George Tauchen : Citation Profile


Are you George Tauchen?

Duke University

28

H index

40

i10 index

6097

Citations

RESEARCH PRODUCTION:

62

Articles

41

Papers

EDITOR:

2

Books edited

RESEARCH ACTIVITY:

   37 years (1980 - 2017). See details.
   Cites by year: 164
   Journals where George Tauchen has often published
   Relations with other researchers
   Recent citing documents: 314.    Total self citations: 28 (0.46 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pta61
   Updated: 2021-03-01    RAS profile: 2018-06-07    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with George Tauchen.

Is cited by:

Andersen, Torben (109)

Bollerslev, Tim (107)

McAleer, Michael (93)

Asai, Manabu (64)

Ghysels, Eric (52)

Christoffersen, Peter (41)

Caporin, Massimiliano (41)

Shephard, Neil (39)

Sévi, Benoît (36)

Sentana, Enrique (36)

Diebold, Francis (34)

Cites to:

Bollerslev, Tim (69)

Gallant, A. (52)

Andersen, Torben (40)

Diebold, Francis (28)

Barndorff-Nielsen, Ole (23)

Engle, Robert (22)

Shephard, Neil (20)

Renault, Eric (18)

Ait-Sahalia, Yacine (17)

Singleton, Kenneth (15)

Ghysels, Eric (13)

Main data


Where George Tauchen has published?


Journals with more than one article published# docs
Journal of Econometrics19
Journal of Business & Economic Statistics10
Econometrica5
Journal of Financial Econometrics3
Review of Financial Studies2
The Review of Economics and Statistics2
Journal of the American Statistical Association2
Economics Letters2
Econometric Theory2

Working Papers Series with more than one paper published# docs
Working Papers / Duke University, Department of Economics27
Finance and Economics Discussion Series / Board of Governors of the Federal Reserve System (U.S.)2

Recent works citing George Tauchen (2021 and 2020)


YearTitle of citing document
2020Monetary Policy, Financial Constraints, and Redistribution. (2020). Schabert, Andreas ; Loenser, Christian. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:011.

Full description at Econpapers || Download paper

2020Dynamic Price Jumps: the Performance of High Frequency Tests and Measures, and the Robustness of Inference. (2018). Forbes, Catherine S ; Martin, Gael M ; Maneesoonthorn, Worapree. In: Papers. RePEc:arx:papers:1708.09520.

Full description at Econpapers || Download paper

2020Continuous Record Laplace-based Inference about the Break Date in Structural Change Models. (2019). Perron, Pierre ; Casini, Alessandro. In: Papers. RePEc:arx:papers:1804.00232.

Full description at Econpapers || Download paper

2020Stochastic Revealed Preferences with Measurement Error. (2018). Kashaev, Nail ; Aguiar, Victor. In: Papers. RePEc:arx:papers:1810.05287.

Full description at Econpapers || Download paper

2020A Sieve-SMM Estimator for Dynamic Models. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1902.01456.

Full description at Econpapers || Download paper

2020A Nonparametric Dynamic Causal Model for Macroeconometrics. (2019). Shephard, Neil ; Rambachan, Ashesh. In: Papers. RePEc:arx:papers:1903.01637.

Full description at Econpapers || Download paper

2021An analytical perturbative solution to the Merton Garman model using symmetries. (2019). Shaw, Nathaniel Wiesendanger ; Calmet, Xavier. In: Papers. RePEc:arx:papers:1909.01413.

Full description at Econpapers || Download paper

2020Stochastic leverage effect in high-frequency data: a Fourier based analysis. (2019). Sanfelici, Simona ; Curato, Imma Valentina. In: Papers. RePEc:arx:papers:1910.06660.

Full description at Econpapers || Download paper

2020A Put-Call Transformation of the Exchange Option Problem under Stochastic Volatility and Jump Diffusion Dynamics. (2020). , Gerald ; Dominic, Len Patrick. In: Papers. RePEc:arx:papers:2002.10194.

Full description at Econpapers || Download paper

2020Bias optimal vol-of-vol estimation: the role of window overlapping. (2020). Recchioni, Maria Cristina ; Toscano, Giacomo. In: Papers. RePEc:arx:papers:2004.04013.

Full description at Econpapers || Download paper

2021An extensive study of stylized facts displayed by Bitcoin returns. (2020). Brigatti, E ; Bertella, M A ; Silva, J N ; F. N. M. de Sousa Filho, . In: Papers. RePEc:arx:papers:2004.05870.

Full description at Econpapers || Download paper

2020From code to market: Network of developers and correlated returns of cryptocurrencies. (2020). Baronchelli, Andrea ; Gallo, Angela ; Lepri, Bruno ; Alessandretti, Laura ; Lucchini, Lorenzo. In: Papers. RePEc:arx:papers:2004.07290.

