A. Ronald Gallant : Citation Profile


Are you A. Ronald Gallant?

Pennsylvania State University

27

H index

35

i10 index

3883

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: 90
   Journals where A. Ronald Gallant has often published
   Relations with other researchers
   Recent citing documents: 162.    Total self citations: 18 (0.46 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pga696
   Updated: 2020-10-17    RAS profile: 2015-05-28    
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Relations with other researchers


Works with:

Jahan-Parvar, Mohammad (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:

Bollerslev, Tim (76)

Andersen, Torben (76)

Barnett, William (68)

Serletis, Apostolos (62)

McAleer, Michael (47)

Ghysels, Eric (47)

Asai, Manabu (43)

Perote, Javier (34)

Shephard, Neil (34)

Zhang, Harold (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)

Lettau, Martin (8)

Ludvigson, Sydney (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 (2020 and 2019)


YearTitle of citing document
2020The Relationship between Unemployment Rates and Renewable Energy Consumption: Evidence from Fourier ADL Cointegration Test. (2020). Author-Nameemel, Veli Yilanci. In: Alphanumeric Journal. RePEc:anm:alpnmr:v:8:y:2020:i:1:p:17-28.

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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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2020Varying Random Coefficient Models. (2019). hoderlein, stefan ; Breunig, Christoph. In: Papers. RePEc:arx:papers:1804.03110.

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2020Stochastic 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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2020A Sieve-SMM Estimator for Dynamic Models. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1902.01456.

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2019Elicitation of ambiguous beliefs with mixing bets. (2019). Schmidt, Patrick. In: Papers. RePEc:arx:papers:1902.07447.

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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). Baronchelli, Andrea ; Gallo, Angela ; Lepri, Bruno ; Alessandretti, Laura ; Lucchini, Lorenzo. In: Papers. RePEc:arx:papers:2004.07290.

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2020Revealing Cluster Structures Based on Mixed Sampling Frequencies. (2020). Ahn, Hie Joo ; Liu, Yun ; Rho, Yeonwoo. 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). Lillo, Fabrizio ; Campajola, Carlo ; Zaoli, Silvia ; Mazzarisi, Piero. In: Papers. RePEc:arx:papers:2005.01160.

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2020Covid-19 impact on cryptocurrencies: evidence from a wavelet-based Hurst exponent. (2020). Fernandez Bariviera, Aurelio ; Vampa, Victoria ; Pastor, Ver'Onica E ; Arouxet, Bel'En M. In: Papers. RePEc:arx:papers:2009.05652.

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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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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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2020Nonparametric Euler Equation Identi?cation and Estimation. (2020). Srisuma, S ; Linton, O ; Lewbel, A ; Hoderlein, S ; Escanciano, J C. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2064.

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2020Cum-Ex Trading – The Biggest Fraud in History?. (2020). Wei, Xiaopeng ; Wagner, Moritz. In: Working Papers in Economics. RePEc:cbt:econwp:20/19.

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2020What can be learned from the free destination option in the LNG imbroglio?. (2020). Massol, Olivier ; Cretti, Anna ; Baba, Amina. In: Working Papers. RePEc:cec:wpaper:2004.

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2020Intra-Industry Transfer of Information Inferred From Trading Volume. (2020). Hanousek, Jan ; Tresl, Jiri ; Ferris, Stephen P ; Brushko, Iuliia. In: CERGE-EI Working Papers. RePEc:cer:papers:wp663.

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

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2020Copula-Based Time Series With Filtered Nonstationarity. (2020). Wang, BO ; Xiao, Zhijie ; Chen, Xiaohong. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2242.

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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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2020Chaotic signals inside some tick-by-tick financial time series. (2020). Escot, Lorenzo ; Sandubete, Julio E. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:137:y:2020:i:c:s0960077920302526.

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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). Ha, Hyung-Tae ; Morikawa, Kosuke ; Im, Jongho. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:144:y:2020:i:c:s0167947319302373.

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2020Automatic identification of curve shapes with applications to ultrasonic vocalization. (2020). Lin, Jeff ; Wu, Guangying K ; Wang, Huixia Judy ; Tang, Yanlin ; Gao, Zhikun. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:148:y:2020:i:c:s0167947320300475.

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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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2020A hardware approach to value function iteration. (2020). Peri, Alessandro. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:114:y:2020:i:c:s0165188920300622.

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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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2020Impact of volatility jumps in a mean-reverting model: Derivative pricing and empirical evidence. (2020). Chen, Ting-Fu ; Chiu, Hsin-Yu . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819300026.

