A. Ronald Gallant : Citation Profile

Are you A. Ronald Gallant?

Pennsylvania State University

30

H index

38

i10 index

4799

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: 111
   Journals where A. Ronald Gallant has often published
   Relations with other researchers
   Recent citing documents: 210.    Total self citations: 18 (0.37 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pga696
   Updated: 2023-03-25    RAS profile: 2015-05-28    
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Relations with other researchers

Works with:

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 (86)

Bollerslev, Tim (82)

Barnett, William (74)

Serletis, Apostolos (65)

Ghysels, Eric (50)

Shephard, Neil (42)

Asai, Manabu (41)

Diebold, Francis (38)

Calzolari, Giorgio (34)

Perote, Javier (34)

Zhang, Harold (34)

Cites to:

Tauchen, George (63)

Hansen, Lars (14)

Ghysels, Eric (14)

Engle, Robert (13)

Renault, Eric (12)

Singleton, Kenneth (12)

Barnett, William (11)

Bollerslev, Tim (10)

Lettau, Martin (8)

Harvey, Andrew (8)

Kreps, David (8)

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
NBER Working Papers / National Bureau of Economic Research, Inc2

Recent works citing A. Ronald Gallant (2022 and 2021)

YearTitle of citing document
2022.

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2023A fractional Hawkes process for illiquidity modeling. (2023). Hainaut, Donatien ; Dupret, Jean-Loup. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2023001.

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2023A Sieve-SMM Estimator for Dynamic Models. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1902.01456.

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2022Elicitation of ambiguous beliefs with mixing bets. (2019). Schmidt, Patrick. In: Papers. RePEc:arx:papers:1902.07447.

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2021An 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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2021Revealing 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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2021Tail 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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2021Narrow Bracketing in Work Choices. (2021). Fallucchi, Francesco ; Kaufmann, Marc . In: Papers. RePEc:arx:papers:2101.04529.

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2022Consistent specification testing under spatial dependence. (2021). Gupta, Abhimanyu ; Qu, XI. In: Papers. RePEc:arx:papers:2101.10255.

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2021Deep Structural Estimation: With an Application to Option Pricing. (2021). Scheidegger, Simon ; Didisheim, Antoine ; Chen, Hui. In: Papers. RePEc:arx:papers:2102.09209.

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2021Hermite Polynomial-based Valuation of American Options with General Jump-Diffusion Processes. (2021). Chen, LI ; Zhang, Guang. In: Papers. RePEc:arx:papers:2104.11870.

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2021Three Remarks On Asset Pricing. (2021). Olkhov, Victor. In: Papers. RePEc:arx:papers:2105.13903.

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2021A Numerical Approach to Pricing Exchange Options under Stochastic Volatility and Jump-Diffusion Dynamics. (2021). , Gerald ; Dominic, Len Patrick. In: Papers. RePEc:arx:papers:2106.07362.

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2022Variational Bayes in State Space Models: Inferential and Predictive Accuracy. (2022). Loaiza Maya, Rubén ; Martin, Gael M ; Loaiza-Maya, Ruben ; Frazier, David T. In: Papers. RePEc:arx:papers:2106.12262.

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2022A Lucas Critique Compliant SVAR model with Observation-driven Time-varying Parameters. (2021). Corsi, Fulvio ; Bormetti, Giacomo. In: Papers. RePEc:arx:papers:2107.05263.

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2022Inference in high-dimensional regression models without the exact or $L^p$ sparsity. (2021). Sasaki, Yuya ; Chiang, Harold D ; Cha, Jooyoung. In: Papers. RePEc:arx:papers:2108.09520.

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2021Stochastic volatility model with range-based correction and leverage. (2021). Kurose, Yuta. In: Papers. RePEc:arx:papers:2110.00039.

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2021Autoregressive conditional duration modelling of high frequency data. (2021). Yan, Xiufeng. In: Papers. RePEc:arx:papers:2111.02300.

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2021Multiplicative Component GARCH Model of Intraday Volatility. (2021). Yan, Xiufeng. In: Papers. RePEc:arx:papers:2111.02376.

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2022Semi-nonparametric Estimation of Operational Risk Capital with Extreme Loss Events. (2021). Cosslett, Stephen R ; Chen, Heng Z. In: Papers. RePEc:arx:papers:2111.11459.