Full description at Econpapers || Download paper

2020Tail Granger causalities and where to find them: extreme risk spillovers vs. spurious linkages. (2020). Lillo, Fabrizio ; Campajola, Carlo ; Zaoli, Silvia ; Mazzarisi, Piero. In: Papers. RePEc:arx:papers:2005.01160.

Full description at Econpapers || Download paper

2020The impacts of asymmetry on modeling and forecasting realized volatility in Japanese stock markets. (2020). Ota, Yasushi ; Maki, Daiki. In: Papers. RePEc:arx:papers:2006.00158.

Full description at Econpapers || Download paper

2020Dynamic Network Risk. (2020). Baruník, Jozef ; Ellington, Michael ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2006.04639.

Full description at Econpapers || Download paper

2020Locally trimmed least squares: conventional inference in possibly nonstationary models. (2020). Kasparis, Ioannis ; Hu, Zhishui ; Wang, Qiying. In: Papers. RePEc:arx:papers:2006.12595.

Full description at Econpapers || Download paper

2020Fourier instantaneous estimators and the Epps effect. (2020). Chang, Patrick. In: Papers. RePEc:arx:papers:2007.03453.

Full description at Econpapers || Download paper

2020The Mode Treatment Effect. (2020). Chang, Neng-Chieh. In: Papers. RePEc:arx:papers:2007.11606.

Full description at Econpapers || Download paper

2020Modelling time-varying interactions in complex systems: the Score Driven Kinetic Ising Model. (2020). Tantari, Daniele ; Lillo, Fabrizio ; di Gangi, Domenico ; Campajola, Carlo. In: Papers. RePEc:arx:papers:2007.15545.

Full description at Econpapers || Download paper

2020Volatility Depend on Market Trades and Macro Theory. (2020). Olkhov, Victor. In: Papers. RePEc:arx:papers:2008.07907.

Full description at Econpapers || Download paper

2020Covid-19 impact on cryptocurrencies: evidence from a wavelet-based Hurst exponent. (2020). Fernandez Bariviera, Aurelio ; Vampa, Victoria ; Pastor, Ver'Onica E ; Arouxet, Bel'En M. In: Papers. RePEc:arx:papers:2009.05652.

Full description at Econpapers || Download paper

2020Price, Volatility and the Second-Order Economic Theory. (2020). Olkhov, Victor. In: Papers. RePEc:arx:papers:2009.14278.

Full description at Econpapers || Download paper

2020Measures of Model Risk in Continuous-time Finance Models. (2020). Qi, Shuyuan ; Lazar, Emese ; Tunaru, Radu. In: Papers. RePEc:arx:papers:2010.08113.

Full description at Econpapers || Download paper

2020Identifying Aggregate Shocks with Micro-level Heterogeneity: Financial Shocks and Investment Fluctuation. (2020). Guo, Xing. In: Staff Working Papers. RePEc:bca:bocawp:20-17.

Full description at Econpapers || Download paper

2020The Term Structures of Loss and Gain Uncertainty. (2020). Feunou, Bruno ; Xu, Lai ; Tedongap, Romeo ; Aliouchkin, Ricardo Lopez. In: Staff Working Papers. RePEc:bca:bocawp:20-19.

Full description at Econpapers || Download paper

2020Option-Based Risk Aversion Indicators for Predicting Currency Crises in Emerging Markets. (). Moura, Jaqueline Terra. In: Working Papers Series. RePEc:bcb:wpaper:515.

Full description at Econpapers || Download paper

2020A Plucking Model of Business Cycles. (2020). Dupraz, Stéphane ; Steinsson, Jon ; Nakamura, Emi. In: Working papers. RePEc:bfr:banfra:748.

Full description at Econpapers || Download paper

2020News media analytics in finance: a survey. (2020). Hahn, Tobias ; Vanstone, Bruce ; Marty, Tom. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:2:p:1385-1434.

Full description at Econpapers || Download paper

2021BANK COMPETITION, FINANCIAL DEVELOPMENT, AND INCOME INEQUALITY. (2021). Xu, Jia ; Fu, Zhe. In: Contemporary Economic Policy. RePEc:bla:coecpo:v:39:y:2021:i:1:p:42-58.

Full description at Econpapers || Download paper

2020Jump Risk in the US Financial Sector. (2020). Yao, Wenying ; Gajurel, Dinesh ; Jeyasreedharan, Nagaratnam ; Dungey, Mardi. In: The Economic Record. RePEc:bla:ecorec:v:96:y:2020:i:314:p:331-349.

Full description at Econpapers || Download paper

2020Decomposing the VIX: Implications for the predictability of stock returns. (2020). Chow, Victor K ; Li, Jingrui ; Jiang, Wanjun. In: The Financial Review. RePEc:bla:finrev:v:55:y:2020:i:4:p:645-668.

