Andrew Ronald Gallant

    • 5131 Citations
    • 35 h-Index
    1968 …2020

    Research output per year

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    Research Output

    2020

    Complementary Bayesian method of moments strategies

    Gallant, A. R., Jun 1 2020, In : Journal of Applied Econometrics. 35, 4, p. 422-439 18 p.

    Research output: Contribution to journalArticle

    2019

    Does Smooth Ambiguity Matter for Asset Pricing?

    Ronald Gallant, A., Jahan-Parvar, M. R. & Liu, H., Sep 1 2019, In : Review of Financial Studies. 32, 9, p. 3617-3666 50 p.

    Research output: Contribution to journalArticle

    Open Access
    2 Scopus citations
    2018
    4 Scopus citations

    Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale

    Ronald Gallant, A. & Tauchen, G., Jul 2018, In : Journal of Econometrics. 205, 1, p. 140-155 16 p.

    Research output: Contribution to journalArticle

    The dynamic spillovers of entry: An application to the generic drug industry

    Ronald Gallant, A., Hong, H. & Khwaja, A., Mar 2018, In : Management Science. 64, 3, p. 1189-1211 23 p.

    Research output: Contribution to journalArticle

    7 Scopus citations
    2017

    Bayesian estimation of state space models using moment conditions

    Gallant, A. R., Giacomini, R. & Ragusa, G., Dec 2017, In : Journal of Econometrics. 201, 2, p. 198-211 14 p.

    Research output: Contribution to journalArticle

    6 Scopus citations
    2016
    8 Scopus citations
    2 Scopus citations
    2011

    Habit, long-run risks, prospect? A statistical inquiry

    Aldrich, E. M. & Gallant, A. R., Sep 30 2011, In : Journal of Financial Econometrics. 9, 4, p. 589-618 30 p.

    Research output: Contribution to journalArticle

    5 Scopus citations

    Tapping the supercomputer under your desk: Solving dynamic equilibrium models with graphics processors

    Aldrich, E. M., Fernández-Villaverde, J., Ronald Gallant, A. & Rubio-Ramírez, J. F., Mar 1 2011, In : Journal of Economic Dynamics and Control. 35, 3, p. 386-393 8 p.

    Research output: Contribution to journalArticle

    35 Scopus citations
    2010

    Simulated Score Methods and Indirect Inference for Continuous-time Models

    Gallant, A. R. & Tauchen, G., Dec 1 2010, Handbook of Financial Econometrics, Vol 1. Elsevier Inc., p. 427-477 51 p.

    Research output: Chapter in Book/Report/Conference proceedingChapter

    16 Scopus citations
    2009

    On the determination of general scientific models with application to asset pricing

    Gallant, A. R. & Mcculloch, R. E., Mar 1 2009, In : Journal of the American Statistical Association. 104, 485, p. 117-131 15 p.

    Research output: Contribution to journalArticle

    15 Scopus citations
    2008

    A Gaussian approximation scheme for computation of option prices in stochastic volatility models

    Cheng, A. R. M., Gallant, A. R., Ji, C. & Lee, B. S., Sep 1 2008, In : Journal of Econometrics. 146, 1, p. 44-58 15 p.

    Research output: Contribution to journalArticle

    3 Scopus citations
    2007

    A statistical inquiry into the plausibility of recursive utility

    Gallant, A. R. & Hong, H., Dec 1 2007, In : Journal of Financial Econometrics. 5, 4, p. 523-559 37 p.

    Research output: Contribution to journalArticle

    9 Scopus citations

    Comment

    Gallant, A. R., Apr 2007, In : Journal of Business and Economic Statistics. 25, 2, p. 151-152 2 p.

    Research output: Contribution to journalArticle

    3 Scopus citations

    Comment

    Christiano, L. J., Gallant, A. R., Sims, C. A., Faust, J., Kilian, L., Del Negro, M., Schorfheide, F., Smets, F. & Wouters, R., Apr 2007, In : Journal of Business and Economic Statistics. 25, 2, p. 143-151 9 p.

    Research output: Contribution to journalComment/debate

    16 Scopus citations

    Rational pessimism, rational exuberance, and asset pricing models

    Bansal, R., Gallant, A. R. & Tauchen, G., Oct 1 2007, In : Review of Economic Studies. 74, 4, p. 1005-1033 29 p.

    Research output: Contribution to journalArticle

    50 Scopus citations
    2003

    Alternative models for stock price dynamics

    Chernov, M., Gallant, A. R., Ghysels, E. & Tauchen, G., Sep 2003, In : Journal of Econometrics. 116, 1-2, p. 225-257 33 p.

