George Tauchen : Citation Profile


Are you George Tauchen?

Duke University

28

H index

36

i10 index

5431

Citations

RESEARCH PRODUCTION:

62

Articles

41

Papers

EDITOR:

2

Books edited

RESEARCH ACTIVITY:

   37 years (1980 - 2017). See details.
   Cites by year: 146
   Journals where George Tauchen has often published
   Relations with other researchers
   Recent citing documents: 633.    Total self citations: 28 (0.51 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pta61
   Updated: 2019-08-17    RAS profile: 2018-06-07    
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Relations with other researchers


Works with:

Andersen, Torben (2)

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 (107)

Bollerslev, Tim (95)

McAleer, Michael (90)

Asai, Manabu (62)

Ghysels, Eric (52)

Caporin, Massimiliano (41)

Christoffersen, Peter (41)

Shephard, Neil (38)

Sentana, Enrique (36)

Sévi, Benoît (36)

Santucci de Magistris, Paolo (34)

Cites to:

Bollerslev, Tim (70)

Gallant, A. (52)

Andersen, Torben (41)

Diebold, Francis (29)

Barndorff-Nielsen, Ole (23)

Engle, Robert (22)

Shephard, Neil (20)

Renault, Eric (18)

Ait-Sahalia, Yacine (17)

Singleton, Kenneth (15)

Campbell, John (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
Economics Letters2
Journal of the American Statistical Association2
Review of Financial Studies2
The Review of Economics and Statistics2
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 (US)2

Recent works citing George Tauchen (2018 and 2017)


YearTitle of citing document
2017Short- and Long-Term Effects of Adolescent Alcohol Access: Evidence from Denmark. (2017). Datta Gupta, Nabanita ; Seid, Abdu Kedir ; Nielsson, Anton . In: Economics Working Papers. RePEc:aah:aarhec:2017-03.

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2017A Non-Structural Investigation of VIX Risk Neutral Density. (2017). Violante, Francesco ; Santucci de Magistris, Paolo ; Barletta, Andrea. In: CREATES Research Papers. RePEc:aah:create:2017-15.

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2017Is the diurnal pattern sufficient to explain the intraday variation in volatility? A nonparametric assessment. (2017). Podolskij, Mark ; Hounyo, Ulrich ; Christensen, Kim. In: CREATES Research Papers. RePEc:aah:create:2017-30.

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2018The Pricing of Tail Risk and the Equity Premium: Evidence from International Option Markets. (2018). Andersen, Torben ; Todorov, Viktor ; Fusari, Nicola. In: CREATES Research Papers. RePEc:aah:create:2018-02.

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2018The Risk Premia Embedded in Index Options. (2018). Andersen, Torben ; Todorov, Viktor ; Fusari, Nicola. In: CREATES Research Papers. RePEc:aah:create:2018-07.

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2018Short-Term Market Risks Implied by Weekly Options. (2018). Andersen, Torben ; Todorov, Viktor ; Fusari, Nicola. In: CREATES Research Papers. RePEc:aah:create:2018-08.

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2018Reexamining financial and economic predictability with new estimators of realized variance and variance risk premium. (2018). Veiga, Helena ; Casas, Isabel ; Mao, Xiuping. In: CREATES Research Papers. RePEc:aah:create:2018-10.

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2018Inference for Local Distributions at High Sampling Frequencies: A Bootstrap Approach. (2018). Varneskov, Rasmus T ; Hounyo, Ulrich. In: CREATES Research Papers. RePEc:aah:create:2018-16.

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2018The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing. (2018). Veliyev, Bezirgen ; Thyrsgaard, Martin ; Christensen, Kim. In: CREATES Research Papers. RePEc:aah:create:2018-19.

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2019Resuscitating the co-fractional model of Granger (1986). (2019). de Magistris, Paolo Santucci ; Carlini, Federico. In: CREATES Research Papers. RePEc:aah:create:2019-02.

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2019Assessing predictive accuracy in panel data models with long-range dependence. (2019). Christensen, Bent Jesper ; Borup, Daniel ; Ergemen, Yunus Emre. In: CREATES Research Papers. RePEc:aah:create:2019-04.

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2018Optimal Progressive Income Taxation in a Bewley-Grossman Framework. (2018). Tran, Chung ; Jung, Juergen. In: ANU Working Papers in Economics and Econometrics. RePEc:acb:cbeeco:2018-662.

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2017Gross Worker Flows over the Business Cycle. (2017). Rogerson, Richard ; Mukoyama, Toshihiko ; Ahin, Ayegul ; Krusell, Per. In: American Economic Review. RePEc:aea:aecrev:v:107:y:2017:i:11:p:3447-76.