Full description at Econpapers || Download paper

2020Unveiling Contemporaneous Relations Between Jump Risk and Cross Section of Stock Returns. (2020). Prasanna, Krishna ; Kshatriya, Saranya. In: International Review of Finance. RePEc:bla:irvfin:v:20:y:2020:i:3:p:581-604.

Full description at Econpapers || Download paper

2020Market Excess Returns, Variance and the Third Cumulant. (2020). Zhao, Huimin ; Chang, Eric C ; Zhang, Jin E. In: International Review of Finance. RePEc:bla:irvfin:v:20:y:2020:i:3:p:605-637.

Full description at Econpapers || Download paper

2020Assessing the Vulnerability to Price Spikes in Agricultural Commodity Markets. (2020). Sarris, Alexandros ; Dotsis, George ; Triantafyllou, Athanasios. In: Journal of Agricultural Economics. RePEc:bla:jageco:v:71:y:2020:i:3:p:631-651.

Full description at Econpapers || Download paper

2020A Macrofinance View of U.S. Sovereign CDS Premiums. (2020). Chernov, Mikhail ; Schneider, Andres ; Schmid, Lukas. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:5:p:2809-2844.

Full description at Econpapers || Download paper

2020Robust estimation of stationary continuous‐time arma models via indirect inference. (2020). Kimmig, Sebastian ; Fasenhartmann, Vicky. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:41:y:2020:i:5:p:620-651.

Full description at Econpapers || Download paper

2020The null hypothesis of (common) jumps in case of irregular and asynchronous observations. (2020). Vetter, Mathias ; Martin, Ole. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:47:y:2020:i:3:p:711-756.

Full description at Econpapers || Download paper

2020Dynamic effects of consumption tax reforms with durable consumption. (2020). Qian, LI. In: The B.E. Journal of Macroeconomics. RePEc:bpj:bejmac:v:20:y:2020:i:2:p:33:n:6.

Full description at Econpapers || Download paper

2020Nonparametric Euler Equation Identi?cation and Estimation. (2020). Srisuma, S ; Linton, O ; Lewbel, A ; Hoderlein, S ; Escanciano, J C. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2064.

Full description at Econpapers || Download paper

2020Cum-Ex Trading – The Biggest Fraud in History?. (2020). Wei, Xiaopeng ; Wagner, Moritz. In: Working Papers in Economics. RePEc:cbt:econwp:20/19.

Full description at Econpapers || Download paper

2020What can be learned from the free destination option in the LNG imbroglio?. (2020). Massol, Olivier ; Cretti, Anna ; Baba, Amina. In: Working Papers. RePEc:cec:wpaper:2004.

Full description at Econpapers || Download paper

2020Intra-Industry Transfer of Information Inferred From Trading Volume. (2020). Hanousek, Jan ; Tresl, Jiri ; Ferris, Stephen P ; Brushko, Iuliia. In: CERGE-EI Working Papers. RePEc:cer:papers:wp663.

Full description at Econpapers || Download paper

2021Growth Uncertainty, Rational Learning, and Option Prices. (2021). Kozhan, Roman ; Babiak, Mykola. In: CERGE-EI Working Papers. RePEc:cer:papers:wp682.

Full description at Econpapers || Download paper

2020Persistence in the Realized Betas: Some Evidence for the Spanish Stock Market. (2020). Gil-Alana, Luis ; Martin-Valmayor, Miguel ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8171.

Full description at Econpapers || Download paper

2020Persistence in the Market Risk Premium: Evidence across Countries. (2020). Gil-Alana, Luis ; Martin-Valmayor, Miguel ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8211.

Full description at Econpapers || Download paper

2021Predictability of Bull and Bear Markets: A New Look at Forecasting Stock Market Regimes (and Returns) in the US. (2021). Neuenkirch, Matthias ; Haase, Felix. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8828.

Full description at Econpapers || Download paper

2020The Signalling Channel of Negative Interest Rates. (2020). Haas, Alexander ; de Groot, Oliver ; DeGroot, Oliver . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14268.

Full description at Econpapers || Download paper

2020Adaptative predictability of stock market returns. (2020). Veiga, Helena ; Lopes, Maria Helena ; Casas, Maria Isabel ; Mao, Xiuping. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:31648.

Full description at Econpapers || Download paper

2020Recursive Preferences, the Value of Life, and Household Finance. (2020). O'Dea, Cormac ; le Grand, Franois ; Legrand, Franois ; Harenberg, Daniel ; Bommier, Antoine. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2231.

Full description at Econpapers || Download paper

2020Copula-Based Time Series With Filtered Nonstationarity. (2020). Wang, BO ; Xiao, Zhijie ; Chen, Xiaohong. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2242.

Full description at Econpapers || Download paper

2020Dependence structure between oil price volatility and sovereign credit risk of oil exporters: Evidence using a Copula Approach. (2020). Ehouman, Yao Axel. In: EconomiX Working Papers. RePEc:drm:wpaper:2020-31.