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2020Positional momentum and liquidity management; a bivariate rank approach. (2020). Panahidargahloo, Akram. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819302232.

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2020Jump probability using volatility periodicity filters in US Dollar/Euro exchange rates. (2020). Yi, Chae-Deug. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:53:y:2020:i:c:s1062940820300814.

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2020Contract Design for Adoption of Agrienvironmental Practices: A Meta-analysis of Discrete Choice Experiments. (2020). Minviel, Jean Joseph ; Fares, M'Hand ; Mamine, Fateh. In: Ecological Economics. RePEc:eee:ecolec:v:176:y:2020:i:c:s0921800918313867.

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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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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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2019Indirect inference with a non-smooth criterion function. (2019). Oka, Tatsushi ; Frazier, David T ; Zhu, Dan. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:2:p:623-645.

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2020Fully modified OLS estimation and inference for seemingly unrelated cointegrating polynomial regressions and the environmental Kuznets curve for carbon dioxide emissions. (2020). Wagner, Martin ; Hong, Seung Hyun ; Grabarczyk, Peter. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:1:p:216-255.

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2020Variance disparity and market frictions. (2020). Park, Yang-Ho. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:2:p:326-348.

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2020Inference for local distributions at high sampling frequencies: A bootstrap approach. (2020). Varneskov, Rasmus T ; Hounyo, Ulrich. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:1:p:1-34.

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2020Twisted probabilities, uncertainty, and prices. (2020). Sargent, Thomas J ; Han, Lloyd S ; Szke, Balint ; Hansen, Lars Peter. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:151-174.

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2020Nonparametric analysis of a duration model with stochastic unobserved heterogeneity. (2020). Botosaru, Irene. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:1:p:112-139.

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2020Multivariate leverage effects and realized semicovariance GARCH models. (2020). Quaedvlieg, Rogier ; Bollerslev, Tim ; Patton, Andrew J. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:411-430.

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2020Accurate and robust inference. (2020). Ronchetti, Elvezio. In: Econometrics and Statistics. RePEc:eee:ecosta:v:14:y:2020:i:c:p:74-88.

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2019Commonality in liquidity among Middle East and North Africa emerging stock markets: Does it really matter?. (2019). Ftiti, Zied ; Hadhri, Sinda. In: Economic Systems. RePEc:eee:ecosys:v:43:y:2019:i:3:s0939362518302358.

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2020Economic indicators and stock market volatility in an emerging economy. (2020). Ryu, Doojin ; Cho, Hoon ; Chun, Dohyun. In: Economic Systems. RePEc:eee:ecosys:v:44:y:2020:i:2:s0939362518305594.

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2020Equilibrium homophily in networks. (2020). Boucher, Vincent. In: European Economic Review. RePEc:eee:eecrev:v:123:y:2020:i:c:s0014292120300027.

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2019Exact simulation of the Ornstein–Uhlenbeck driven stochastic volatility model. (2019). Wu, Linjia ; Li, Chenxu. In: European Journal of Operational Research. RePEc:eee:ejores:v:275:y:2019:i:2:p:768-779.

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2020On a High-Dimensional Model Representation method based on Copulas. (2020). Andrikopoulos, Athanasios ; Tsionas, Mike G. In: European Journal of Operational Research. RePEc:eee:ejores:v:284:y:2020:i:3:p:967-979.

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2020Structural estimation of switching costs for peaking power plants. (2020). Fleten, Stein-Erik ; Stein- Erik Fleten, ; Ullrich, Carl J ; Pichler, Alois ; Haugom, Erik. In: European Journal of Operational Research. RePEc:eee:ejores:v:285:y:2020:i:1:p:23-33.

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2019Bond and option prices with permanent shocks. (2019). Al-Zoubi, Haitham A. In: Journal of Empirical Finance. RePEc:eee:empfin:v:53:y:2019:i:c:p:272-290.

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2019The effects of oil price shocks on Asian exchange rates: Evidence from quantile regression analysis. (2019). Nusair, Salah ; Olson, Dennis. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:44-63.

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2019Time-varying volatility spillover between Chinese fuel oil and stock index futures markets based on a DCC-GARCH model with a semi-nonparametric approach. (2019). Wen, Fenghua ; Li, Steven ; Hou, Yang. In: Energy Economics. RePEc:eee:eneeco:v:83:y:2019:i:c:p:119-143.

