A. Ronald Gallant

Duke University - Fuqua School of Business, Economics Group

Box 90097

Durham, NC 27708-0097

United States

New York University - Department of Economics

Distinguished Professor in Residence

269 Mercer Street, 7th Floor

New York, NY 10011

United States

SCHOLARLY PAPERS

18

DOWNLOADS
Rank 7,335

SSRN RANKINGS

Top 7,335

in Total Papers Downloads

8,735

SSRN CITATIONS
Rank 6,217

SSRN RANKINGS

Top 6,217

in Total Papers Citations

119

CROSSREF CITATIONS

93

Scholarly Papers (18)

1.

A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation

Number of pages: 37 Posted: 07 Nov 1999
Mikhail Chernov, A. Ronald Gallant, Eric Ghysels and George Tauchen
UCLA Anderson, Duke University - Fuqua School of Business, Economics Group, University of North Carolina Kenan-Flagler Business School and Duke University - Economics Group
Downloads 2,433 (8,206)
Citation 33

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2.

Which Moments to Match?

Number of pages: 33 Posted: 13 Mar 1998
A. Ronald Gallant and George Tauchen
Duke University - Fuqua School of Business, Economics Group and Duke University - Economics Group
Downloads 1,031 (30,773)
Citation 33

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3.

Alternative Models of Stock Prices Dynamics

Number of pages: 38 Posted: 31 Jan 2001
Mikhail Chernov, A. Ronald Gallant, Eric Ghysels and George Tauchen
UCLA Anderson, Duke University - Fuqua School of Business, Economics Group, University of North Carolina Kenan-Flagler Business School and Duke University - Economics Group
Downloads 937 (35,224)
Citation 92

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Quadratic Term Structure Models: Theory and Evidence

Number of pages: 52 Posted: 01 May 2000
Dong-Hyun Ahn, Robert F. Dittmar and A. Ronald Gallant
University of North Carolina at Chapel Hill, University of Michigan, Stephen M. Ross School of Business and Duke University - Fuqua School of Business, Economics Group
Downloads 886 (37,567)
Citation 5

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Quadratic Term Structure Models: Theory and Evidence

Posted: 29 Jan 2002
Dong-Hyun Ahn, Robert F. Dittmar and A. Ronald Gallant
University of North Carolina at Chapel Hill, University of Michigan, Stephen M. Ross School of Business and Duke University - Fuqua School of Business, Economics Group

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Asset Pricing - Theoretical, Asset Pricing - Empirical, Term Structure of Interest Rates - Theoretical, Term Structure of Interest Rates - Empirical

5.

Estimation of Continuous Time Models for Stock Returns and Interest Rates

Number of pages: 43 Posted: 12 May 1997
A. Ronald Gallant and George Tauchen
Duke University - Fuqua School of Business, Economics Group and Duke University - Economics Group
Downloads 664 (56,039)
Citation 6

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6.

Estimation of Stochastic Volatility Models with Diagnostics

Number of pages: 42 Posted: 27 Nov 1997
A. Ronald Gallant, David A. Hsieh and George Tauchen
Duke University - Fuqua School of Business, Economics Group, Duke University - Fuqua School of Business and Duke University - Economics Group
Downloads 474 (85,383)
Citation 10

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7.

Comments on Calibration

Duke Economics Working Paper #96-25
Number of pages: 3 Posted: 28 Apr 1997
A. Ronald Gallant
Duke University - Fuqua School of Business, Economics Group
Downloads 450 (90,806)
Citation 1

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8.

Specification Analysis of Continuous Time Models in Finance

Duke Economics Working Paper #95-49
Number of pages: 31 Posted: 18 Nov 1997
A. Ronald Gallant and George Tauchen
Duke University - Fuqua School of Business, Economics Group and Duke University - Economics Group
Downloads 444 (92,264)
Citation 2

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9.

Using Daily Range Data to Calibrate Volatility Diffusions and Extract the Forward Integrated Variance

Duke Economics Working Paper No. 00-04
Number of pages: 36 Posted: 06 Nov 2000
A. Ronald Gallant, Chien-Te Hsu and George Tauchen
Duke University - Fuqua School of Business, Economics Group, Credit Suisse Asset Management and Duke University - Economics Group
Downloads 393 (106,198)
Citation 18

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10.