Full description at Econpapers || Download paper

2020Gambling activity and stock price volatility: A cross-country analysis. (2020). Whitby, Ryan J ; Blau, Benjamin M. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:27:y:2020:i:c:s2214635019302965.

Full description at Econpapers || Download paper

2020The effect of return jumps on herd behavior. (2020). Wanidwaranan, Phasin ; Padungsaksawasdi, Chaiyuth. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:27:y:2020:i:c:s2214635020300599.

Full description at Econpapers || Download paper

2020Trading volume and realized higher-order moments in the Australian stock market. (2020). Jeyasreedharan, Nagaratnam ; Ahadzie, Richard Mawulawoe. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:28:y:2020:i:c:s2214635020303403.

Full description at Econpapers || Download paper

2020Public information content and market information efficiency: A comparison between China and the U.S.. (2020). Xiao, Wen ; Liu, Bin. In: China Economic Review. RePEc:eee:chieco:v:60:y:2020:i:c:s1043951x2030002x.

Full description at Econpapers || Download paper

2020Nonlinear and time-varying risk premia. (2020). Cai, Zongwu ; Mi, Xianhua ; Ma, Chaoqun. In: China Economic Review. RePEc:eee:chieco:v:62:y:2020:i:c:s1043951x2030064x.

Full description at Econpapers || Download paper

2020Inventory, fixed capital, and the cross-section of corporate investment. (2020). Kim, Kirak. In: Journal of Corporate Finance. RePEc:eee:corfin:v:60:y:2020:i:c:s0929119918301482.

Full description at Econpapers || Download paper

2020The contribution of intraday jumps to forecasting the density of returns. (2020). Sevi, Benoit ; Ielpo, Florian ; Chorro, Christophe. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:113:y:2020:i:c:s0165188920300233.

Full description at Econpapers || Download paper

2020Welfare gains of bailouts in a sovereign default model. (2020). Vukoti, Marija ; Seoane, Hernan D ; Pancrazi, Roberto. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:113:y:2020:i:c:s0165188920300361.

Full description at Econpapers || Download paper

2020A hardware approach to value function iteration. (2020). Peri, Alessandro. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:114:y:2020:i:c:s0165188920300622.

Full description at Econpapers || Download paper

2020Capital income taxation with housing. (2020). Nakajima, Makoto. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:115:y:2020:i:c:s016518892030052x.

Full description at Econpapers || Download paper

2020Revolving credit lines and targeted search. (2020). Raveendranathan, Gajendran. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:118:y:2020:i:c:s0165188920301329.

Full description at Econpapers || Download paper

2020Short-run risk, business cycle, and the value premium. (2020). Leippold, Markus ; He, Yunhao. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:120:y:2020:i:c:s0165188920301615.

Full description at Econpapers || Download paper

2020Macroeconomic effects of the mortgage refinance and the home equity lines of credit. (2020). Kim, Jiseob. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:121:y:2020:i:c:s0165188920301895.

Full description at Econpapers || Download paper

2020Tail Granger causalities and where to find them: Extreme risk spillovers vs spurious linkages. (2020). Lillo, Fabrizio ; Campajola, Carlo ; Zaoli, Silvia ; Mazzarisi, Piero. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:121:y:2020:i:c:s0165188920301901.

Full description at Econpapers || Download paper

2020Forecasting stock market volatility: The role of technical variables. (2020). Liu, LI ; Pan, Zhiyuan. In: Economic Modelling. RePEc:eee:ecmode:v:84:y:2020:i:c:p:55-65.

Full description at Econpapers || Download paper

2020Does measurement error matter in volatility forecasting? Empirical evidence from the Chinese stock market. (2020). Huang, Zhuo ; Wang, Tianyi ; Liang, Fang. In: Economic Modelling. RePEc:eee:ecmode:v:87:y:2020:i:c:p:148-157.

Full description at Econpapers || Download paper

2020Macroeconomic implications of dynamically inconsistent preferences. (2020). Choi, Yoonseok. In: Economic Modelling. RePEc:eee:ecmode:v:87:y:2020:i:c:p:267-279.

Full description at Econpapers || Download paper

2020Volatility forecasting using related markets’ information for the Tokyo stock exchange. (2020). Su, Jen-Je ; Li, Bin ; Todorova, Neda ; Jayawardena, Nirodha I. In: Economic Modelling. RePEc:eee:ecmode:v:90:y:2020:i:c:p:143-158.

Full description at Econpapers || Download paper

2020Firm-specific information and systemic risk. (2020). Clements, Adam ; Liao, Y. In: Economic Modelling. RePEc:eee:ecmode:v:90:y:2020:i:c:p:480-493.

Full description at Econpapers || Download paper

2020Do news shocks increase capital utilization?. (2020). Woo, Jinhee. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:128-137.

