EMM Papers
Published Papers and Working
Papers
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SNP Papers |
Ahn,-Dong-Hyun, Dittmar, Robert-F and Gallant, A Ronald (2002) "Quadratic Term Structure Models: Theory and Evidence," Review of Financial Studies, Spring 2002; 15(1): 243-88.
Ahn, Dong-Hyun, Robert F. Dittmar, A. Ronald Gallant and Bin Gao (2003) "Purebred or Hybrid?: Reproducing the Volatility in Term Structure Dynamics," Journal of Econometrics, forthcoming.
Andersen, T., L. Benzoni and J. Lund (2002) "An Empirical Investigation of Continuous-Time Models for Equity Returns," Journal of Finance 57 1239-1284.
Bansal, Ravi and Hao Zhou (2002) "Term Structure of Interest Rates with Regime Shifts," Journal of Finance, October 2002; 57(5): 1997-2043.
Carrasco, M. and J-P Florens (2002) "Simulation-Based Method of Moments and Efficiency," Journal of Business and Economic Statistics, 20(4): 482-92.
Chernov, Mikhail, and Eric Ghysels (2000) "A Study Towards a Unified Approach to the Joint Estimation of Objective and Risk Neutral Measures for the Purpose of Options Valuation," Journal Of Financial Economics, 56(3), 407-458.
Chernov, M., A. R. Gallant, E. Ghysels and G. Tauchen (2003) "Alternative Models for Stock Price Dynamics," Journal of Econometrics, forthcoming.
Chumacero, Romulo (2001) "Estimating ARMA Models Effiiciently," Studies in Nonlinear Dynamics and Econometrics 5(2): 103-14.
Chung, Chae-Shick, and George Tauchen (2001) "Testing Target Zone Models Using Efficient Method of Moments," forthcoming, Journal of Business and Economic Statistics. (Published with comments by Baillie, Richard T and Han, Young Wook, Pedroni, Peter, and Hall, Alastair R.)
Dai, Qiang, and Kenneth J. Singleton (2000) "Specification Analysis of Affine Term Structure Models," Journal of Finance, 55(5): 1943-78.
Liu, Ming (2000) "Modeling Long Memory in Stock Market Volatility," Journal of Econometrics 99(1): 139-71.
Michaelides, Alexander and Ng, Serena (2000) "Estimating the Rational Expectations Model of Speculative Storage: A Monte Carlo Comparison of Three Simulation Estimators," Journal of Econometrics 96(2): 231-66.
Pastorello, Sergio, Renault, Eric; and Touzi,Nizar (2000) "Statistical Inference for Random-Variance Option Pricing," Journal of Business and Economic Statistics 18(3): 358-67.
Solibakke, Per Bjarte (2001) "A
Stochastic Volatility Model Specification with Diagnostics for Thinly Traded
Equity Markets," Journal of Multinational Financial Management,
11(4-5): 385-406.
Bansal, R., A R. Gallant, and G. Tauchen (2003) "Rational Pessimism and Exuberance," working paper, Duke University. Web Version
Bansal, R., G. Tauchen, and H. Zhou (2003) "Regime-Shifts in Term Structure, Expectations Hypothesis Puzzle, and the Real Business Cycle," working paper, Duke University. Web Version
da Veiga, Maria Helena Lopes (2003) "Forecasting Volatility Using A. Continuous Time Model," manuscript, Universitat Autonoma de Barcelona.
Aguirre-Torres, Victor (2002) "Efficient Method of Moments in Misspecified IID Models," working paper.
Calzolari, G, Fiorentini, G., Sentana, E, (2002) "Constrained EMM and Indirect Inference Estimation," working paper, Centro de Estudios Monetarios Y Financieros. Casado del Alisal, 5-28014 Madrid, Spain.
Gallant, A. Ronald, and George Tauchen (2002)
"Simulated Score Methods and Indirect Inference for
Continuous-time Models," prepared for the Handbook
of Financial Econometrics.
Gallant, A. Ronald, and George Tauchen (2002) "EMM: A Program for Efficient Method of Moments Estimation," available via ftp to ftp.econ.duke.edu, subdirectory pub/get/emm.
Jiang, George and P. J. van der Sluis (2002) "Pricing Stock Options under Stochastic Volatility and Interest Rates with Efficient Method of Moments Estimation," Tinbergen Institute Research Paper, Amsterdam.