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2022Efficient Likelihood-based Estimation via Annealing for Dynamic Structural Macrofinance Models. (2022). Li, Junye ; Heng, Jeremy ; Fulop, Andras. In: Papers. RePEc:arx:papers:2201.01094.

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2022Introduction of the Market-Based Price Autocorrelation. (2022). Olkhov, Victor. In: Papers. RePEc:arx:papers:2202.09323.

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2022Discrimination Against Immigrants in the Criminal Justice System: Evidence from Pretrial Detentions. (2022). Dom, Patricio ; Vergara, Dami'An ; Grau, Nicol'As. In: Papers. RePEc:arx:papers:2202.10685.

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2022Fast Simulation-Based Bayesian Estimation of Heterogeneous and Representative Agent Models using Normalizing Flow Neural Networks. (2022). Fen, Cameron. In: Papers. RePEc:arx:papers:2203.06537.

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2022Indirect Inference for Nonlinear Panel Models with Fixed Effects. (2022). Chen, Shuowen. In: Papers. RePEc:arx:papers:2203.10683.

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2022Estimating Option Pricing Models Using a Characteristic Function-Based Linear State Space Representation. (2022). Vladimirov, Evgenii ; Boswijk, Peter H. In: Papers. RePEc:arx:papers:2210.06217.

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2022Fast Estimation of Bayesian State Space Models Using Amortized Simulation-Based Inference. (2022). Seleznev, Sergei ; Khabibullin, Ramis. In: Papers. RePEc:arx:papers:2210.07154.

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2022Approximate Pricing of Derivatives Under Fractional Stochastic Volatility Model. (2022). Zheng, Xudong ; Han, Yuecai. In: Papers. RePEc:arx:papers:2210.15453.

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2022Bayesian Forecasting in the 21st Century: A Modern Review. (2022). Koop, Gary ; Huber, Florian ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Frazier, David T ; Martin, Gael M ; Panagiotelis, Anastasios ; Nibbering, Didier ; Maheu, John . In: Papers. RePEc:arx:papers:2212.03471.

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2022Measuring price impact and information content of trades in a time-varying setting. (2022). Lillo, F ; Bormetti, G ; Campigli, F. In: Papers. RePEc:arx:papers:2212.12687.

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2022Orthogonal Series Estimation for the Ratio of Conditional Expectation Functions. (2022). Hoshino, Takahiro ; Shinoda, Kazuhiko. In: Papers. RePEc:arx:papers:2212.13145.

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2023Inference on Time Series Nonparametric Conditional Moment Restrictions Using General Sieves. (2023). Wang, Weichen ; Liao, Yuan ; Chen, Xiaohong. In: Papers. RePEc:arx:papers:2301.00092.

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2023On semiparametric estimation of the intercept of the sample selection model: a kernel approach. (2023). Pan, Zhewen. In: Papers. RePEc:arx:papers:2302.05089.

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2021Around-the-Clock USD/MXN Volatility: Macroeconomic Announcement Spillovers and FX Market Intervention Mechanisms. (2021). Pedroza, Wilfrido Jurado. In: Working Papers. RePEc:bdm:wpaper:2021-05.

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2021Selection on Welfare Gains: Experimental Evidence from Electricity Plan Choice. (2021). Ida, Takanori ; Ito, Koichiro ; Tanaka, Makoto. In: Working Papers. RePEc:bfi:wpaper:2021-12.

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2021Order imbalance and stock returns: New evidence from the Chinese stock market. (2021). Zhou, Weixing ; Jiang, George J ; Zhang, Ting. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:2:p:2809-2836.

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2022The behaviour of real interest rates: New evidence from a suprasecular perspective. (2022). Miller, Stephen M ; Gupta, Rangan ; Gilalana, Luis A ; Canarella, Giorgio. In: International Finance. RePEc:bla:intfin:v:25:y:2022:i:1:p:46-64.

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2022State Heterogeneity Analysis of Financial Volatility using high?frequency Financial Data. (2022). Kim, Donggyu ; Chun, Dohyun. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:1:p:105-124.

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2022Johansen?type cointegration tests with a Fourier function. (2022). Lee, Junsoo ; Pascalau, Razvan ; Lu, Yan ; Nazlioglu, Saban. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:5:p:828-852.