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2018Firms, Informality, and Development: Theory and Evidence from Brazil. (2018). Ulyssea, Gabriel. In: American Economic Review. RePEc:aea:aecrev:v:108:y:2018:i:8:p:2015-47.

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2017Job Ladders and Earnings of Displaced Workers. (2017). Krolikowski, Pawel. In: American Economic Journal: Macroeconomics. RePEc:aea:aejmac:v:9:y:2017:i:2:p:1-31.

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2017Correction to Black-Scholes formula due to fractional stochastic volatility. (2017). Garnier, Josselin ; Solna, Knut. In: Papers. RePEc:arx:papers:1509.01175.

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2017Do co-jumps impact correlations in currency markets?. (2017). Vacha, Lukas ; Baruník, Jozef ; Barunik, Jozef. In: Papers. RePEc:arx:papers:1602.05489.

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2019Combining Dimension Reduction, Distance Measures and Covariance. (2017). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1603.09060.

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2017The Local Fractional Bootstrap. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger ; Hounyo, Ulrich. In: Papers. RePEc:arx:papers:1605.00868.

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2018Semiparametric inference on the fractal index of Gaussian and conditionally Gaussian time series data. (2018). Bennedsen, Mikkel . In: Papers. RePEc:arx:papers:1608.01895.

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2018Efficient asymptotic variance reduction when estimating volatility in high frequency data. (2018). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1701.01185.

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2017High-Frequency Jump Analysis of the Bitcoin Market. (2017). Scaillet, Olivier ; Trevisan, Christopher ; Treccani, Adrien . In: Papers. RePEc:arx:papers:1704.08175.

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2018Online Adaptive Machine Learning Based Algorithm for Implied Volatility Surface Modeling. (2018). Zeng, Yaxiong ; Klabjan, Diego. In: Papers. RePEc:arx:papers:1706.01833.

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2019Indirect Inference with a Non-Smooth Criterion Function. (2018). Oka, Tatsushi ; Zhu, Dan ; Frazier, David T. In: Papers. RePEc:arx:papers:1708.02365.

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2017Optimum thresholding using mean and conditional mean square error. (2017). , ; Mancini, Cecilia . In: Papers. RePEc:arx:papers:1708.04339.

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

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2019Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book. (2018). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1709.02502.

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2018Uniform Inference for Characteristic Effects of Large Continuous-Time Linear Models. (2018). Yang, Xiye ; Liao, Yuan. In: Papers. RePEc:arx:papers:1711.04392.

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2018Predicting crypto-currencies using sparse non-Gaussian state space models. (2018). Zoerner, Thomas ; Huber, Florian ; Zorner, Thomas O ; Hotz-Behofsits, Christian. In: Papers. RePEc:arx:papers:1801.06373.

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2018Affine forward variance models. (2018). Gatheral, Jim ; Keller-Ressel, Martin. In: Papers. RePEc:arx:papers:1801.06416.

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2018Theoretical and empirical analysis of trading activity. (2018). Pohl, Mathias ; Tangpi, Ludovic ; Schachermayer, Walter ; Ristig, Alexander . In: Papers. RePEc:arx:papers:1803.04892.

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2018Adversarial Generalized Method of Moments. (2018). Syrgkanis, Vasilis ; Lewis, Gregory. In: Papers. RePEc:arx:papers:1803.07164.

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2018Computing the CEV option pricing formula using the semiclassical approximation of path integral. (2018). Villena, Marcelo ; Araneda, Axel A. In: Papers. RePEc:arx:papers:1803.10376.

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2018Continuous Record Asymptotics for Structural Change Models. (2018). Perron, Pierre ; Casini, Alessandro. In: Papers. RePEc:arx:papers:1803.10881.

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2018Tests for Forecast Instability and Forecast Failure under a Continuous Record Asymptotic Framework. (2018). Casini, Alessandro. In: Papers. RePEc:arx:papers:1803.10883.

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2018Continuous Record Laplace-based Inference about the Break Date in Structural Change Models. (2018). Perron, Pierre ; Casini, Alessandro. In: Papers. RePEc:arx:papers:1804.00232.

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2019Data-based Automatic Discretization of Nonparametric Distributions. (2018). Toda, Alexis Akira. In: Papers. RePEc:arx:papers:1805.00896.

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2018Asymptotic Refinements of a Misspecification-Robust Bootstrap for Generalized Method of Moments Estimators. (2018). Lee, Seojeong. In: Papers. RePEc:arx:papers:1806.01450.

