George Tauchen : Citation Profile

Are you George Tauchen?

Duke University

30

H index

48

i10 index

8627

Citations

RESEARCH PRODUCTION:

62

Articles

41

Papers

EDITOR:

2

Books edited

RESEARCH ACTIVITY:

   37 years (1980 - 2017). See details.
   Cites by year: 233
   Journals where George Tauchen has often published
   Relations with other researchers
   Recent citing documents: 213.    Total self citations: 28 (0.32 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pta61
   Updated: 2024-01-16    RAS profile: 2022-08-29    
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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 (137)

Bollerslev, Tim (117)

Asai, Manabu (61)

Ghysels, Eric (58)

Shephard, Neil (50)

Sentana, Enrique (49)

Zhou, Hao (44)

Caporin, Massimiliano (44)

Meddahi, Nour (41)

Diebold, Francis (41)

Sévi, Benoît (41)

Cites to:

Bollerslev, Tim (74)

Gallant, A. (58)

Andersen, Torben (46)

Diebold, Francis (31)

Shephard, Neil (27)

Engle, Robert (25)

Renault, Eric (18)

Ait-Sahalia, Yacine (18)

Singleton, Kenneth (16)

Hansen, Lars (15)

Ghysels, Eric (15)

Main data

Where George Tauchen has published?

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

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 (2024 and 2023)

YearTitle of citing document
2023A fractional Hawkes process for illiquidity modeling. (2023). Hainaut, Donatien ; Dupret, Jean-Loup. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2023001.

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2023A Sieve-SMM Estimator for Dynamic Models. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1902.01456.

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2023Spillovers of Program Benefits with Mismeasured Networks. (2020). Zhang, Lina. In: Papers. RePEc:arx:papers:2009.09614.

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2023Functional Principal Component Analysis of Cointegrated Functional Time Series. (2020). Seo, Won-Ki. In: Papers. RePEc:arx:papers:2011.12781.

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2023Common Idiosyncratic Quantile Risk. (2022). Nevrla, Matej ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2208.14267.

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2023Analyzing Linear DSGE models: the Method of Undetermined Markov States. (2022). Roulleau-Pasdeloup, Jordan. In: Papers. RePEc:arx:papers:2209.05081.

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2023Bayesian Forecasting in the 21st Century: A Modern Review. (2022). Koop, Gary ; Huber, Florian ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Frazier, David T ; Martin, Gael M ; Panagiotelis, Anastasios ; Nibbering, Didier ; Maheu, John . In: Papers. RePEc:arx:papers:2212.03471.

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2023Noisy, Non-Smooth, Non-Convex Estimation of Moment Condition Models. (2023). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:2301.07196.

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2023Sequential Estimation of Multivariate Factor Stochastic Volatility Models. (2023). Calzolari, Giorgio ; Mucher, Christian ; Halbleib, Roxana. In: Papers. RePEc:arx:papers:2302.07052.

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2023Volatility of Volatility and Leverage Effect from Options. (2023). Todorov, Viktor ; Chong, Carsten H. In: Papers. RePEc:arx:papers:2305.04137.

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2023Volatility jumps and the classification of monetary policy announcements. (2023). Gallo, Giampiero ; Otranto, Edoardo ; Lacava, Demetrio. In: Papers. RePEc:arx:papers:2305.12192.

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2023Stock and market index prediction using Informer network. (2023). Guo, Qiwen ; Zhang, Hailong ; Lu, Yuze. In: Papers. RePEc:arx:papers:2305.14382.

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2023Generalized Autoregressive Score Trees and Forests. (2023). Simsek, Yasin ; Patton, Andrew J. In: Papers. RePEc:arx:papers:2305.18991.

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2023Sluggish news reactions: A combinatorial approach for synchronizing stock jumps. (2023). Neely, Christopher ; Boudt, Kris ; Laurent, S'Ebastien ; Bouamara, Nabil. In: Papers. RePEc:arx:papers:2309.15705.

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2023Economic Theory as Successive Approximations of Statistical Moments. (2023). Olkhov, Victor. In: Papers. RePEc:arx:papers:2310.05971.

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2023Data-Driven Fixed-Point Tuning for Truncated Realized Variations. (2023). Jos'e E. Figueroa-L'opez, ; Boniece, Cooper B ; Han, Yuchen. In: Papers. RePEc:arx:papers:2311.00905.

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2023Optimal Estimation Methodologies for Panel Data Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2311.03471.

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2023Rough volatility: evidence from range volatility estimators. (2023). Mouti, Saad. In: Papers. RePEc:arx:papers:2312.01426.

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2023Estimation of Asymmetric Stochastic Volatility in Mean Models. (2023). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2309.

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2023Time-Varying Risk Aversion and International Stock Returns. (2023). Guidolin, Massimo ; Cabrera, Gabriel ; Hansen, Erwin. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp23203.

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2023Borrow Now, Pay Even Later: A Quantitative Analysis of Student Debt Payment Plans. (2023). Clara, Nuno ; Boutros, Michael ; Gomes, Francisco. In: Staff Working Papers. RePEc:bca:bocawp:23-54.