    Research output: Contribution to journalArticle

    384 Scopus citations

    Purebred or hybrid? Reproducing the volatility in term structure dynamics

    Ahn, D. H., Dittmar, R. F., Gallant, A. R. & Gao, B., Sep 1 2003, In : Journal of Econometrics. 116, 1-2, p. 147-180 34 p.

    Research output: Contribution to journalArticle

    20 Scopus citations
    2002

    Comment [1] (multiple letters)

    Aït-Sahalia, Y., Durham, G. B. & Gallant, A. R., Jan 1 2002, In : Journal of Business and Economic Statistics. 20, 3, p. 317-321+335

    Research output: Contribution to journalLetter

    Comment [2] (multiple letters)

    Brandt, M. W., Santa-Clara, P., Durhama, G. B. & Gallant, A. R., Jan 1 2002, In : Journal of Business and Economic Statistics. 20, 3, p. 321-324+335

    Research output: Contribution to journalLetter

    1 Scopus citations

    Comment [3] (multiple letters)

    Chib, S., Shephard, N., Durham, G. B. & Gallant, A. R., Jan 1 2002, In : Journal of Business and Economic Statistics. 20, 3, p. 325-327+335

    Research output: Contribution to journalLetter

    4 Scopus citations

    Comment [4] (multiple letters)

    Eraker, B., Durham, G. B. & Gallant, A. R., 2002, In : Journal of Business and Economic Statistics. 20, 3, p. 327-329+335+337

    Research output: Contribution to journalLetter

    Comment [5] (multiple letters)

    Glynn, P., Durham, G. B. & Gallant, A. R., 2002, In : Journal of Business and Economic Statistics. 20, 3, p. 330-331+335+337

    Research output: Contribution to journalLetter

    Comment [6] (multiple letters)

    Tauchen, G., Durham, G. B. & Gallant, A. R., Jan 1 2002, In : Journal of Business and Economic Statistics. 20, 3, p. 331-332+335+337

    Research output: Contribution to journalLetter

    Comment [7] (multiple letters)

    Zhou, H., Durham, G. B. & Gallant, A. R., Jan 1 2002, In : Journal of Business and Economic Statistics. 20, 3, p. 332-335+338

    Research output: Contribution to journalLetter

    Cross-validated SNP density estimates

    Coppejans, M. & Gallant, A. R., Sep 1 2002, In : Journal of Econometrics. 110, 1, p. 27-65 39 p.

    Research output: Contribution to journalArticle

    25 Scopus citations

    Numerical techniques for maximum likelihood estimation of continuous-time diffusion processes

    Durham, G. B. & Gallant, A. R., 2002, In : Journal of Business and Economic Statistics. 20, 3, p. 297-338 42 p.

    Research output: Contribution to journalArticle

    201 Scopus citations

    Quadratic Term Structure Models: Theory and Evidence

    Ahn, D. H., Dittmar, R. F. & Gallant, A. R., Jan 1 2002, In : Review of Financial Studies. 15, 1, p. 243-288 46 p.

    Research output: Contribution to journalReview article

    172 Scopus citations
    2000

    Separability, aggregation, and euler equation estimation

    Fleissig, A. R., Gallant, A. R. & Seater, J. J., Jan 1 2000, In : Macroeconomic Dynamics. 4, 4, p. 547-572 26 p.

    Research output: Contribution to journalArticle

    2 Scopus citations
    1999

    The relative efficiency of method of moments estimators

    Gallant, A. R. & Tauchen, G., Sep 1999, In : Journal of Econometrics. 92, 1, p. 149-172 24 p.

    Research output: Contribution to journalArticle

    30 Scopus citations

    Using daily range data to calibrate volatility diffusions and extract the forward integrated variance

    Gallant, A. R., Hsu, C. T. & Tauchen, G., Jan 1 1999, In : Review of Economics and Statistics. 81, 4, p. 617-631 15 p.

    Research output: Contribution to journalArticle

    127 Scopus citations
    1998

    A single-blind controlled competition among tests for nonlinearity and chaos

    Barnett, W. A., Gallant, A. R., Hinich, M. J., Jungeilges, J. A., Kaplan, D. T. & Jensen, M. J., Jan 1998, In : Journal of Econometrics. 82, 1, p. 157-192 36 p.

