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Nonlinear dynamic structures

Gallant, A. Ronald; Rossi, Peter E.; Tauchen, George Eugene - 1990 - Rev

Persistent link: https://www.econbiz.de/10000809496

Seminonparametric estimation of conditionally constrained heterogeneous processes : asset pricing applications

Gallant, A. Ronald; Tauchen, George Eugene - 1988 - Rev

Persistent link: https://www.econbiz.de/10000766236

Simulated score methods and indirect inference for continuous-time models

Gallant, A. Ronald; Tauchen, George Eugene - 2010

Persistent link: https://www.econbiz.de/10003900666

Which moments to match?

Gallant, A. Ronald - In: Econometric theory 12 (1996) 4, pp. 657-681

Persistent link: https://www.econbiz.de/10001210205

Nonlinear dynamic structures

Gallant, A. Ronald - In: Econometrica : journal of the Econometric Society, an … 61 (1993) 4, pp. 871-907

Persistent link: https://www.econbiz.de/10001147138

Seminonparametric estimation of conditionally constrained heterogeneous processes : asset pricing applications

Gallant, A. Ronald - In: Econometrica : journal of the Econometric Society, an … 57 (1989) 5, pp. 1091-1120

Persistent link: https://www.econbiz.de/10001076166

Estimation of stochastic volatility models with diagnostics

Gallant, A. Ronald - In: Journal of econometrics 81 (1997) 1, pp. 159-192

Persistent link: https://www.econbiz.de/10001336798

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

Gallant, A. Ronald - In: Macroeconomic dynamics 1 (1997) 1, pp. 135-168

Persistent link: https://www.econbiz.de/10001337436

Estimation of Stochastic Volatility Models with Diagnostics

Gallant, A. Ronald; Hsieh, David A.; Tauchen, George - 2008

Efficient Method of Moments (EMM) is used to fit the standard stochastic volatility model and various extensions to several daily financial time series. EMM matches to the score of a model determined by data analysis called the score generator. Discrepancies reveal characteristics of data that...

Persistent link: https://www.econbiz.de/10014075693

Identification et convergence en régression semi-non-paramétrique

Gallant, A. Ronald

Persistent link: https://www.econbiz.de/10001266391