Full description at Econpapers || Download paper

2020Public provision of health insurance and aggregate saving in an overlapping generations model with endogenous health risk: The South Korean case. (2020). Lim, Kyoung Mook. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:233-246.

Full description at Econpapers || Download paper

2020Is market liquidity less resilient after the financial crisis? Evidence for US Treasuries. (2020). Broto, Carmen ; Lamas, Matias. In: Economic Modelling. RePEc:eee:ecmode:v:93:y:2020:i:c:p:217-229.

Full description at Econpapers || Download paper

2020Global predictive power of the upside and downside variances of the U.S. equity market. (2020). Zhang, Liguo ; Xiao, Jun ; Xu, Yahua. In: Economic Modelling. RePEc:eee:ecmode:v:93:y:2020:i:c:p:605-619.

Full description at Econpapers || Download paper

2021A consumption-based asset pricing model with disappointment aversion and uncertainty shocks. (2021). Guo, Zhaoxuan ; Xia, Bobo ; Li, Kaifeng. In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:235-243.

Full description at Econpapers || Download paper

2021Macroeconomic forecasts and commodity futures volatility. (2021). Liu, Xiaoquan ; Jiang, Ying ; Deschamps, Bruno ; Guo, Ranran ; Ye, Wuyi. In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:981-994.

Full description at Econpapers || Download paper

2021Intraday momentum and return predictability: Evidence from the crude oil market. (2021). Gong, XU ; Wen, Zhuzhu ; Xu, Yahua ; Ma, Diandian. In: Economic Modelling. RePEc:eee:ecmode:v:95:y:2021:i:c:p:374-384.

Full description at Econpapers || Download paper

2020Joint dynamic modeling and option pricing in incomplete derivative-security market. (2020). Chen, Jun-Home ; Lian, Yu-Min. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s106294081730325x.

Full description at Econpapers || Download paper

2020Risk premium or irrational expectations? An investigation into the causes of forward discount bias across 27 developed and developing economies forward rates. (2020). Altiti, Omar ; Miah, Fazlul. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818300640.

Full description at Econpapers || Download paper

2020Impact of volatility jumps in a mean-reverting model: Derivative pricing and empirical evidence. (2020). Chen, Ting-Fu ; Chiu, Hsin-Yu . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819300026.

Full description at Econpapers || Download paper

2020Positional momentum and liquidity management; a bivariate rank approach. (2020). Panahidargahloo, Akram. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819302232.

Full description at Econpapers || Download paper

2020Improving the realized GARCH’s volatility forecast for Bitcoin with jump-robust estimators. (2020). Yang, Jimmy J ; Liu, Hung-Chun ; Hung, Jui-Cheng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300620.

Full description at Econpapers || Download paper

2020Exchange rate regimes and market integration: evidence from the dynamic relations between renminbi onshore and offshore markets. (2020). Zeng, Zhixiong ; Yan, Yuruo ; Wan, Xiaoli. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s106294082030070x.

Full description at Econpapers || Download paper

2020Jump probability using volatility periodicity filters in US Dollar/Euro exchange rates. (2020). Yi, Chae-Deug. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:53:y:2020:i:c:s1062940820300814.

Full description at Econpapers || Download paper

2020Forecast on silver futures linked with structural breaks and day-of-the-week effect. (2020). Fang, Qiang ; Cheng, Yuxiang ; Li, Wenlan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:53:y:2020:i:c:s1062940820300899.

Full description at Econpapers || Download paper

2020The effect of economic policy uncertainty on China’s housing market. (2020). Ning, Shao-Lin ; Lin, Wen-Yuan ; Huang, Wei-Ling . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940818301700.

Full description at Econpapers || Download paper

2020The empirical linkages among market returns, return volatility, and trading volume: Evidence from the S&P 500 VIX Futures. (2020). Ku, Yu-Cheng ; Chuang, Hwei-Lin ; Kao, Yu-Sheng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940818303358.

Full description at Econpapers || Download paper

2020Stock volatility and trading. (2020). Kaprielyan, Margarita ; Agapova, Anna. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s106294082030139x.

Full description at Econpapers || Download paper

2020A re-examination of the predictability of stock returns and cash flows via the decomposition of VIX. (2020). Yun, Jaeho. In: Economics Letters. RePEc:eee:ecolet:v:186:y:2020:i:c:s0165176519303799.

Full description at Econpapers || Download paper

2020Estimating nonlinear dynamic equilibrium models by matching impulse responses. (2020). Ruge-Murcia, Francisco. In: Economics Letters. RePEc:eee:ecolet:v:197:y:2020:i:c:s0165176520303840.

Full description at Econpapers || Download paper

2020SPAC IPO waves. (2020). Vulanovic, Milos ; Blomkvist, Magnus. In: Economics Letters. RePEc:eee:ecolet:v:197:y:2020:i:c:s0165176520304055.