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2023House Prices and the Distribution of Wealth Around the Great Recession. (2023). Rodolfo, Oviedo Moguel ; Richard, Condor. In: Working Papers. RePEc:bdm:wpaper:2023-04.

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2023The role of the U.S. exchange?rate equity market volatility on agricultural exports and forecasts. (2023). Nganje, William ; Addey, Kwame Asiam. In: Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie. RePEc:bla:canjag:v:71:y:2023:i:1:p:25-47.

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2023Trading under uncertainty about other market participants. (2023). Papadimitriou, Dimitris. In: The Financial Review. RePEc:bla:finrev:v:58:y:2023:i:2:p:343-367.

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2023Pricing Currency Risks. (2023). Chernov, Mikhail ; Lochstoer, Lars ; Dahlquist, Magnus. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:2:p:693-730.

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2023.

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2023Managerial political power and the reallocation of resources in the internal capital market. (2023). Keum, Dongil Daniel. In: Strategic Management Journal. RePEc:bla:stratm:v:44:y:2023:i:2:p:369-414.

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2023RECENT EXAMINATION OF ENERGY MARKETS VOLATILITY. (2023). Claudiu, Booc ; Avraham, Turgeman ; Octavian, Jude. In: Studies in Business and Economics. RePEc:blg:journl:v:18:y:2023:i:1:p:118-128.

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2023The demand for long-term mortgage contracts and the role of collateral. (2023). Liu, LU. In: Bank of England working papers. RePEc:boe:boeewp:1009.

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2023Augmenting the Realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects. (2023). Papantonis, Ioannis ; Orestis, Agapitos ; Elias, Tzavalis ; Ioannis, Papantonis ; Leonidas, Rompolis. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:2:p:171-198:n:8.

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2023Anticipating extreme losses using score-driven shape filters. (2023). Blazsek, Szabolcs ; Alvaro, Escribano ; Szabolcs, Blazsek ; Astrid, Ayala. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:4:p:449-484:n:1.

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2023Intergenerational Altruism and Transfers of Time and Money: A Life Cycle Perspective. (2023). french, eric ; O'Dea, C ; MacCuish, Hentall J ; Bolt, U. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2374.

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2023The Effect of Disability Insurance Receipt on Mortality. (2023). McCauley, Jeremy ; french, eric ; Song, J ; Black, B. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2375.

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2023Differences between NZ and U.S. individual investor sentiment: More noise or more information?. (2023). Wei, Xiaopeng ; Wagner, Moritz ; Biakowski, Jdrzej. In: Working Papers in Economics. RePEc:cbt:econwp:23/11.

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2023Labour Market Power and the Dynamic Gains to Openness Reforms. (2023). Spencer, Adam Hal ; Rodriguez-Lopez, Antonio ; Jha, Priyaranjan. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10247.

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2023Global Production Linkages and Stock Market Comovement. (2023). Auer, Raphael A ; Wagner, Alexander F ; Schrimpf, Andreas ; Iwadate, Bruce. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10492.

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2023Entrepreneurship and the Efficiency Effects of Migration. (2023). Gonzalez, Gustavo. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:985.

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2023Test for Trading Costs Effect in a Portfolio Selection Problem with Recursive Utility. (2023). Kon, N'Golo ; Carrasco, Marine. In: CIRANO Working Papers. RePEc:cir:cirwor:2023s-03.

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2023Volatility jumps and the classification of monetary policy announcements. (2023). Gallo, Giampiero ; Otranto, E ; Lacava, D. In: Working Paper CRENoS. RePEc:cns:cnscwp:202306.

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2023The Macroeconomic and Redistributive Effects of Shielding Consumers from Rising Energy Prices: the French Experiment. (2023). Hairault, Jean-Olivier ; Tripier, Fabien ; Malmberg, Selma ; Langot, Franois. In: CEPREMAP Working Papers (Docweb). RePEc:cpm:docweb:2305.

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2023Data cloning for a threshold asymmetric stochastic volatility model. (2023). Lopes, Maria Helena ; Marin, Juan Miguel. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:36569.

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2023Reasons Behind Words: OPEC Narratives and the Oil Market. (2023). Joets, Marc ; Brunetti, Celso ; Mignon, Valerie. In: EconomiX Working Papers. RePEc:drm:wpaper:2023-24.

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2023A Spouse and a House are all we need? Housing Demand, Labor Supply and Divorce over the Lifecycle. (2023). Potoms, Tom ; Kovaleva, Mariia ; de Rock, Bram. In: Working Papers ECARES. RePEc:eca:wpaper:2013/364446.

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2023The state-dependent impact of changes in bank capital requirements. (2023). Menno, Dominik ; Lang, Jan Hannes. In: Working Paper Series. RePEc:ecb:ecbwps:20232828.

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2023Interaction effects in the adjustment cost function of firms. (2023). Amundsen, Alexander. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:146:y:2023:i:c:s0165188922002731.