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2019Model Risk Measurement under Wasserstein Distance. (2018). Feng, YU ; Schlogl, Erik. In: Papers. RePEc:arx:papers:1809.03641.

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2018Measuring Systematic Risk with Neural Network Factor Model. (2018). Huh, Jeonggyu. In: Papers. RePEc:arx:papers:1809.04925.

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

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2018Option market (in)efficiency and implied volatility dynamics after return jumps. (2018). Kanniainen, Juho ; Magris, Martin. In: Papers. RePEc:arx:papers:1810.12200.

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2019Equilibrium price and optimal insider trading strategy under stochastic liquidity with long memory. (2019). Yang, Ben-Zhang ; Huang, Nan-Jing ; He, Xinjiang. In: Papers. RePEc:arx:papers:1901.00345.

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2019The Arrival of News and Return Jumps in Stock Markets: A Nonparametric Approach. (2019). Kanniainen, Juho ; Yue, YE. In: Papers. RePEc:arx:papers:1901.02691.

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2019An Agent-Based Model to Explain the Emergence of Stylised Facts in Log Returns. (2019). Green, Elena ; Heffernan, Daniel M. In: Papers. RePEc:arx:papers:1901.05053.

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

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2019The Africa-Dummy: Gone with the Millennium?. (2019). Sperlich, Stefan ; Kohler, Max . In: Papers. RePEc:arx:papers:1903.02357.

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2019A Varying Coefficient Model for Assessing the Returns to Growth to Account for Poverty and Inequality. (2019). Yoon, Jisu ; Sperlich, Stefan ; Kohler, Max . In: Papers. RePEc:arx:papers:1903.02390.

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2019The fractional and mixed-fractional CEV model. (2019). Araneda, Axel A. In: Papers. RePEc:arx:papers:1903.05747.

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2019Relationship between Environmental Financial Accounting Practices and Corporate Financial Risk: Evidence from Listed Companies in Vietnams Securities Market. (2019). la Soa, Nguyen. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2019:p:285-298.

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2018‘Déjà vol’ revisited: Survey forecasts of macroeconomic variables predict volatility in the cross-section of industry portfolios. (2018). Conrad, Christian ; Glas, Alexander. In: Working Papers. RePEc:awi:wpaper:0655.

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2018Home Equity Extraction and the Boom-Bust Cycle in Consumption and Residential Investment. (2018). Zhou, Xiaoqing. In: Staff Working Papers. RePEc:bca:bocawp:18-6.

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2017Expected Currency Returns and Volatility Risk Premia. (2017). ORNELAS, JOSE ; Haas, Jose Renato . In: Working Papers Series. RePEc:bcb:wpaper:454.

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2017Volatility Risk Premia and Future Commodity Returns. (2017). ORNELAS, JOSE ; Mauad, Roberto ; Haas, Jose Renato . In: Working Papers Series. RePEc:bcb:wpaper:455.

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2018Commodity Return Predictability: evidence from implied variance, skewness and their risk premia and their risk premia. (2018). ORNELAS, JOSE ; Finta, Marinela Adriana. In: Working Papers Series. RePEc:bcb:wpaper:479.

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2017Optimal density forecast combinations. (2017). Ganics, Gergely. In: Working Papers. RePEc:bde:wpaper:1751.

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2018Firm dynamics and pricing under customer capital accumulation. (2018). Roldan, Pau ; Gilbukh, Sonia. In: Working Papers. RePEc:bde:wpaper:1838.

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2019Monetary policy implications of state-dependent prices and wages. (2019). Petit, Borja ; Costain, James ; Nakov, Anton. In: Working Papers. RePEc:bde:wpaper:1910.

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2019Is market liquidity less resilient after the financial crisis? Evidence for us treasuries. (2019). Lamas, Matías ; Broto, Carmen. In: Working Papers. RePEc:bde:wpaper:1917.

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2017Commodity Price Risk Management and Fiscal Policy in a Sovereign Default Model. (2017). Lopez-Martin, Bernabe ; Leal Ordóñez, Julio ; Andre, Martinez ; Bernabe, Lopez-Martin . In: Working Papers. RePEc:bdm:wpaper:2017-04.

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2019Firm Export Dynamics and the Exchange Rate: A Quantitative Exploration. (2019). Bernabe, Lopez-Martin. In: Working Papers. RePEc:bdm:wpaper:2019-05.