Full description at Econpapers || Download paper

2021Efficient estimation of multi-level models with strictly exogenous explanatory variables. (2021). Yang, Yimin. In: Economics Letters. RePEc:eee:ecolet:v:198:y:2021:i:c:s0165176520304274.

Full description at Econpapers || Download paper

2020Nonparametric filtering of conditional state-price densities. (2020). Dalderop, Jeroen. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:2:p:295-325.

Full description at Econpapers || Download paper

2020Variance disparity and market frictions. (2020). Park, Yang-Ho. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:2:p:326-348.

Full description at Econpapers || Download paper

2020Inference for local distributions at high sampling frequencies: A bootstrap approach. (2020). Varneskov, Rasmus T ; Hounyo, Ulrich. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:1:p:1-34.

Full description at Econpapers || Download paper

2020Time-invariant restrictions of volatility functionals: Efficient estimation and specification tests. (2020). Yang, Xiye. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:2:p:486-516.

Full description at Econpapers || Download paper

2020Variance risk: A bird’s eye view. (2020). Simen, Chardin Wese ; Hollstein, Fabian. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:2:p:517-535.

Full description at Econpapers || Download paper

2020Twisted probabilities, uncertainty, and prices. (2020). Sargent, Thomas J ; Han, Lloyd S ; Szke, Balint ; Hansen, Lars Peter. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:151-174.

Full description at Econpapers || Download paper

2020High-frequency factor models and regressions. (2020). Kalnina, Ilze ; Ait-Sahalia, Yacine ; Xiu, Dacheng. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:86-105.

Full description at Econpapers || Download paper

2020The leverage effect puzzle revisited: Identification in discrete time. (2020). Khrapov, Stanislav ; Han, Hyojin ; Renault, Eric. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:230-258.

Full description at Econpapers || Download paper

2020Dynamics of variance risk premia: A new model for disentangling the price of risk. (2020). Violante, Francesco ; Stentoft, Lars. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:312-334.

Full description at Econpapers || Download paper

More than 100 citations found, this list is not complete...

George Tauchen has edited the books:


YearTitleTypeCited

Works by George Tauchen:


YearTitleTypeCited
2007Risk, Jumps, and Diversification In: CREATES Research Papers.
[Full Text][Citation analysis]
paper94
2008Risk, jumps, and diversification.(2008) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 94
article
2007A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects In: CREATES Research Papers.
[Full Text][Citation analysis]
paper90
2010A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects.(2010) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 90
paper
2009A discrete-time model for daily S & P500 returns and realized variations: Jumps and leverage effects.(2009) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 90
article
2008Expected Stock Returns and Variance Risk Premia In: CREATES Research Papers.
[Full Text][Citation analysis]
paper500
2009Expected Stock Returns and Variance Risk Premia.(2009) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 500
article
2009Volatility in Equilibrium: Asymmetries and Dynamic Dependencies In: CREATES Research Papers.
[Full Text][Citation analysis]
paper22
2010Volatility in Equilibrium: Asymmetries and Dynamic Dependencies.(2010) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 22
paper
2009Volatility in Equilibrium: Asymmetries and Dynamic Dependencies.(2009) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 22
paper
2011Volatility in Equilibrium: Asymmetries and Dynamic Dependencies.(2011) In: Review of Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 22
article
2011Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability In: CREATES Research Papers.
[Full Text][Citation analysis]
paper0
2013The Fine Structure of Equity-Index Option Dynamics In: CREATES Research Papers.
[Full Text][Citation analysis]
paper10
2015The fine structure of equity-index option dynamics.(2015) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10
article
1980Guessing and the Error Structure of Learning Models. In: American Economic Review.
[Full Text][Citation analysis]
article0
1993Remarks on My Term at JBES. In: Journal of Business & Economic Statistics.
[Citation analysis]
article1
2001Testing Target-Zone Models Using Efficient Method of Moments. In: Journal of Business & Economic Statistics.
[Citation analysis]
article16
2001Testing Target-Zone Models Using Efficient Method of Moments: Reply. In: Journal of Business & Economic Statistics.
[Citation analysis]
article6
2002Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment. In: Journal of Business & Economic Statistics.
[Citation analysis]
article0
2004Regime Shifts, Risk Premiums in the Term Structure, and the Business Cycle In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
article42
2003Regime-shifts, risk premiums in the term structure, and the business cycle.(2003) In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 42
paper
2006Simulation Methods for Levy-Driven Continuous-Time Autoregressive Moving Average (CARMA) Stochastic Volatility Models In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
article10
2011Volatility Jumps In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
article49
2010Volatility Jumps.(2010) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 49
paper
2011Volatility Jumps.(2011) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 49
article
1986Statistical Properties of Generalized Method-of-Moments Estimators of Structural Parameters Obtained from Financial Market Data. In: Journal of Business & Economic Statistics.
[Citation analysis]
article129
1986Statistical Properties of Generalized Method-of-Moments Estimators of Structural Parameters Obtained from Financial Market Data: Reply. In: Journal of Business & Economic Statistics.
[Citation analysis]
article74
1990Solving the Stochastic Growth Model by Using Quadrature Methods and Value-Function Iterations. In: Journal of Business & Economic Statistics.
[Citation analysis]
article14
1985 An Investigation of Transactions Data for NYSE Stocks: Discussion. In: Journal of Finance.
[Full Text][Citation analysis]
article3
2002Alternative Models for Stock Price Dynamics In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper405
2002Alternative Models for Stock Price Dynamic.(2002) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 405
paper
2003Alternative models for stock price dynamics.(2003) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 405
article
1999A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper23
1996Which Moments to Match? In: Econometric Theory.
[Full Text][Citation analysis]
article463
1995Which Moments to Match.(1995) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 463
paper
2016ESTIMATING THE VOLATILITY OCCUPATION TIME VIA REGULARIZED LAPLACE INVERSION In: Econometric Theory.
[Full Text][Citation analysis]
article1
1997ESTIMATION OF CONTINUOUS-TIME MODELS FOR STOCK RETURNS AND INTEREST RATES In: Macroeconomic Dynamics.
[Full Text][Citation analysis]
article34
1995Estimation of Continuous Time Models for Stock Returns and Interest Rates.(1995) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 34
paper
2000Using Daily Range Data to Calibrate Volatility Diffusions and Extract the Forward Integrated Variance In: Working Papers.
[Full Text][Citation analysis]
paper114
1999Using Daily Range Data To Calibrate Volatility Diffusions And Extract The Forward Integrated Variance.(1999) In: The Review of Economics and Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 114
article
2002Efficient Method of Moments In: Working Papers.
[Full Text][Citation analysis]
paper2
2002Simulated Score Methods and Indirect Inference for Continuous-time Models In: Working Papers.
[Full Text][Citation analysis]
paper8
2010Activity Signature Functions for High-Frequency Data Analysis In: Working Papers.
[Full Text][Citation analysis]
paper26
2010Activity signature functions for high-frequency data analysis.(2010) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 26
article
2010Pricing of the Time-Change Risks In: Working Papers.
[Full Text][Citation analysis]
paper2
2009Pricing of the Time-Change Risks.(2009) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
paper
2011Pricing of the time-change risks.(2011) In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
article
2010The Realized Laplace Transform of Volatility In: Working Papers.
[Full Text][Citation analysis]
paper12
2012The Realized Laplace Transform of Volatility.(2012) In: Econometrica.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 12
article
2010Limit Theorems for Power Variations of Pure-Jump Processes with Application to Activity Estimation In: Working Papers.
[Full Text][Citation analysis]
paper1
2010Realized Laplace Transforms for Estimation of Jump Diffusive Volatility Models In: Working Papers.
[Full Text][Citation analysis]
paper6
2011Realized Laplace transforms for estimation of jump diffusive volatility models.(2011) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6
article
2011Inverse Realized Laplace Transforms for Nonparametric Volatility Estimation in Jump-Diffusions In: Working Papers.