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2020Public-private partnerships investment in energy as new determinant of CO2 emissions: The role of technological innovations in China. (2020). Shahbaz, Muhammad ; Raghutla, Chandrashekar ; Jiao, Zhilun ; Zameer, Hashim ; Song, Malin. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988320300037.

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2020Price and volatility linkages between international REITs and oil markets. (2020). Soytas, Ugur ; GUPTA, RANGAN ; Gormus, Alper ; Nazlioglu, Saban. In: Energy Economics. RePEc:eee:eneeco:v:88:y:2020:i:c:s0140988320301195.

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2020What can be learned from the free destination option in the LNG imbroglio?. (2020). Massol, Olivier ; Creti, Anna ; Baba, Amina. In: Energy Economics. RePEc:eee:eneeco:v:89:y:2020:i:c:s0140988320301043.

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2020Uncertainty in electricity markets from a semi-nonparametric approach. (2020). Perote, Javier ; Cortes, Lina M ; Trespalacios, Alfredo. In: Energy Policy. RePEc:eee:enepol:v:137:y:2020:i:c:s0301421519306780.

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2020Risk quantification for commodity ETFs: Backtesting value-at-risk and expected shortfall. (2020). Perote, Javier ; Mora-Valencia, Andrés ; del Brio, Esther B. In: International Review of Financial Analysis. RePEc:eee:finana:v:70:y:2020:i:c:s1057521917301801.

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2020Information-based trading and information propagation: Evidence from the exchange traded fund market. (2020). Zhao, Yang ; Xu, LU. In: International Review of Financial Analysis. RePEc:eee:finana:v:70:y:2020:i:c:s1057521920301393.

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2019New monetary services (Divisia) indexes for the post-war U.S. (2019). Jones, Barry ; Duca, John ; Anderson, Richard G ; Fleissig, Adrian R. In: Journal of Financial Stability. RePEc:eee:finsta:v:42:y:2019:i:c:p:3-17.

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2019Approximate Bayesian forecasting. (2019). , Brendan ; Martin, Gael M ; Maneesoonthorn, Worapree ; Frazier, David T. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:2:p:521-539.

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2019Heterogeneous component multiplicative error models for forecasting trading volumes. (2019). Storti, Giuseppe ; Naimoli, Antonio. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:4:p:1332-1355.

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2019Does efficiency help banks survive and thrive during financial crises?. (2019). Tsionas, Mike ; Berger, Allen N ; Assaf, George A ; Roman, Raluca A. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:106:y:2019:i:c:p:445-470.

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2020VIX valuation and its futures pricing through a generalized affine realized volatility model with hidden components and jump. (2020). Wang, Zerong. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:116:y:2020:i:c:s0378426620301114.

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2020Modeling asset returns under time-varying semi-nonparametric distributions. (2020). Iguez, Trino-Manuel ; Leon, Angel. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:118:y:2020:i:c:s0378426620301369.

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2019Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets. (2019). Leippold, Markus ; Gourier, Elise ; Bardgett, Chris. In: Journal of Financial Economics. RePEc:eee:jfinec:v:131:y:2019:i:3:p:593-618.

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2019Gold, platinum, and expected stock returns. (2019). Kilic, Mete ; Huang, Darien. In: Journal of Financial Economics. RePEc:eee:jfinec:v:132:y:2019:i:3:p:50-75.

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2020Pricing structured products with economic covariates. (2020). Jacobs, Kris ; Doshi, Hitesh ; Choi, Yongseok ; Turnbull, Stuart M. In: Journal of Financial Economics. RePEc:eee:jfinec:v:135:y:2020:i:3:p:754-773.

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2020Predictability and pricing efficiency in forward and spot, developed and emerging currency markets. (2020). Conlon, Thomas ; Levich, Richard ; Poti, Valerio. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:107:y:2020:i:c:s0261560620301790.

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2019Oil prices and the U.S. economy: Evidence from the stock market. (2019). Thorbecke, Willem. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:61:y:2019:i:c:13.

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2020Radial basis functions neural networks for nonlinear time series analysis and time-varying effects of supply shocks. (2020). Kanazawa, Nobuyuki. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:64:y:2020:i:c:s0164070420301361.

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2020Employment and energy uncertainty. (2020). Elder, John. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:21:y:2020:i:c:s1703494920300062.

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2019Natural resources as blessings and finance-growth nexus: A bootstrap ARDL approach in an emerging economy. (2019). Roubaud, David ; Lahiani, Amine ; Nawaz, Kishwar . In: Resources Policy. RePEc:eee:jrpoli:v:60:y:2019:i:c:p:277-287.