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2021Testing Goodwin with a stochastic differential approach—The United States (1948–2019). (2021). McIsaac, Florent ; Florent Mc Isaac, . In: Metroeconomica. RePEc:bla:metroe:v:72:y:2021:i:4:p:696-730.

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2022Approximate maximum likelihood estimation for one?dimensional diffusions observed on a fine grid. (2022). Preston, Simon P ; Paine, Phillip J ; Lu, Kevin W. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:49:y:2022:i:3:p:1085-1114.

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2021Cyclicality of Uncertainty and Disagreement. (2021). Zohar, Osnat. In: Bank of Israel Working Papers. RePEc:boi:wpaper:2021.09.

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2022Evaluation and Indirect Inference Estimation of Inattentive Features in a New Keynesian Framework. (2022). Minford, A. Patrick ; Cao, Yifei ; Chou, Jenyu. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2022/2.

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2022PML vs minimum ? 2 : the comeback. (2022). Sentana, Enrique ; Fiorentini, Gabriele ; Amengual, Dante. In: Working Papers. RePEc:cmf:wpaper:wp2022_2210.

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2022Financial-market volatility prediction with multiplicative Markov-switching MIDAS components. (2022). Wilfling, Bernd ; Segnon, Mawuli ; Schulte-Tillman, Bjoern. In: CQE Working Papers. RePEc:cqe:wpaper:9922.

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2021On Estimating Risk Premium With Flexible Fourier Form. (2021). Li, Jing. In: Economics Bulletin. RePEc:ebl:ecbull:eb-20-00183.

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2021Abnormal volatility in seasoned equity offerings during economic disruptions. (2021). Bakry, Walid ; Prasad, Mason ; Varua, Maria Estela. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:30:y:2021:i:c:s2214635021000538.

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2021An asymptotic expansion approach to the valuation of vulnerable options under a multiscale stochastic volatility model. (2021). Huh, Jeonggyu ; Kim, Geonwoo ; Jeon, Jaegi. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:144:y:2021:i:c:s0960077920310328.

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2021Cross-correlations between price and volume in Chinas crude oil futures market: A study based on multifractal approaches. (2021). Zhang, Hongwei ; Cheng, Hui ; Guo, Yaoqi. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:144:y:2021:i:c:s096007792031033x.

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2022New volatility evolution model after extreme events. (2022). Ren, Fei ; Yang, Ming-Yuan ; Zhang, Wei ; Xiong, Xiong ; Li, Sai-Ping ; Chen, Zhang-Hangjian ; Cai, Mei-Ling. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:154:y:2022:i:c:s0960077921009620.

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2022Maximum likelihood estimation of diffusions by continuous time Markov chain. (2022). Nguyen, Nhu N ; Kirkby, J L. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:168:y:2022:i:c:s0167947321002425.

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2021Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps. (2021). Yang, Nian ; Wan, Xiangwei. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:125:y:2021:i:c:s016518892100018x.

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2021Pricing discretely monitored barrier options: When Malliavin calculus expansions meet Hilbert transforms. (2021). Shi, Chao ; Li, Chenxu ; Cai, Ning. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:127:y:2021:i:c:s0165188921000488.

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2021On fiscal and monetary policy-induced macroeconomic volatility dynamics. (2021). Liu, Xiaochun. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:127:y:2021:i:c:s0165188921000580.

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2021The welfare cost of inflation. (2021). Xu, Libo ; Serletis, Apostolos. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:128:y:2021:i:c:s0165188921000798.

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2021Fundamental volatility and informative trading volume in a rational expectations equilibrium. (2021). Mao, Yipeng ; Luo, Dan. In: Economic Modelling. RePEc:eee:ecmode:v:105:y:2021:i:c:s0264999321002522.

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2021Macroeconomic forecasts and commodity futures volatility. (2021). Liu, Xiaoquan ; Jiang, Ying ; Deschamps, Bruno ; Guo, Ranran ; Ye, Wuyi. In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:981-994.

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2021Nonlinearity matters: The stock price – trading volume relation revisited. (2021). Schmidt, Alexander ; Behrendt, Simon. In: Economic Modelling. RePEc:eee:ecmode:v:98:y:2021:i:c:p:371-385.