Dynamic Entry with Cross Product Spillovers: An Application to the Generic Drug Industry

Economic Research Initiatives at Duke (ERID) Working Paper Series No. 57
Number of pages: 55 Posted: 09 Sep 2010
A. Ronald Gallant, Han Hong and Ahmed Khwaja
Duke University - Fuqua School of Business, Economics Group, Independent and University of Cambridge - Judge Business SchoolYale School of Management
Downloads 230 (185,463)
Citation 11

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Dynamic Spillovers, Generic Pharmaceuticals, Sequential Importance Sampling, Dynamic Discrete Games, Unobserved Endogenous State Variables, Serial Correlation

11.
Downloads 180 (231,778)
Citation 3

Habit, Long-Run Risks, Prospect? A Statistical Inquiry

Economic Research Initiatives at Duke (ERID) Working Paper Series No. 58
Number of pages: 40 Posted: 09 Sep 2010 Last Revised: 27 Feb 2011
Eric M. Aldrich and A. Ronald Gallant
University of California, Santa Cruz and Duke University - Fuqua School of Business, Economics Group
Downloads 127 (308,198)
Citation 4

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Statistical Tests, Habit, Long-Run Risks, Prospect Theory, Asset Pricing

Habit, Long Run Risks, Prospect? A Statistical Inquiry

Journal of Financial Econometrics, Forthcoming
Number of pages: 39 Posted: 30 Nov 2009 Last Revised: 30 Nov 2010
Eric M. Aldrich and A. Ronald Gallant
University of California, Santa Cruz and Duke University - Fuqua School of Business, Economics Group
Downloads 53 (519,633)

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Statistical Tests, Habit, Long-Run Risks, Prospect Theory, Asset Pricing

12.

Does Smooth Ambiguity Matter for Asset Pricing?

The Review of Financial Studies, Forthcoming
Number of pages: 65 Posted: 21 Dec 2017 Last Revised: 05 Oct 2018
A. Ronald Gallant, Mohammad R. Jahan-Parvar and Hening Liu
Duke University - Fuqua School of Business, Economics Group, Board of Governors of the Federal Reserve System and University of Manchester - Alliance Manchester Business School
Downloads 163 (252,063)
Citation 1

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Ambiguity, Bayesian Estimation, Equity Premium, Markov-Switching, Long-Run Risk

Can We Explain the Sign-Switching Behavior of Cross-Country Interest Rate Correlations?

Economic Research Initiatives at Duke (ERID) Working Paper Series No. 56
Number of pages: 79 Posted: 10 Sep 2010 Last Revised: 23 Jan 2011
Dong-Hyun Ahn, In Seok Baek and A. Ronald Gallant
Seoul National University - School of Economics, Samsung Asset Management and Duke University - Fuqua School of Business, Economics Group
Downloads 88 (395,941)

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international term structure models, sign-switching correlation, monetary policies, business cycles, efficient method of moments, reprojection

14.

Bayesian Estimation of a Dynamic Game with Endogenous, Partially Observed, Serially Correlated State

Economic Research Initiatives at Duke (ERID) Working Paper No. 118
Number of pages: 38 Posted: 24 Jan 2012
A. Ronald Gallant, Han Hong and Ahmed Khwaja
Duke University - Fuqua School of Business, Economics Group, Independent and University of Cambridge - Judge Business SchoolYale School of Management
Downloads 145 (277,242)

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Dynamic Games, Partially Observed State, Endogenous State, Serially Correlated State, Particle Filter

15.

Cross Validated Snp Density Estimates

Duke Economics Working Paper No 00-10
Number of pages: 36 Posted: 22 Nov 2000
Mark Coppejans, Mark Coppejans and A. Ronald Gallant
Barclays Global InvestorsBlackRock, Inc and Duke University - Fuqua School of Business, Economics Group
Downloads 106 (348,526)
Citation 2

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16.

Tapping the Supercomputer Under Your Desk: Solving Dynamic Equilibrium Models With Graphics Processors

PIER Working Paper No. 10-014
Number of pages: 13 Posted: 12 Apr 2010
University of California, Santa Cruz, University of Pennsylvania - Department of Economics, Duke University - Fuqua School of Business, Economics Group and Federal Reserve Bank of Atlanta - Research Department
Downloads 67 (457,133)
Citation 1

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GPU computing, Dynamic Equilibrium models

17.

Rational Pessimism, Rational Exuberance, and Asset Pricing Models

NBER Working Paper No. w13107
Number of pages: 45 Posted: 27 Jun 2007 Last Revised: 25 Apr 2022
Ravi Bansal, A. Ronald Gallant and George Tauchen
Duke University and NBER, Duke University - Fuqua School of Business, Economics Group and Duke University - Economics Group
Downloads 44 (551,920)
Citation 9

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18.

Purebred or Hybrid: Reproducing the Volatility in Term Structure Dynamics

Posted: 26 Nov 2001
Dong-Hyun Ahn, Robert F. Dittmar, A. Ronald Gallant and Bin Gao
University of North Carolina at Chapel Hill, University of Michigan, Stephen M. Ross School of Business, Duke University - Fuqua School of Business, Economics Group and University of North Carolina (UNC) at Chapel Hill - Finance Area

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Asset Pricing - Theoretical, Asset Pricing - Empirical, Term Structure of Interest Rates - Empirical, Term Structure of Interest Rates - Theoretical