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2019Should central banks use the currency futures market to manage spot volatility? Evidence from India. (2019). Biswal, P C ; Jain, Anshul. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:52-53:y:2019:i::s1042444x18302330.

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2019Downside jump risk and the levels of futures-cash basis. (2019). Chen, Chin-Ho. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:57:y:2019:i:c:s0927538x19300745.

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2019Low-volume return premium in the Korean stock market. (2019). Kang, Mhin ; Chae, Joon. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:58:y:2019:i:c:s0927538x1930160x.

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2019The sidedness and informativeness of ETF trading and the market efficiency of their underlying indexes. (2019). Yin, Xiangkang ; Zhao, Jing ; Xu, Liao. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:58:y:2019:i:c:s0927538x19303051.

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2019Pricing formula for European currency option and exchange option in a generalized jump mixed fractional Brownian motion with time-varying coefficients. (2019). Ri, Ju-Hyuang ; Kim, Nam-Ung ; Yun, Sim. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:522:y:2019:i:c:p:215-231.

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2019New dynamics between volume and volatility. (2019). Qiao, Zhi ; Gui, Jun ; Zheng, Zeyu ; Li, Baowen ; Stanley, Eugene H ; Fu, Yang. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:525:y:2019:i:c:p:1343-1350.

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2020Efficient hedging currency options in fractional Brownian motion model with jumps. (2020). Ri, Ju-Hyang ; Ju, Dong-Chol ; Kim, Nam-Ung. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:539:y:2020:i:c:s0378437119316309.

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2020Measuring systematic risk with neural network factor model. (2020). Huh, Jeonggyu. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:542:y:2020:i:c:s037843711931893x.

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2020David vs Goliath (You against the Markets), A dynamic programming approach to separate the impact and timing of trading costs. (2020). Kashyap, Ravi. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:545:y:2020:i:c:s0378437119316206.

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2020More giving or more givers? The effects of tax incentives on charitable donations in the UK. (2020). Almunia, Miguel ; Lockwood, Ben ; Guceri, Irem ; Scharf, Kimberley. In: Journal of Public Economics. RePEc:eee:pubeco:v:183:y:2020:i:c:s0047272719301768.

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2020Dynamic transmissions between main stock markets and SME stock markets: Evidence from tropical economies. (2020). Chaiechi, Taha ; Nguyen, Trang ; Low, David ; Eagle, Lynne. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:75:y:2020:i:c:p:308-324.

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2019Examining volatility dynamics, spillovers and government water recovery in Murray-Darling Basin water markets. (2019). Zuo, Alec ; Wheeler, Sarah Ann ; Qiu, Feng. In: Resource and Energy Economics. RePEc:eee:resene:v:58:y:2019:i:c:s0928765518304585.

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2019Asset pricing with time varying pessimism and rare disasters. (2019). Wu, Ji ; Liu, Hening ; Kong, Dongmin ; Zhang, Jian. In: International Review of Economics & Finance. RePEc:eee:reveco:v:60:y:2019:i:c:p:165-175.

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2019The economic sources of Chinas CSI 300 spot and futures volatilities before and after the 2015 stock market crisis. (2019). Gong, Yuting ; Chen, Qiang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:64:y:2019:i:c:p:102-121.

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2020Lead-lag relationship between spot and futures stock indexes: Intraday data and regime-switching models. (2020). Salvador, Enrique ; Arago, Vicent ; Alemany, Nuria. In: International Review of Economics & Finance. RePEc:eee:reveco:v:68:y:2020:i:c:p:269-280.

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2020Movements in international bond markets: The role of oil prices. (2020). GUPTA, RANGAN ; Bouri, Elie ; Nazlioglu, Saban. In: International Review of Economics & Finance. RePEc:eee:reveco:v:68:y:2020:i:c:p:47-58.

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2019The impact of competition on cost efficiency of insurance and takaful sectors: Evidence from GCC markets based on the Stochastic Frontier Analysis. (2019). SAITI, BUERHAN ; Bin, Syed Musa ; Alshammari, Ahmad Alrazni. In: Research in International Business and Finance. RePEc:eee:riibaf:v:47:y:2019:i:c:p:410-427.

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2020How does economic policy uncertainty affect the bitcoin market?. (2020). Zhang, Wei ; Shen, Dehua ; Li, Xiao ; Wang, Pengfei. In: Research in International Business and Finance. RePEc:eee:riibaf:v:53:y:2020:i:c:s0275531919308037.