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2021A new copula for modeling portfolios with skewed, leptokurtic and high-order dependent risk factors. (2021). Zoia, Maria Grazia ; Vacca, Gianmarco ; Quatto, Piero. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001443.

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2021A model of dynamic tail dependence between crude oil prices and exchange rates. (2021). Ye, Wuyi ; Guo, Ranran. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001534.

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2022Semi-nonparametric estimation of secret reserve prices in auctions. (2022). Foster, Joshua. In: Economics Letters. RePEc:eee:ecolet:v:220:y:2022:i:c:s0165176522003172.

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2021Identification and estimation of the SEIRD epidemic model for COVID-19. (2021). Korolev, Ivan. In: Journal of Econometrics. RePEc:eee:econom:v:220:y:2021:i:1:p:63-85.

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2021Predicting the VIX and the volatility risk premium: The role of short-run funding spreads Volatility Factors. (2021). Ghysels, Eric ; Andreou, Elena. In: Journal of Econometrics. RePEc:eee:econom:v:220:y:2021:i:2:p:366-398.

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2021Varying random coefficient models. (2021). Breunig, Christoph. In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:2:p:381-408.

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2021The continuous-time limit of score-driven volatility models. (2021). Livieri, Giulia ; Flandoli, Franco ; Corsi, Fulvio ; Buccheri, Giuseppe. In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:2:p:655-675.

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2021Closed-form implied volatility surfaces for stochastic volatility models with jumps. (2021). Xu, Chen ; Li, Chenxu ; Ait-Sahalia, Yacine. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:364-392.

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2021Empirical asset pricing with multi-period disaster risk: A simulation-based approach. (2021). Grammig, Joachim ; Sonksen, Jantje. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:805-832.

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2021Efficient estimation and filtering for multivariate jump–diffusions. (2021). Schwenkler, Gustavo ; Guay, Franois. In: Journal of Econometrics. RePEc:eee:econom:v:223:y:2021:i:1:p:251-275.

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2021Simple estimators and inference for higher-order stochastic volatility models. (2021). Dufour, Jean-Marie ; Ahsan, Md Nazmul. In: Journal of Econometrics. RePEc:eee:econom:v:224:y:2021:i:1:p:181-197.

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2021Impulse response analysis for structural dynamic models with nonlinear regressors. (2021). Kilian, Lutz ; Pesavento, Elena ; Herrera, Ana Maria ; Gonalves, Silvia. In: Journal of Econometrics. RePEc:eee:econom:v:225:y:2021:i:1:p:107-130.

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2022Sample selection models with monotone control functions. (2022). Yu, Zhengfei ; Liu, Ruixuan. In: Journal of Econometrics. RePEc:eee:econom:v:226:y:2022:i:2:p:321-342.

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2022Copula-based time series with filtered nonstationarity. (2022). Wang, BO ; Xiao, Zhijie ; Chen, Xiaohong. In: Journal of Econometrics. RePEc:eee:econom:v:228:y:2022:i:1:p:127-155.

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2022Nonparametric Bayes subject to overidentified moment conditions. (2022). Gallant, Ronald A. In: Journal of Econometrics. RePEc:eee:econom:v:228:y:2022:i:1:p:27-38.

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2022Estimation and inference for the counterfactual distribution and quantile functions in continuous treatment models. (2022). LINTON, OLIVER ; Zhang, Zheng ; Ai, Chunrong. In: Journal of Econometrics. RePEc:eee:econom:v:228:y:2022:i:1:p:39-61.

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2022Bayesian estimation of long-run risk models using sequential Monte Carlo. (2022). Liu, Hening ; Heng, Jeremy ; Fulop, Andras. In: Journal of Econometrics. RePEc:eee:econom:v:228:y:2022:i:1:p:62-84.

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2022Approximate maximum likelihood for complex structural models. (2022). Renault, Eric ; Frazier, David T ; Czellar, Veronika. In: Journal of Econometrics. RePEc:eee:econom:v:231:y:2022:i:2:p:432-456.

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2022Nonlinear unemployment effects of the inflation tax. (2022). Baughman, Garth ; Lahcen, Mohammed Ait ; Rabinovich, Stanislav ; van Buggenum, Hugo. In: European Economic Review. RePEc:eee:eecrev:v:148:y:2022:i:c:s0014292122001465.