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2018Asymmetric Effects of Terms of Trade Shocks on Tradable and Non-tradable Investment Rates: The Colombian Case. (2018). Garavito, Aaron ; Cárdenas Hurtado, Camilo ; Toro-Cordoba, Jorge Hernan ; Garavito-Acosta, Aaron Levi ; Cardenas-Hurtado, Camilo Alberto. In: Borradores de Economia. RePEc:bdr:borrec:1043.

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2019THE EFFECT OF TRADING VOLUMES ON STOCK RETURNS FOLLOWING LARGE PRICE MOVES. (2019). Kudryavtsev, Andrey. In: Economic Annals. RePEc:beo:journl:v:64:y:2019:i:220:p:85-116.

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2019Sovereign Default and Imperfect Tax Enforcement. (2019). Pappadà, Francesco ; Zylberberg, Yanos. In: Working papers. RePEc:bfr:banfra:722.

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2018The Paradox of Global Thrift. (2018). Fornaro, Luca ; Romei, Federica. In: Working Papers. RePEc:bge:wpaper:1039.

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2017Volatility risk premia and future commodities returns. (2017). ORNELAS, JOSE ; Mauad, Roberto ; Haas, Jose Renato . In: BIS Working Papers. RePEc:bis:biswps:619.

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2017Commodity price risk management and fiscal policy in a sovereign default model. (2017). Lopez-Martin, Bernabe ; Leal Ordóñez, Julio ; Fritscher, Andre Martinez . In: BIS Working Papers. RePEc:bis:biswps:620.

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2018Cross-stock market spillovers through variance risk premiums and equity flows. (2018). SHIM, ILHYOCK ; Sugihara, Yoshihiko ; Hattori, Masazumi. In: BIS Working Papers. RePEc:bis:biswps:702.

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2017Rare disaster risk and the expected equity risk premium. (2017). Berkman, Henk ; Lee, John B ; Jacobsen, Ben. In: Accounting and Finance. RePEc:bla:acctfi:v:57:y:2017:i:2:p:351-372.

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2018Information linkages between emission allowance and energy markets. (2018). Schultz, Emma ; Swieringa, John. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:3:p:921-935.

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2018Are Internet message boards used to facilitate stock price manipulation? Evidence from an emerging market, Thailand. (2018). Laksomya, Nattapong ; Treepongkaruna, Sirimon ; Tanthanongsakkun, Suparatana ; Powell, John G. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:s1:p:275-309.

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2018Low‐frequency volatility of real estate securities and macroeconomic risk. (2018). Lee, Chyi Lin ; Stevenson, Simon. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:s1:p:311-342.

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2018TRADER TYPE EFFECTS ON THE VOLATILITY‐VOLUME RELATIONSHIP EVIDENCE FROM THE KOSPI 200 INDEX FUTURES MARKET. (2018). Kartsaklas, Aris. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:70:y:2018:i:3:p:226-250.

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2017FORWARD GUIDANCE AND THE STATE OF THE ECONOMY. (2017). Throckmorton, Nathaniel ; Richter, Alexander ; Keen, Benjamin. In: Economic Inquiry. RePEc:bla:ecinqu:v:55:y:2017:i:4:p:1593-1624.

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2017THE LONG-TERM EFFECTS OF CONDITIONAL CASH TRANSFERS ON CHILD LABOR AND SCHOOL ENROLLMENT. (2017). Ferreira, Pedro ; Peruffo, Marcel . In: Economic Inquiry. RePEc:bla:ecinqu:v:55:y:2017:i:4:p:2008-2030.

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2018ASYMMETRIES IN THE RESPONSES OF REGIONAL JOB FLOWS TO OIL PRICE SHOCKS. (2018). Karaki, Mohamad. In: Economic Inquiry. RePEc:bla:ecinqu:v:56:y:2018:i:3:p:1827-1845.

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2018The Performance of Market†Timing Strategies of Italian Mutual Fund Investors. (2018). Cagnazzo, Alberto ; Borri, Nicola. In: Economic Notes. RePEc:bla:ecnote:v:47:y:2018:i:1:p:5-20.

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2017Risk Control: Who Cares?. (2017). Taylor, Nick. In: European Financial Management. RePEc:bla:eufman:v:23:y:2017:i:1:p:153-179.

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2017The Role of the Conditional Skewness and Kurtosis in VIX Index Valuation. (2017). Lalancette, Simon ; Simonato, Jeana Guy. In: European Financial Management. RePEc:bla:eufman:v:23:y:2017:i:2:p:325-354.

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2018Investor heterogeneity and trading. (2018). Knyazeva, Anzhela ; Kostovetsky, Leonard. In: European Financial Management. RePEc:bla:eufman:v:24:y:2018:i:4:p:680-718.