Nagypal, E. (2002) "Learning-by-Doing
versus Selection: Can We Tell Them Apart?" Working Paper, Department of
Economics, Northwestern University.
Chernov, M., R. Gallant, E. Ghysels and G. Tauchen (1999) "A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation," Working Paper, Penn State University, University of North Carolina, Duke University.
Valderrama, Diego (2001) "Can a Standard Real Business Cycle Model Explain the Non-linearities in U.S. National Accounts Data?" Ph.D. thesis in progress, Department of Economics, Duke University.
Van der Sluis, P. J. (1999) "Estimation
and Inference with the Efficient Method of Moments: with Application to Stochastic
Volatility Models and Option Pricing," Working Paper, Tinbergen Institute,
Amsterdam, Research Series Paper No. 204.
Andersen, T. G., H-J Chung, and B. E. Sorensen (1999) "Efficient Method of Moments Estimation of a Stochastic Volatility Model: a Monte Carlo Study," Journal of Econometrics, 91(1), 61-87.
Gallant, A. Ronald, Chien-Te Hsu, and George Tauchen (1999) "Using Daily Range Data to Calibrate Volatility Diffusions and Extract the Forward Integrated Variance," The Review of Economics and Statistics, 81(4), 617-631.
Gallant, A. Ronald, and George Tauchen (1999) "The Relative Efficiency of Method of Moments Estimators," Journal of Econometrics, 92, 149-172
Chow, Ying Foon and Liu, Ming (1999)
"Long Swings with Memory and Stock Market Fluctuations," Journal
of Financial and Quantitative Analysis 34(3): 341-67.
Gallant, A. Ronald, and George Tauchen (1998): "Reprojecting Partially Observed Systems with Application to Interest Rate Diffusions," Journal of the American Statistical Association, 93(441), 10-24.
Tauchen, George (1998): "The Objective Function of Simulation Estimators Near the Boundary of the Unstable Region of the Parameter Space," The Review of Economics and Statistics, 80(3), 389-398.
van-der-Sluis, Pieter J (1998)
"Computationally Attractive Stability Tests for the Efficient Method of
Moments,"
Econometrics Journal 1(1): C203-27.
Andersen, T. G., and J. Lund (1997): "Estimating Continuous Time Stochastic Volatility Models of the Short Term Interest Rate," Journal of Econometrics, 77, 343-378.
Chumacero, Romulo (1997): "Finite Sample Properties of the Efficient Method of Moments," Studies in Nonlinear Dynamics and Econometrics, 2(2), 35-51.
Gallant, A. Ronald, David A. Hsieh and George Tauchen (1997): "Estimation of Stochastic Volatility Models with Diagnostics," Journal of Econometrics, 81(1), 159-192.
Gallant, A. Ronald, and Jonathan R. Long (1997): "Estimating Stochastic Differential Equations Efficiently by Minimum Chi-Square," Biometrika, 84, 125-141.
Gallant, A. Ronald, and George Tauchen (1997): "Estimation of Continuous Time Models for Stock Returns and Interest Rates," Macroeconomic Dynamics, 1(1), 135-168.
Tauchen, George (1997): "New Minimum Chi-Square Methods in Empirical Finance," in Advances in Econometrics, Seventh World Congress, ed. by David Kreps, and Kenneth F. Wallis. Cambridge, UK: Cambridge University Press.
Van der Sluis, P. J. (1997): "EmmPack
1.01: C/C++ Code for Use with Ox for Estimation of Univariate Stochastic
Volatility Models with the Efficient Method of Moments," Nonlinear
Dynamics and Econometrics, 2, 77-94.
Gallant, A. Ronald, and George Tauchen (1996): "Specification Analysis of Continuous Time Models in Finance," in Modeling Stock Market Volatility: Bridging the Gap to Continuous Time, ed. by Peter E. Rossi. New York: Academic Press.
Gallant, A. Ronald, and George Tauchen (1996): "Which Moments to Match?" Econometric Theory, 12(4), 657-681.
Ellner, Stephen P., A. Ronald Gallant and James Theiler (1995): "Detecting Nonlinearity and Chaos in Epidemic Data," in Mollison, Dennis, eds. Epidemic Models: Their Structure and Relation to Data, Cambridge University Press, Cambridge, UK, 229-247.