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2022Model risk in the over-the-counter market. (2022). Qi, Shuyuan ; Lazar, Emese. In: European Journal of Operational Research. RePEc:eee:ejores:v:298:y:2022:i:2:p:769-784.

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2023Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation. (2023). Zhang, Gongqiu ; Li, Lingfei ; Meier, Christian. In: European Journal of Operational Research. RePEc:eee:ejores:v:305:y:2023:i:3:p:1292-1308.

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2021Learning representation of stock traders and immediate price impacts. (2021). Zhou, Wei-Xing ; Li, Mu-Yao ; Xie, Wen-Jie. In: Emerging Markets Review. RePEc:eee:ememar:v:48:y:2021:i:c:s1566014120306002.

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2021The transformed Gram Charlier distribution: Parametric properties and financial risk applications. (2021). Iguez, Trino-Manuel ; Leon, Angel. In: Journal of Empirical Finance. RePEc:eee:empfin:v:63:y:2021:i:c:p:323-349.

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2022Does economic growth stimulate energy consumption? The role of human capital and R&D expenditures in China. (2022). Vo, Xuan Vinh ; Shahbaz, Muhammad ; Ahmad, Shabbir ; Song, Malin. In: Energy Economics. RePEc:eee:eneeco:v:105:y:2022:i:c:s0140988321005193.

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2022Convergence of per capita energy consumption around the world: New evidence from nonlinear panel unit root tests. (2022). Omay, Tolga ; Romero-Avila, Diego. In: Energy Economics. RePEc:eee:eneeco:v:111:y:2022:i:c:s0140988322002286.

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2021Electricity price modelling with stochastic volatility and jumps: An empirical investigation. (2021). Ignatieva, Katja ; Gudkov, Nikolay. In: Energy Economics. RePEc:eee:eneeco:v:98:y:2021:i:c:s0140988321001651.

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2021A price dynamic equilibrium model with trading volume weights based on a price-volume probability wave differential equation. (2021). Li, Hong Gang ; Guo, Xinshuai ; Wang, Binghong ; Shi, Leilei. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s1057521920302465.

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2022Stock returns, trading volume, and volatility: The case of African stock markets. (2022). Ngene, Geoffrey M ; Mungai, Ann Nduati. In: International Review of Financial Analysis. RePEc:eee:finana:v:82:y:2022:i:c:s1057521922001399.

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2022Critical dynamics related to a recent Bitcoin crash. (2022). Potirakis, Stelios M ; Contoyiannis, Yiannis ; Zitis, Pavlos I. In: International Review of Financial Analysis. RePEc:eee:finana:v:84:y:2022:i:c:s1057521922003180.

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2023Volatility forecasting of crude oil futures market: Which structural change-based HAR models have better performance?. (2023). Zhang, Han. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004045.

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2021Optimal risk taking under high-water mark contract with jump risk. (2021). Yan, Jingzhou ; Mu, Congming ; Liang, Zhian . In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319303599.

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2021Optimal portfolio under ambiguous ambiguity. (2021). Makarov, Dmitry. In: Finance Research Letters. RePEc:eee:finlet:v:43:y:2021:i:c:s1544612321000428.

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2022Learning about the persistence of recessions under ambiguity aversion. (2022). Liu, Liu. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pa:s154461232100489x.

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2022The relationship between trading volume, volatility and returns of Non-Fungible Tokens: evidence from a quantile approach. (2022). Yarovaya, Larisa ; Yousaf, Imran. In: Finance Research Letters. RePEc:eee:finlet:v:50:y:2022:i:c:s1544612322003889.

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2021Stock market volatility forecasting: Do we need high-frequency data?. (2021). Molnár, Peter ; Lyócsa, Štefan ; Vrost, Toma ; Molnar, Peter ; Lyocsa, Tefan. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:3:p:1092-1110.

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2022Forecasting in GARCH models with polynomially modified innovations. (2022). Bagnato, Luca ; Zoia, Maria Grazia ; Vacca, Gianmarco. In: International Journal of Forecasting. RePEc:eee:intfor:v:38:y:2022:i:1:p:117-141.

