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

  • Duke University - Fuqua School of Business, Economics Group

  • New York University - Department of Economics

SCHOLARLY PAPERS

19

DOWNLOADS
Rank 5,066

SSRN RANKINGS

Top 5,066

in Total Papers Downloads

8,775

SSRN CITATIONS
Rank 6,002

SSRN RANKINGS

Top 6,002

in Total Papers Citations

89

CROSSREF CITATIONS

88

Scholarly Papers (19)

Actions:
Email selected abstracts
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 2,385 (5,607)
Citation 30

Abstract:

Loading...

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 1,020 (21,743)
Citation 16

Abstract:

Loading...

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 891 (26,478)
Citation 61

Abstract:

Loading...

4.

Quadratic Term Structure Models: Theory and Evidence

Downloads 838 ( 28,911)
Citation 3

Quadratic Term Structure Models: Theory and Evidence

AFA 2001 New Orleans
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 838 (28,456)
Citation 3

Abstract:

Loading...

Quadratic Term Structure Models: Theory and Evidence

Review of Financial Studies, Forthcoming
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

Abstract:

Loading...

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 649 (40,953)
Citation 4

Abstract:

Loading...

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 464 (62,953)
Citation 5

Abstract:

Loading...

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 446 (66,023)
Citation 1

Abstract:

Loading...

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 438 (67,483)
Citation 1

Abstract:

Loading...

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 387 (78,180)
Citation 11

Abstract:

Loading...

10.

Measuring Ambiguity Aversion

Number of pages: 47 Posted: 10 Oct 2014 Last Revised: 19 Dec 2017
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 325 (85,511)

Abstract:

Loading...

Ambiguity aversion, Bayesian estimation, Equity premium puzzle, Markov switching

11.

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 School
Downloads 217 (145,216)
Citation 7

Abstract:

Loading...

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

12.

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

Downloads 168 (183,336)
Citation 2

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 116 (247,785)
Citation 2

Abstract:

Loading...

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 52 (400,087)

Abstract:

Loading...

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

13.

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

Downloads 83 (201,759)

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 83 (310,679)

Abstract:

Loading...

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 School
Downloads 134 (221,162)

Abstract:

Loading...

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

15.

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 126 (231,953)
Citation 1

Abstract:

Loading...

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

16.

Cross Validated Snp Density Estimates

Duke Economics Working Paper No 00-10
Number of pages: 36 Posted: 22 Nov 2000
Mark Coppejans and A. Ronald Gallant
BlackRock, Inc and Duke University - Fuqua School of Business, Economics Group
Downloads 101 (271,650)
Citation 6

Abstract:

Loading...

17.

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
Eric M. Aldrich, Jesús Fernández-Villaverde, A. Ronald Gallant and Juan Francisco Rubio-Ramirez
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 63 (359,058)
Citation 2

Abstract:

Loading...

GPU computing, Dynamic Equilibrium models

18.

Rational Pessimism, Rational Exuberance, and Asset Pricing Models

NBER Working Paper No. w13107
Number of pages: 45 Posted: 27 Jun 2007 Last Revised: 09 Aug 2007
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 40 (437,750)
Citation 1

Abstract:

Loading...

19.

Purebred or Hybrid: Reproducing the Volatility in Term Structure Dynamics

Journal of Econometrics, Forthcoming
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

Abstract:

Loading...

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