrics. RePEc:eee:econom:v:200:y:2017:i:2:p:181-193.

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2017Bayesian estimation of state space models using moment conditions. (2017). Ragusa, Giuseppe ; Gallant, Ronald A ; Giacomini, Raffaella. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:198-211.

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2018Nonparametric specification testing via the trinity of tests. (2018). Gupta, Abhimanyu. In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:1:p:169-185.

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2018Sieve maximum likelihood estimation of the spatial autoregressive Tobit model. (2018). Lee, Lung-Fei ; Xu, Xingbai. In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:1:p:96-112.

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2018Resolution of policy uncertainty and sudden declines in volatility. (2018). Amengual, Dante ; Xiu, Dacheng. In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:2:p:297-315.

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2018Statistical inference in efficient production with bad inputs and outputs using latent prices and optimal directions. (2018). Atkinson, Scott E ; Tsionas, Mike G ; Primont, Daniel . In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:2:p:131-146.

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2018Testing for jumps and jump intensity path dependence. (2018). Corradi, Valentina ; Swanson, Norman R ; Silvapulle, Mervyn J. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:2:p:248-267.

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2018The ABC of simulation estimation with auxiliary statistics. (2018). Ng, Serena ; Forneron, Jean-Jacques. In: Journal of Econometrics. RePEc:eee:econom:v:205:y:2018:i:1:p:112-139.

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2018Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale. (2018). Gallant, Ronald A ; Tauchen, George. In: Journal of Econometrics. RePEc:eee:econom:v:205:y:2018:i:1:p:140-155.

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2018New distribution theory for the estimation of structural break point in mean. (2018). Yu, Jun ; Wang, Xiaohu ; Jiang, Liang. In: Journal of Econometrics. RePEc:eee:econom:v:205:y:2018:i:1:p:156-176.

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2018Generalized indirect inference for discrete choice models. (2018). Keane, Michael ; Bruins, Marianne ; Smith, Anthony A ; Duffy, James A. In: Journal of Econometrics. RePEc:eee:econom:v:205:y:2018:i:1:p:177-203.

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2018Exit dynamics of start-up firms: Structural estimation using indirect inference. (2018). Golombek, Rolf ; Raknerud, Arvid. In: Journal of Econometrics. RePEc:eee:econom:v:205:y:2018:i:1:p:204-225.

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2018Misspecification of noncausal order in autoregressive processes. (2018). Jasiak, Joann ; gourieroux, christian. In: Journal of Econometrics. RePEc:eee:econom:v:205:y:2018:i:1:p:226-248.

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2018Estimating stable latent factor models by indirect inference. (2018). Halbleib, Roxana ; Calzolari, Giorgio. In: Journal of Econometrics. RePEc:eee:econom:v:205:y:2018:i:1:p:280-301.

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2018Penalized indirect inference. (2018). Blasques, Francisco ; Duplinskiy, Artem . In: Journal of Econometrics. RePEc:eee:econom:v:205:y:2018:i:1:p:34-54.

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2018Indirect Inference with endogenously missing exogenous variables. (2018). Chaudhuri, Saraswata ; Renault, Eric ; Frazier, David T. In: Journal of Econometrics. RePEc:eee:econom:v:205:y:2018:i:1:p:55-75.

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2018A two-step indirect inference approach to estimate the long-run risk asset pricing model. (2018). Grammig, Joachim ; Kuchlin, Eva-Maria. In: Journal of Econometrics. RePEc:eee:econom:v:205:y:2018:i:1:p:6-33.

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2018The asymptotic properties of GMM and indirect inference under second-order identification. (2018). Dovonon, Prosper ; Hall, Alastair R. In: Journal of Econometrics. RePEc:eee:econom:v:205:y:2018:i:1:p:76-111.

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2019On the estimation of treatment effects with endogenous misreporting. (2019). Tchernis, Rusty ; Denteh, Augustine ; Nguimkeu, Pierre. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:487-506.

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2019Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book. (2019). Winkelmann, Lars ; Neely, Christopher ; Bibinger, Markus. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:2:p:158-184.

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2019The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing. (2019). Veliyev, Bezirgen ; Thyrsgaard, Martin ; Christensen, Kim. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:2:p:556-583.

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More than 100 citations found, this list is not complete...