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2021Are REITs more resilient than non-REITs? Evidence from natural experiments. (2021). Upadhyay, Arun ; Jain, Pawan. In: Japan and the World Economy. RePEc:eee:japwor:v:58:y:2021:i:c:s0922142521000165.

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2021An agent-based model of intra-day financial markets dynamics. (2021). Napoletano, Mauro ; Staccioli, Jacopo. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:182:y:2021:i:c:p:331-348.

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2022Quasi-hyperbolic discounting under recursive utility and consumption–investment decisions. (2022). Shigeta, Yuki. In: Journal of Economic Theory. RePEc:eee:jetheo:v:204:y:2022:i:c:s0022053122001089.

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2021Index option returns and generalized entropy bounds. (2021). Liu, Yan. In: Journal of Financial Economics. RePEc:eee:jfinec:v:139:y:2021:i:3:p:1015-1036.

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2022A picture is worth a thousand words: Measuring investor sentiment by combining machine learning and photos from news. (2022). Pukthuanthong, Kuntara ; Obaid, Khaled. In: Journal of Financial Economics. RePEc:eee:jfinec:v:144:y:2022:i:1:p:273-297.

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2022Who moved my liquidity? Liquidity evaporation in emerging markets in periods of financial uncertainty. (2022). Agudelo, Diego A ; Munera, Daimer J. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:129:y:2022:i:c:s0261560622001267.

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2021Are there price asymmetries in the U.S. beef market?. (2021). Schroeder, Ted ; Bachmeier, Lance J ; Pozo, Veronica F. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:21:y:2021:i:c:s2405851320300040.