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2019The information content of the implied volatility term structure on future returns. (2019). Yen, Kuangchieh ; Wang, Yawhuei. In: European Financial Management. RePEc:bla:eufman:v:25:y:2019:i:2:p:380-406.

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2018MIS†SPECIFICATION TESTING IN RETROSPECT. (2018). Spanos, Aris. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:32:y:2018:i:2:p:541-577.

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2018Multivariate latent variable transition models of longitudinal mixed data: an analysis on alcohol use disorder. (2018). Cagnone, Silvia ; Viroli, Cinzia. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:67:y:2018:i:5:p:1399-1418.

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2018Testing the CVAR in the Fractional CVAR Model. (2018). Nielsen, Morten ; Johansen, Soren. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:836-849.

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2018Mildly Explosive Autoregression Under Stationary Conditional Heteroskedasticity. (2018). Arvanitis, Stelios ; Magdalinos, Tassos. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:892-908.

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2018The sparse method of simulated quantiles: An application to portfolio optimization. (2018). Stolfi, Paola ; Petrella, Lea ; Bernardi, Mauro. In: Statistica Neerlandica. RePEc:bla:stanee:v:72:y:2018:i:3:p:375-398.

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2017RELATIONSHIP AMONG POLITICAL INSTABILITY, STOCK MARKET RETURNS AND STOCK MARKET VOLATILITY. (2017). Hira, Irshad . In: Studies in Business and Economics. RePEc:blg:journl:v:12:y:2017:i:2:p:70-99.

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2018DO INVESTORS MIMIC TRADING STRATEGIES OF FOREIGN INVESTORS OR THE MARKET: IMPLICATIONS FOR CAPITAL ASSET PRICING. (2018). Chamil, Senarathne W ; Wei, Jianguo. In: Studies in Business and Economics. RePEc:blg:journl:v:13:y:2018:i:3:p:171-205.

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2019Stochastic volatility, jumps and leverage in energy and stock markets: evidence from high frequency data. (2018). Zerilli, Paola ; Chen, Liyuan ; Baum, Christopher. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:952.

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2019The real effects of zombie lending in Europe. (2019). Tracey, Belinda. In: Bank of England working papers. RePEc:boe:boeewp:0783.

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2017Forecasting the equity risk premium with frequency-decomposed predictors. (2017). Verona, Fabio ; Faria, Gonçalo. In: Research Discussion Papers. RePEc:bof:bofrdp:2017_001.

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2018The equity risk premium and the low frequency of the term spread. (2018). Verona, Fabio ; Faria, Gonalo. In: Research Discussion Papers. RePEc:bof:bofrdp:2018_007.

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2017High Frequency vs. Daily Resolution: the Economic Value of Forecasting Volatility Models - 2nd ed. (2017). Lilla, F. In: Working Papers. RePEc:bol:bodewp:wp1099.

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2017Continuous Record Asymptotics for Structural Change Models. (2017). Perron, Pierre ; Casini, Alessandro. In: Boston University - Department of Economics - Working Papers Series. RePEc:bos:wpaper:wp2018-010.

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2017Continuous Record Laplace-based Inference about the Break Date in Structural Change Models. (2017). Perron, Pierre ; Casini, Alessandro. In: Boston University - Department of Economics - Working Papers Series. RePEc:bos:wpaper:wp2018-011.

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2018Luxury consumption, precautionary savings and wealth inequality. (2018). Claudio, Campanale. In: The B.E. Journal of Macroeconomics. RePEc:bpj:bejmac:v:18:y:2018:i:1:p:15:n:3.

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2019Think again: volatility asymmetry and volatility persistence. (2019). Thomas, Dimpfl ; Dirk, Baur. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:23:y:2019:i:1:p:19:n:4.

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2017Forecasting Stock Returns: A Predictor-Constrained Approach. (2017). Pettenuzzo, Davide. In: Working Papers. RePEc:brd:wpaper:116.

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2018Forecasting Stock Returns: A Predictor-Constrained Approach. (2018). Pettenuzzo, Davide ; Wang, Yudong ; Pan, Zhiyuan. In: Working Papers. RePEc:brd:wpaper:116r.

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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.
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paper78
2008Risk, jumps, and diversification.(2008) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 78
article
2007A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects In: CREATES Research Papers.
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paper79
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: 79
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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: 79
article
2008Expected Stock Returns and Variance Risk Premia In: CREATES Research Papers.
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paper377
2009Expected Stock Returns and Variance Risk Premia.(2009) In: Review of Financial Studies.
[Full Text][Citation analysis]
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