Engle, R. F. and G. G. J. Lee (1996)
"Estimating Diffusion Models of Stochastic Volatility," in Modeling
Stock Market Volatility: Bridging the Gap to Continuous Time, ed. by Peter
E. Rossi. New York: Academic Press, 333--384.
Bansal, Ravi, A. R. Gallant, R. Hussey, and G. Tauchen (1995) "Nonparametric Estimation of Structural Models for High-Frequency Currency Market Data," Journal-of-Econometrics March-April 1995 66(1-2): 251-87.
Long, Jonathan R (1995) "Efficient
Generalized Method of Moments Estimation of Structural Models,"
Ph.D. North Carolina State University 1995.
Bansal,
R., A. R. Gallant, R. Hussey and G. Tauchen (1993) "Computational aspects
of nonparametric simulation estimation",
in: David A. Belsley, (ed.), Computational
techniques for econometrics and economic analysis. Boston: Kluwer Academic
Publishers, 3--22.
Working Papers:
Coppejans, Mark and A. Ronald Gallant (2002):
"Cross Validated SNP Density Estimates," Working Paper, Department of
Economics, University of North Carolina, Chapel Hill, NC.
Gallant, A. Ronald, and George Tauchen (2000): "SNP: A Program for Nonparametric Time Series Analysis: A User's Guide," available via ftp to ftp.econ.duke.edu, subdirectory pub/arg/snp.
Gallant, A. Ronald, Lars Peter Hansen and
George Tauchen (1990): "Using Conditional Moments of Asset Payoffs to
Infer the Volatility of Intertemporal Marginal Rates of Substitution," Journal
of Econometrics, 45, 141-180.
Published Papers:
Harrison, Paul, and Harold Zhang (1999) "An
Investigation of the Risk and Return Relation at Long Horizons," The
Review of Economics and Statistics, 81(3), 399-408.
Fenton, Victor M. and A. Ronald Gallant (1996) "Convergence Rates of SNP Density Estimators," Econometrica, 64(6), 719-727.
Fenton, Victor M., and A. Ronald Gallant (1996): "Qualitative and Asymptotic Performance of SNP Density Estimators," Journal of Econometrics, 74(1), 77-118.
Tauchen, George, Harold Zhang, and Ming Liu (1996): "Volume, Volatility, and Leverage: A Dynamic Analysis," Journal of Econometrics, 74(1), 177-208.
Bansal, Ravi, A. Ronald Gallant, R. Hussey, and George Tauchen (1995): "Nonparametric Estimation of Structural Models for High-Frequency Currency Market Data," Journal of Econometrics, 66(1-2), 251-287.
Bansal, R, A. Ronald Gallant, R. Hussey, and George Tauchen (1993): "Computational Aspects of Nonparametric Simulation Estimation", in Computational Techniques for Econometrics and Economic Analysis, ed. by David A. Belsley. Boston, MA: Kluwer Academic Publishers.
Davidian, Marie and A. Ronald Gallant (1993): "The Nonlinear Mixed Effects Model with a Smooth Random Effects Density," Biometrika 80, 475-488.
Gallant, A. Ronald, Peter E. Rossi, and George Tauchen (1993): "Nonlinear Dynamic Structures," Econometrica, 61, 871-907.
Davidian, Marie and A. Ronald Gallant (1992): "Smooth Nonparametric Maximum Likelihood Estimation for Population Pharmacokinetics, with Application to Quinidine," Journal of Pharmacokinetics and Biopharmaceutics, 20, 529-556.
Gallant, A. Ronald, Peter E. Rossi, and George Tauchen (1992): "Stock Prices and Volume," Review of Financial Studies, 5(2), 199-242.
Gallant, A. Ronald, and George Tauchen (1992): "A Nonparametric Approach to Nonlinear Time Series Analysis: Estimation and Simulation," in New Dimensions in Time Series Analysis, ed. by E. Parzen, D. Brillinger, M. Rosenblatt, M. Taqqu, J. Geweke, and P. Caines. New York.
Gallant, A. Ronald, David A. Hsieh and George. Tauchen (1991): "On Fitting a Recalcitrant Series: The Pound/Dollar Exchange Rate, 1974-1983," in Nonparametric and Semiparametric Methods in Econometrics and Statistics: Proceedings of the Fifth International Symposium in Economic Theory and Econometrics, ed. by William A. Barnett, UK: Cambridge University Press.
Gallant, A. Ronald and George Tauchen (1989): "Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications," Econometrica, 57(5), 1091-1120.
Gallant, A. Ronald and Douglas W. Nychka (1987): "Seminonparametric Maximum Likelihood Estimation," Econometrica, 55(2), 363-390.