[Full Text][Citation analysis]
paper6
2011Levy Process Models for High Frequency Financial Data In: Working Papers.
[Full Text][Citation analysis]
paper0
2011Volatility Activity: Specification and Estimation In: Working Papers.
[Full Text][Citation analysis]
paper8
2014Volatility activity: Specification and estimation.(2014) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8
article
1995Volume, Volatility and Leverage: A Dynamic Analysis In: Working Papers.
[Citation analysis]
paper53
1996Volume, volatility, and leverage: A dynamic analysis.(1996) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 53
article
1995SNP: A Program for Nonparametric Time Series Analysis. Version 8.4. Users Guide In: Working Papers.
[Full Text][Citation analysis]
paper2
1995EMM: A Program for Efficient Method of Moments Estimation. Version 1.1. Users Guide In: Working Papers.
[Full Text][Citation analysis]
paper0
1995Estimation of Stochastic Volatility Models with Diagnostics In: Working Papers.
[Citation analysis]
paper135
1997Estimation of stochastic volatility models with diagnostics.(1997) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 135
article
1995New Minimum Chi-Square Methods in Empirical Finance In: Working Papers.
[Citation analysis]
paper6
1995Specification Analysis of Continuous Time Models in Finance In: Working Papers.
[Citation analysis]
paper0
1997Reprojecting Partially Observed Systems with Application to Interest Rate Diffusions In: Working Papers.
[Citation analysis]
paper6
1997The Objective Function of Simulation Estimators Near the Boundary of the Unstable Region of the Parameter Space In: Working Papers.
[Citation analysis]
paper3
1998The Objective Function Of Simulation Estimators Near The Boundary Of The Unstable Region Of The Parameter Space.(1998) In: The Review of Economics and Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
article
1983The Price Variability-Volume Relationship on Speculative Markets. In: Econometrica.
[Full Text][Citation analysis]
article493
1989Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications. In: Econometrica.
[Full Text][Citation analysis]
article144
1988SEMINONPARAMETRIC ESTIMATION OF CONDITIONALLY CONSTRAINED HETEROGENEOUS PROCESSES: ASSET PRICING APPLICATIONS.(1988) In: Chicago - Graduate School of Business.
[Citation analysis]
This paper has another version. Agregated cites: 144
paper
1991Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models. In: Econometrica.
[Full Text][Citation analysis]
article478
1993Nonlinear Dynamic Structures. In: Econometrica.
[Full Text][Citation analysis]
article236
1986A note on the asymptotic lower bound for the covariance matrix of the GMM estimator of the parameters of agents utility functions In: Economics Letters.
[Full Text][Citation analysis]
article0
1986Finite state markov-chain approximations to univariate and vector autoregressions In: Economics Letters.
[Full Text][Citation analysis]
article774
2001Notes on financial econometrics In: Journal of Econometrics.
[Full Text][Citation analysis]
article7
2003Frontiers of financial econometrics and financial engineering In: Journal of Econometrics.
[Full Text][Citation analysis]
article0
2011Realized jumps on financial markets and predicting credit spreads In: Journal of Econometrics.
[Full Text][Citation analysis]
article71
2006Realized jumps on financial markets and predicting credit spreads.(2006) In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 71
paper
2016Inference theory for volatility functional dependencies In: Journal of Econometrics.
[Full Text][Citation analysis]
article3
2017Adaptive estimation of continuous-time regression models using high-frequency data In: Journal of Econometrics.
[Full Text][Citation analysis]
article12
2017Mixed-scale jump regressions with bootstrap inference In: Journal of Econometrics.
[Full Text][Citation analysis]
article4
1985Diagnostic testing and evaluation of maximum likelihood models In: Journal of Econometrics.
[Full Text][Citation analysis]
article145
1990Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution In: Journal of Econometrics.
[Full Text][Citation analysis]
article60
1995Nonparametric estimation of structural models for high-frequency currency market data In: Journal of Econometrics.
[Full Text][Citation analysis]
article58
1999The relative efficiency of method of moments estimators1 In: Journal of Econometrics.
[Full Text][Citation analysis]
article21
2001The bias of tests for a risk premium in forward exchange rates In: Journal of Empirical Finance.
[Full Text][Citation analysis]
article23
2013Risk and return: Long-run relations, fractional cointegration, and return predictability In: Journal of Financial Economics.
[Full Text][Citation analysis]
article58
2015Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]
article4
1988ON FITTING A RECALCITRANT SERIES: THE POUND/DOLLAR EXCHANGE RATE, 1974- 83 In: Chicago - Graduate School of Business.
[Citation analysis]
paper2
2007Rational Pessimism, Rational Exuberance, and Asset Pricing Models In: NBER Working Papers.
[Full Text][Citation analysis]
paper55
2007Rational Pessimism, Rational Exuberance, and Asset Pricing Models.(2007) In: Review of Economic Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 55
article
2016Introduction to: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
article0
2005The Relative Contribution of Jumps to Total Price Variance In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
article319
2006Leverage and Volatility Feedback Effects in High-Frequency Data In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
article168
1992Stock Prices and Volume. In: Review of Financial Studies.
[Full Text][Citation analysis]
article476
1982The Effect of Liquor Taxes on Heavy Drinking In: Bell Journal of Economics.
[Full Text][Citation analysis]
article44
Reproducing Partial Observed Systems with Application to Interest Rate Diffusions In: Computing in Economics and Finance 1997.
[Full Text][Citation analysis]
paper0
2012Inverse Realized Laplace Transforms for Nonparametric Volatility Density Estimation in Jump-Diffusions In: Journal of the American Statistical Association.
[Full Text][Citation analysis]
article3
2017Robust Jump Regressions In: Journal of the American Statistical Association.
[Full Text][Citation analysis]
article2
1984The Effect of Minimum Drinking Age Legislation on Youthful Auto Fatalities, 1970-1977 In: The Journal of Legal Studies.
[Full Text][Citation analysis]
article18
1981Some Evidence on Cross-Sector Effects of the Minimum Wage. In: Journal of Political Economy.
[Full Text][Citation analysis]
article8
2017Jump Regressions In: Econometrica.
[Full Text][Citation analysis]
article1
2011Stochastic Volatility in General Equilibrium In: Quarterly Journal of Finance (QJF).
[Full Text][Citation analysis]
article8

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated November, 2 2021. Contact: CitEc Team