A Ronald Gallant

Biographic Data

ID5735522
NAMEA Ronald Gallant
GIVEN NAMESA Ronald
FAMILY NAMEGallant
SIGNATUREGALLANT A R
AFFILIATIONSUniversity of North Carolina at Chapel Hill
ORCID0009-0006-0658-6454
VERIFIEDYes
TOTAL WORKS7
TOTAL CITATIONS4
AUTHOR COUNT7
EDITOR COUNT0
FIRST PUBLICATION YEAR1981
LATEST PUBLICATION YEAR2020
H-INDEX1

  • Complementary Bayesian method of moments strategies

    Open AccessA Ronald GallantARTICLEJournal of Applied Econometrics2020

    Methodology is proposed that addresses two problems that arise in application of the generalized method of moments representation of the likelihood in Bayesian inference: (1) a missing Jacobian term and (2) a normality assumption. The proposals are illustrated by application to the seminal application of the generalized method of moments methodology in the econometric literature: an endowment economy whose representative agent has constant relati…

  • Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes

    Garland B Durham, Garland Durham et al.ARTICLEJournal of Business and Economic…2002

    Stochastic differential equations often provide a convenient way to describe the dynamics of economic and financial data, and a great deal of effort has been expended searching for efficient ways to estimate models based on them. Maximum likelihood is typically the estimator of choice; however, since the transition density is generally unknown, one is forced to approximate it. The simulation-based approach suggested by Pedersen (1995) has great t…

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

    A Ronald Gallant, Chien-Te Hsu et al.ARTICLEThe Review of Economics and…1999

    Acommon model for security price dynamics is the continuous-time stochastic volatility model. For this model, Hull and White (1987) show that the price of a derivative claim is the conditional expectation of the Black-Scholes price with the forward integrated variance replacing the Black-Scholes variance. Implementing the Hull and White characterization requires both estimates of the price dynamics and the conditional distribution of the forward …

  • Remarks on my Term at JBES

    A Ronald GallantARTICLEJournal of Business and Economic…1993

  • Nonlinear Statistical Models

    Frank A Wolak, A Ronald GallantARTICLEJournal of Business and Economic…1988

    Y~=.('YO''Yl' 0, ... )

  • A Unified Theory of Estimation and Inference for Nonlinear Dynamic Models

    James Davidson, A Ronald Gallant et al.ARTICLEThe Economic Journal1988Cited by: 4

    Journal Article A Unified Theory of Estimation and Inference for Nonlinear Dynamic Models Get access A Unified Theory of Estimation and Inference for Nonlinear Dynamic Models. By A. RONALD GALLANT and HALBERT WHITE (Oxford: Basil Blackwell, 1988. Pp. viii + 155. £27.50 hardback. ISBN 0 631 15765 4.) James Davidson James Davidson University of California, San Diego and London School of Economics Search for other works by this author on: Oxford Aca…

  • On the bias in flexible functional forms and an essentially unbiased form

    Open AccessA Ronald GallantARTICLEJournal of Econometrics1981