A. Ronald Gallant is editor of


Journal
Journal of Econometrics

A. Ronald Gallant has edited the books:


YearTitleTypeCited

Works by A. Ronald Gallant:


YearTitleTypeCited
2009On the Determination of General Scientific Models With Application to Asset Pricing In: Journal of the American Statistical Association.
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article1
2002Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes. In: Journal of Business & Economic Statistics.
[Citation analysis]
article78
2002Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Reply. In: Journal of Business & Economic Statistics.
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article46
2007Comment In: Journal of Business & Economic Statistics.
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article0
2002Alternative Models for Stock Price Dynamics In: CIRANO Working Papers.
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paper394
2002Alternative Models for Stock Price Dynamic.(2002) In: Working Papers.
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This paper has another version. Agregated cites: 394
paper
2003Alternative models for stock price dynamics.(2003) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 394
article
1999A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation In: CIRANO Working Papers.
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paper23
2013Generalized Method of Moments with Latent Variables In: CEPR Discussion Papers.
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paper4
2013Generalized method of moments with latent variables.(2013) In: CeMMAP working papers.
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This paper has another version. Agregated cites: 4
paper
1996Which Moments to Match? In: Econometric Theory.
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article454
1995Which Moments to Match.(1995) In: Working Papers.
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This paper has another version. Agregated cites: 454
paper
1991Adaptive Rules for Seminonparametric Estimators That Achieve Asymptotic Normality In: Econometric Theory.
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article31
1997ESTIMATION OF CONTINUOUS-TIME MODELS FOR STOCK RETURNS AND INTEREST RATES In: Macroeconomic Dynamics.
[Full Text][Citation analysis]
article35
1995Estimation of Continuous Time Models for Stock Returns and Interest Rates.(1995) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 35
paper
2000SEPARABILITY, AGGREGATION, AND EULER EQUATION ESTIMATION In: Macroeconomic Dynamics.
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article1
2000Using Daily Range Data to Calibrate Volatility Diffusions and Extract the Forward Integrated Variance In: Working Papers.
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paper106
1999Using Daily Range Data To Calibrate Volatility Diffusions And Extract The Forward Integrated Variance.(1999) In: The Review of Economics and Statistics.
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This paper has another version. Agregated cites: 106
article
2000Cross Validated SNP Density Estimates In: Working Papers.
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paper19
2002Cross-validated SNP density estimates.(2002) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 19
article
2002Efficient Method of Moments In: Working Papers.
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paper2
2002Simulated Score Methods and Indirect Inference for Continuous-time Models In: Working Papers.
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paper8
2010Sign switching behavior of cross-county interest rate correlations: Theory and Evidence In: Working Papers.
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paper0
2010Dynamic Entry with Cross Product Spillovers: An Application to the Generic Drug Industry In: Working Papers.
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paper1
2010Habit, Long-Run Risks, Prospect? A Statistical Inquiry. In: Working Papers.
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paper7
2010Tapping the Supercomputer Under Your Desk: Solving Dynamic Equilibrium Models with Graphics Processors In: Working Papers.
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paper43
2011Tapping the supercomputer under your desk: Solving dynamic equilibrium models with graphics processors.(2011) In: Journal of Economic Dynamics and Control.
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This paper has another version. Agregated cites: 43
article
2010Tapping the Supercomputer Under Your Desk: Solving Dynamic Equilibrium Models with Graphics Processors.(2010) In: NBER Working Papers.
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This paper has another version. Agregated cites: 43
paper
2010Tapping the Supercomputer Under Your Desk: Solving Dynamic Equilibrium Models with Graphics Processors.(2010) In: PIER Working Paper Archive.
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This paper has another version. Agregated cites: 43
paper
2012Bayesian Estimation of a Dynamic Game with Endogenous, Partially Observed, Serially Correlated State In: Working Papers.
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paper0
1995SNP: A Program for Nonparametric Time Series Analysis. Version 8.4. Users Guide In: Working Papers.
[Full Text][Citation analysis]
paper2
1995EMM: A Program for Efficient Method of Moments Estimation. Version 1.1. Users Guide In: Working Papers.
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paper0
1995Estimation of Stochastic Volatility Models with Diagnostics In: Working Papers.
[Citation analysis]
paper135
1997Estimation of stochastic volatility models with diagnostics.(1997) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 135
article
1995Specification Analysis of Continuous Time Models in Finance In: Working Papers.
[Citation analysis]
paper0
1996The Nonlinear Mixed Effects Model with a Smooth Random Effects Density In: Working Papers.
[Citation analysis]
paper0
1996Qualitative and Asymptotic Performance of SNP Density Estimators In: Working Papers.
[Citation analysis]
paper41
1996Qualitative and asymptotic performance of SNP density estimators.(1996) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 41
article
1996Comments on Calibration In: Working Papers.
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paper0
1996Estimating Stochastic Differential Equations Efficiently by Minimum Chi-Square In: Working Papers.
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paper3
1997Reprojecting Partially Observed Systems with Application to Interest Rate Diffusions In: Working Papers.
[Citation analysis]
paper6