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2020GARCH quasi-likelihood ratios for SV model and the diffusion limit. (2020). Wang, Yazhen ; Song, Xinyu. In: Statistics & Probability Letters. RePEc:eee:stapro:v:165:y:2020:i:c:s0167715220301206.

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2019Implications of return predictability for consumption dynamics and asset pricing. (2019). Yang, Haoxi ; Tamoni, Andrea ; Ortu, Fulvio ; Favero, Carlo A. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:90426.

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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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article2
2002Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes. In: Journal of Business & Economic Statistics.
[Citation analysis]
article79
2002Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Reply. In: Journal of Business & Economic Statistics.
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article47
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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paper405
2002Alternative Models for Stock Price Dynamic.(2002) In: Working Papers.
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This paper has another version. Agregated cites: 405
paper
2003Alternative models for stock price dynamics.(2003) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 405
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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4
paper
1996Which Moments to Match? In: Econometric Theory.
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article459
1995Which Moments to Match.(1995) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 459
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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paper109
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: 109
article
2000Cross Validated SNP Density Estimates In: Working Papers.
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paper18
2002Cross-validated SNP density estimates.(2002) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 18
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.
[Full Text][Citation analysis]
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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paper44
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: 44
article
2010Tapping the Supercomputer Under Your Desk: Solving Dynamic Equilibrium Models with Graphics Processors.(2010) In: PIER Working Paper Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 44
paper
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: 44
paper
2012Bayesian Estimation of a Dynamic Game with Endogenous, Partially Observed, Serially Correlated State In: Working Papers.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]
paper0
1995Estimation of Stochastic Volatility Models with Diagnostics In: Working Papers.
[Citation analysis]
paper138
1997Estimation of stochastic volatility models with diagnostics.(1997) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 138
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]
paper42
1996Qualitative and asymptotic performance of SNP density estimators.(1996) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 42
article
1996Comments on Calibration In: Working Papers.
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paper0
1996Estimating Stochastic Differential Equations Efficiently by Minimum Chi-Square In: Working Papers.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]
article18
1983An Elasticity Can Be Estimated Consistently without A Priori Knowledge of Functional Form. In: Econometrica.
[Full Text][Citation analysis]
article27
1987Semi-nonparametric Maximum Likelihood Estimation. In: Econometrica.
[Full Text][Citation analysis]
article303
1989Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications. In: Econometrica.
[Full Text][Citation analysis]
article143
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: 143
paper
1993Nonlinear Dynamic Structures. In: Econometrica.
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article233
1996Convergence Rates of SNP Density Estimators. In: Econometrica.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]
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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article333
1982Unbiased determination of production technologies In: Journal of Econometrics.
[Full Text][Citation analysis]
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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article7
1984Imposing curvature restrictions on flexible functional forms In: Journal of Econometrics.
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article81
1982Imposing Curvature Restrictions on Flexible Functional Forms.(1982) In: Discussion Papers.
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This paper has another version. Agregated cites: 81
paper
1985Estimating substitution elasticities with the Fourier cost function : Some Monte Carlo results In: Journal of Econometrics.
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article35
1985Editors introduction In: Journal of Econometrics.
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article0
1985Explicitly infinite-dimensional Bayesian analysis of production technologies In: Journal of Econometrics.
[Full Text][Citation analysis]
article1
1975Seemingly unrelated nonlinear regressions In: Journal of Econometrics.
[Full Text][Citation analysis]
article45
1990Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution In: Journal of Econometrics.
[Full Text][Citation analysis]
article59
1991On the asymptotic normality of Fourier flexible form estimates In: Journal of Econometrics.
[Full Text][Citation analysis]
article38
1977Three-stage least-squares estimation for a system of simultaneous, nonlinear, implicit equations In: Journal of Econometrics.
[Full Text][Citation analysis]
article35
1995Nonparametric estimation of structural models for high-frequency currency market data In: Journal of Econometrics.
[Full Text][Citation analysis]
article60
1997A single-blind controlled competition among tests for nonlinearity and chaos In: Journal of Econometrics.
[Full Text][Citation analysis]
article120
2012A SINGLE-BLIND CONTROLLED COMPETITION AMONG TESTS FOR NONLINEARITY AND CHAOS*.(2012) In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 120
paper
1996A Single-Blind Controlled Competition among Tests for Nonlinearity and Chaos.(1996) In: Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 120
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.
[Full Text][Citation analysis]
article40
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.
[Full Text][Citation analysis]
paper2
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.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]
article468
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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