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

18

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8,735

SSRN CITATIONS
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Top 6,217

in Total Papers Citations

119

CROSSREF CITATIONS

93

Scholarly Papers (18)

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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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4.

Quadratic Term Structure Models: Theory and Evidence

Downloads 886 ( 38,117)

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.

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

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

13.

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

Downloads 88 (256,110)

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
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 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