1980Statistical Inference in an Implicit, Nonlinear, Simultaneous Equation Model in the Context of Maximum Likelihood Estimation. In: Econometrica.
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article18
1983An Elasticity Can Be Estimated Consistently without A Priori Knowledge of Functional Form. In: Econometrica.
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article26
1987Semi-nonparametric Maximum Likelihood Estimation. In: Econometrica.
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article292
1989Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications. In: Econometrica.
[Full Text][Citation analysis]
article137
1988SEMINONPARAMETRIC ESTIMATION OF CONDITIONALLY CONSTRAINED HETEROGENEOUS PROCESSES: ASSET PRICING APPLICATIONS.(1988) In: Chicago - Graduate School of Business.
[Citation analysis]
This paper has another version. Agregated cites: 137
paper
1993Nonlinear Dynamic Structures. In: Econometrica.
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article223
1996Convergence Rates of SNP Density Estimators. In: Econometrica.
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article19
1996Erratum [Convergence Rates of SNP Density Estimators]. In: Econometrica.
[Citation analysis]
article12
2003Purebred or hybrid?: Reproducing the volatility in term structure dynamics In: Journal of Econometrics.
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article12
1979Statistical inference for a system of simultaneous, non-linear, implicit equations in the context of instrumental variable estimation In: Journal of Econometrics.
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article100
1980Computations for constrained linear models In: Journal of Econometrics.
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article0
2008A Gaussian approximation scheme for computation of option prices in stochastic volatility models In: Journal of Econometrics.
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article1
1981On the bias in flexible functional forms and an essentially unbiased form : The fourier flexible form In: Journal of Econometrics.
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article321
1982Unbiased determination of production technologies In: Journal of Econometrics.
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article133
1983The null and non-null asymptotic distribution of the Cox test for multivariate nonlinear regression: Alternatives and a new distribution-free Cox test In: Journal of Econometrics.
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article1
1984Costs and benefits of peak-load pricing of electricity : A continuous-time econometric approach In: Journal of Econometrics.
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article6
1984Imposing curvature restrictions on flexible functional forms In: Journal of Econometrics.
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article79
1982Imposing Curvature Restrictions on Flexible Functional Forms.(1982) In: Discussion Papers.
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This paper has another version. Agregated cites: 79
paper
1985Estimating substitution elasticities with the Fourier cost function : Some Monte Carlo results In: Journal of Econometrics.
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article34
1985Editors introduction In: Journal of Econometrics.
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article0
1985Explicitly infinite-dimensional Bayesian analysis of production technologies In: Journal of Econometrics.
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article1
1975Seemingly unrelated nonlinear regressions In: Journal of Econometrics.
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article42
1990Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution In: Journal of Econometrics.
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article56
1991On the asymptotic normality of Fourier flexible form estimates In: Journal of Econometrics.
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article36
1977Three-stage least-squares estimation for a system of simultaneous, nonlinear, implicit equations In: Journal of Econometrics.
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article35
1995Nonparametric estimation of structural models for high-frequency currency market data In: Journal of Econometrics.
[Full Text][Citation analysis]
article59
1997A single-blind controlled competition among tests for nonlinearity and chaos In: Journal of Econometrics.
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article115
2012A SINGLE-BLIND CONTROLLED COMPETITION AMONG TESTS FOR NONLINEARITY AND CHAOS*.(2012) In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS.
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This paper has another version. Agregated cites: 115
paper
1996A Single-Blind Controlled Competition among Tests for Nonlinearity and Chaos.(1996) In: Econometrics.
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This paper has another version. Agregated cites: 115
paper
1999The relative efficiency of method of moments estimators1 In: Journal of Econometrics.
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article21
1995Robustness of nonlinearity and chaos tests to measurement error, inference method, and sample size In: Journal of Economic Behavior & Organization.
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article38
2015Measuring Ambiguity Aversion In: Finance and Economics Discussion Series.
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paper3
2018Does Smooth Ambiguity Matter for Asset Pricing? In: International Finance Discussion Papers.
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paper0
1988ON FITTING A RECALCITRANT SERIES: THE POUND/DOLLAR EXCHANGE RATE, 1974- 83 In: Chicago - Graduate School of Business.
[Citation analysis]
paper2
1975Diffuse Decision-Making in Hierarchical Organizations: An Empirical Examination In: Management Science.
[Full Text][Citation analysis]
article0
2007Rational Pessimism, Rational Exuberance, and Asset Pricing Models In: NBER Working Papers.
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paper53
2007Rational Pessimism, Rational Exuberance, and Asset Pricing Models.(2007) In: Review of Economic Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 53
article
1992Stock Prices and Volume. In: Review of Financial Studies.
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article448
2008Estimating Dynamic Games of Complete Information with an Application to the Generic Pharmaceutical Industry In: 2008 Meeting Papers.
[Full Text][Citation analysis]
paper0
Reproducing Partial Observed Systems with Application to Interest Rate Diffusions In: Computing in Economics and Finance 1997.
[Full Text][Citation analysis]
paper0

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