    Research output: Contribution to journalArticle

    139 Scopus citations

    Noise and nonlinearity in measles epidemics: Combining mechanistic and statistical approaches to population modeling

    Ellner, S. P., Bailey, B. A., Bobashev, G. V., Gallant, A. R., Grenfell, B. T. & Nychka, D. W., May 16 1998, In : American Naturalist. 151, 5, p. 425-440 16 p.

    Research output: Contribution to journalArticle

    107 Scopus citations

    Reprojecting partially observed systems with application to interest rate diffusions

    Gallant, A. R. & Tauchen, G., Mar 1 1998, In : Journal of the American Statistical Association. 93, 441, p. 10-24 15 p.

    Research output: Contribution to journalArticle

    110 Scopus citations
    1997

    Estimating stochastic differential equations efficiently by minimum chi-squared

    Gallant, A. R. & Long, J. R., Dec 1 1997, In : Biometrika. 84, 1, p. 125-141 17 p.

    Research output: Contribution to journalArticle

    88 Scopus citations

    Estimation of continuous-time models for stock returns and interest rates

    Gallant, A. R. & Tauchen, G., 1997, In : Macroeconomic Dynamics. 1, 1, p. 135-168 34 p.

    Research output: Contribution to journalArticle

    47 Scopus citations

    Estimation of stochastic volatility models with diagnostics

    Gallant, A. R., Hsiehb, D. & Tauchen, G., Nov 1997, In : Journal of Econometrics. 81, 1, p. 159-192 34 p.

    Research output: Contribution to journalArticle

    140 Scopus citations
    1996

    Convergence rates of SNP density estimators

    Fenton, V. M. & Gallant, A. R., Jan 1 1996, In : Econometrica. 64, 3, p. 719-727 9 p.

    Research output: Contribution to journalArticle

    29 Scopus citations

    Qualitative and asymptotic performance of SNP density estimators

    Fenton, V. M. & Gallant, A. R., Sep 1996, In : Journal of Econometrics. 74, 1, p. 77-118 42 p.

    Research output: Contribution to journalArticle

    54 Scopus citations

    Which moments to match?

    Ronald Gallant, A. & Tauchen, G., Jan 1 1996, In : Econometric Theory. 12, 4, p. 657-681 25 p.

    Research output: Contribution to journalArticle

    444 Scopus citations
    1995

    Nonparametric estimation of structural models for high-frequency currency market data

    Bansal, R., Gallant, A. R., Hussey, R. & Tauchen, G., Jan 1 1995, In : Journal of Econometrics. 66, 1-2, p. 251-287 37 p.

    Research output: Contribution to journalArticle

    67 Scopus citations

    Robustness of nonlinearity and chaos tests to measurement error, inference method, and sample size

    Barnett, W. A., Ronald Gallant, A., Hinich, M. J., Jungeilges, J. A., Kaplan, D. T. & Jensen, M. J., Jul 1995, In : Journal of Economic Behavior and Organization. 27, 2, p. 301-320 20 p.

    Research output: Contribution to journalArticle

    52 Scopus citations
    1994

    Convergence rates for single hidden layer feedforward networks

    McCaffrey, D. F. & Ronald Gallant, A., 1994, In : Neural Networks. 7, 1, p. 147-158 12 p.

    Research output: Contribution to journalArticle

    25 Scopus citations
    1993

    Remarks on my term at jbes

    Gallant, A. R., Jan 1 1993, In : Journal of Business and Economic Statistics. 11, 4, 1 p.

    Research output: Contribution to journalArticle

    The nonlinear mixed effects model with a smooth random effects density

    Davidian, M. & Gallant, A. R., Sep 1 1993, In : Biometrika. 80, 3, p. 475-488 14 p.

    Research output: Contribution to journalArticle

    142 Scopus citations
    1992

    Estimating the Lyapunov exponent of a chaotic system with nonparametric regression

    McCaffrey, D. F., Ellner, S., Gallant, A. R. & Nychka, D. W., Sep 1992, In : Journal of the American Statistical Association. 87, 419, p. 682-695 14 p.

    Research output: Contribution to journalArticle

    95 Scopus citations

    On learning the derivatives of an unknown mapping with multilayer feedforward networks

    Gallant, A. R. & White, H., 1992, In : Neural Networks. 5, 1, p. 129-138 10 p.

    Research output: Contribution to journalArticle

    192 Scopus citations
    93 Scopus citations
    1991

    Adaptive rules for seminonparametric estimators that achieve asymptotic normality

    Eastwood, B. J. & Gallant, A. R., Sep 1991, In : Econometric Theory. 7, 3, p. 307-340 34 p.

    Research output: Contribution to journalArticle

    63 Scopus citations