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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.
[Full Text][Citation analysis]		article5
2002Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes. In: Journal of Business & Economic Statistics.
[Citation analysis]		article117
2002Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Reply. In: Journal of Business & Economic Statistics.
[Citation analysis]		article109
2007Comment In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article0
2002Alternative Models for Stock Price Dynamics In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper455
2002Alternative Models for Stock Price Dynamic.(2002) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 455		paper
2003Alternative models for stock price dynamics.(2003) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 455		article
1999A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper31
2013Generalized Method of Moments with Latent Variables In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper6
2013Generalized method of moments with latent variables.(2013) In: CeMMAP working papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6		paper
1996Which Moments to Match? In: Econometric Theory.
[Full Text][Citation analysis]		article555
1995Which Moments to Match.(1995) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 555		paper
1991Adaptive Rules for Seminonparametric Estimators That Achieve Asymptotic Normality In: Econometric Theory.
[Full Text][Citation analysis]		article39
1997ESTIMATION OF CONTINUOUS-TIME MODELS FOR STOCK RETURNS AND INTEREST RATES In: Macroeconomic Dynamics.
[Full Text][Citation analysis]		article39
1995Estimation of Continuous Time Models for Stock Returns and Interest Rates.(1995) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 39		paper
2000SEPARABILITY, AGGREGATION, AND EULER EQUATION ESTIMATION In: Macroeconomic Dynamics.
[Full Text][Citation analysis]		article1
2000Using Daily Range Data to Calibrate Volatility Diffusions and Extract the Forward Integrated Variance In: Working Papers.
[Full Text][Citation analysis]		paper152
1999Using Daily Range Data To Calibrate Volatility Diffusions And Extract The Forward Integrated Variance.(1999) In: The Review of Economics and Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 152		article
2000Cross Validated SNP Density Estimates In: Working Papers.
[Full Text][Citation analysis]		paper21
2002Cross-validated SNP density estimates.(2002) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 21		article
2002Efficient Method of Moments In: Working Papers.
[Full Text][Citation analysis]		paper3
2002Simulated Score Methods and Indirect Inference for Continuous-time Models In: Working Papers.
[Full Text][Citation analysis]		paper10
2010Sign switching behavior of cross-county interest rate correlations: Theory and Evidence In: Working Papers.
[Full Text][Citation analysis]		paper0
2010Dynamic Entry with Cross Product Spillovers: An Application to the Generic Drug Industry In: Working Papers.
[Full Text][Citation analysis]		paper3
2010Habit, Long-Run Risks, Prospect? A Statistical Inquiry. In: Working Papers.
[Full Text][Citation analysis]		paper7
2010Tapping the Supercomputer Under Your Desk: Solving Dynamic Equilibrium Models with Graphics Processors In: Working Papers.
[Full Text][Citation analysis]		paper51
2011Tapping the supercomputer under your desk: Solving dynamic equilibrium models with graphics processors.(2011) In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 51		article
2010Tapping the Supercomputer Under Your Desk: Solving Dynamic Equilibrium Models with Graphics Processors.(2010) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 51		paper
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: 51		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]		paper150
1997Estimation of stochastic volatility models with diagnostics.(1997) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 150		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]		paper48
1996Qualitative and asymptotic performance of SNP density estimators.(1996) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 48		article
1996Comments on Calibration In: Working Papers.
[Full Text][Citation analysis]		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]		article22
1983An Elasticity Can Be Estimated Consistently without A Priori Knowledge of Functional Form. In: Econometrica.
[Full Text][Citation analysis]		article37
1987Semi-nonparametric Maximum Likelihood Estimation. In: Econometrica.
[Full Text][Citation analysis]		article375
1989Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications. In: Econometrica.
[Full Text][Citation analysis]		article171
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: 171		paper
1993Nonlinear Dynamic Structures. In: Econometrica.
[Full Text][Citation analysis]		article287
1996Convergence Rates of SNP Density Estimators. In: Econometrica.
[Full Text][Citation analysis]		article21
1996Erratum [Convergence Rates of SNP Density Estimators]. In: Econometrica.
[Citation analysis]		article13
2003Purebred or hybrid?: Reproducing the volatility in term structure dynamics In: Journal of Econometrics.
[Full Text][Citation analysis]		article14
1979Statistical inference for a system of simultaneous, non-linear, implicit equations in the context of instrumental variable estimation In: Journal of Econometrics.
[Full Text][Citation analysis]		article120
1980Computations for constrained linear models In: Journal of Econometrics.
[Full Text][Citation analysis]		article0
2008A Gaussian approximation scheme for computation of option prices in stochastic volatility models In: Journal of Econometrics.
[Full Text][Citation analysis]		article1
1981On the bias in flexible functional forms and an essentially unbiased form : The fourier flexible form In: Journal of Econometrics.
[Full Text][Citation analysis]		article432
1982Unbiased determination of production technologies In: Journal of Econometrics.
[Full Text][Citation analysis]		article145
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.
[Full Text][Citation analysis]		article2
1984Costs and benefits of peak-load pricing of electricity : A continuous-time econometric approach In: Journal of Econometrics.
[Full Text][Citation analysis]		article8
1984Imposing curvature restrictions on flexible functional forms In: Journal of Econometrics.
[Full Text][Citation analysis]		article86
1982Imposing Curvature Restrictions on Flexible Functional Forms.(1982) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 86		paper
1985Estimating substitution elasticities with the Fourier cost function : Some Monte Carlo results In: Journal of Econometrics.
[Full Text][Citation analysis]		article41
1985Editors introduction In: Journal of Econometrics.
[Full Text][Citation analysis]		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]		article52
1990Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution In: Journal of Econometrics.
[Full Text][Citation analysis]		article65
1991On the asymptotic normality of Fourier flexible form estimates In: Journal of Econometrics.
[Full Text][Citation analysis]		article58
1977Three-stage least-squares estimation for a system of simultaneous, nonlinear, implicit equations In: Journal of Econometrics.
[Full Text][Citation analysis]		article37
1995Nonparametric estimation of structural models for high-frequency currency market data In: Journal of Econometrics.
[Full Text][Citation analysis]		article69
1997A single-blind controlled competition among tests for nonlinearity and chaos In: Journal of Econometrics.
[Full Text][Citation analysis]		article127
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: 127		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: 127		paper
1999The relative efficiency of method of moments estimators1 In: Journal of Econometrics.
[Full Text][Citation analysis]		article26
1995Robustness of nonlinearity and chaos tests to measurement error, inference method, and sample size In: Journal of Economic Behavior & Organization.
[Full Text][Citation analysis]		article45
2015Measuring Ambiguity Aversion In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper3
2018Does Smooth Ambiguity Matter for Asset Pricing? In: International Finance Discussion Papers.
[Full Text][Citation analysis]		paper10
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]		paper70
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: 70		article
1992Stock Prices and Volume. In: Review of Financial Studies.
[Full Text][Citation analysis]		article565
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]		paper69

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