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2023Numerical Solution of Dynamic Quantile Models. (2023). Muchon, Andre ; Galvao, Antonio F ; de Castro, Luciano. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:148:y:2023:i:c:s0165188923000234.

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2023Output distortions and the choice of legal form of organization. (2023). Raei, Sepideh ; Bilicka, Katarzyna. In: Economic Modelling. RePEc:eee:ecmode:v:119:y:2023:i:c:s0264999322003960.

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2023Great moderation with Chinese characteristics: Uncovering the role of monetary policy. (2023). Liu, Ding ; Sun, Weihong. In: Economic Modelling. RePEc:eee:ecmode:v:121:y:2023:i:c:s0264999323000366.

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2023Is a co-jump in prices a sparse jump?. (2023). Li, Handong ; Song, Shijia. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000463.

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2023A discrete-time hedging framework with multiple factors and fat tails: On what matters. (2023). Begin, Jean-Franois ; Badescu, Alexandru ; Augustyniak, Maciej. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:416-444.

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2023A simple joint model for returns, volatility and volatility of volatility. (2023). Ding, Yashuang. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:521-543.

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2023Identifying latent factors based on high-frequency data. (2023). Zhang, Chuanhai ; Xu, Wen ; Sun, Yucheng. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:251-270.

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2023State-domain change point detection for nonlinear time series regression. (2023). Zhou, Zhou ; Yang, Jun ; Cui, Yan. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:3-27.

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2023ETF Basket-Adjusted Covariance estimation. (2023). Vanduffel, Steven ; Boudt, Kris ; Sauri, Orimar ; Dragun, Kirill. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1144-1171.

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2023Intraday cross-sectional distributions of systematic risk. (2023). Andersen, Torben ; Todorov, Viktor ; Thyrsgaard, Martin ; Riva, Raul. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1394-1418.

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2023Dividend suspensions and cash flows during the Covid-19 pandemic: A dynamic econometric model. (2023). Timmermann, Allan ; Sabbatucci, Riccardo ; Pettenuzzo, Davide. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1522-1541.

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2023Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions. (2023). Sentana, Enrique ; Fiorentini, Gabriele. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:643-665.

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2023Variance–covariance from a metropolis chain on a curved, singular manifold. (2023). Gallant, Ronald A. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:843-861.

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2023Semiparametric estimation of latent variable asset pricing models. (2023). Dalderop, Jeroen. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:1:s0304407623001598.

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2023Moments, shocks and spillovers in Markov-switching VAR models. (2023). Kole, Erik ; van Dijk, Dick. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:2:s0304407623001902.

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2023The heterogeneous welfare effects of business cycles. (2023). Ma, Eunseong ; Cho, Daeha. In: European Economic Review. RePEc:eee:eecrev:v:153:y:2023:i:c:s0014292123000296.

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2023Firms’ financing dynamics around lumpy capacity adjustments. (2023). Tsoukalas, John D ; Sakellaris, Plutarchos ; Gortz, Christoph. In: European Economic Review. RePEc:eee:eecrev:v:156:y:2023:i:c:s0014292123001101.

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2023Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation. (2023). Zhang, Gongqiu ; Li, Lingfei ; Meier, Christian. In: European Journal of Operational Research. RePEc:eee:ejores:v:305:y:2023:i:3:p:1292-1308.

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2023The contribution of jump signs and activity to forecasting stock price volatility. (2023). Murphy, Anthony ; Izzeldin, Marwan ; Hizmeri, Rodrigo ; Bu, Ruijun ; Tsionas, Mike. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:144-164.

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2023Out-of-sample equity premium prediction: The role of option-implied constraints. (2023). Zhou, TI ; Wang, Yunqi. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:199-226.

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2023Detecting jumps amidst prevalent zero returns: Evidence from the U.S. Treasury securities. (2023). Park, Jeayoung ; Huh, Sahn-Wook ; Han, Seung-Oh. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:276-307.

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2023Oil price assumptions for macroeconomic policy. (2023). Filis, George ; Degiannakis, Stavros. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322005540.

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2023Do oil shocks affect the green bond market?. (2023). Ahmad, Nasir ; Vo, Xuan Vinh ; Zeitun, Rami ; Raheem, Ibrahim D ; Ur, Mobeen. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322005588.

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2023Multi-perspective investor attention and oil futures volatility forecasting. (2023). Li, Guo ; Qu, Hui. In: Energy Economics. RePEc:eee:eneeco:v:119:y:2023:i:c:s0140988323000294.

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2023Racial and ethnic disparities in unemployment and oil price uncertainty. (2023). Payne, James ; Elder, John. In: Energy Economics. RePEc:eee:eneeco:v:119:y:2023:i:c:s0140988323000543.

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2023The connectedness of oil shocks, green bonds, sukuks and conventional bonds. (2023). Sokolova, Tatiana ; Hadhri, Sinda ; Abrar, Afsheen ; Umar, Zaghum. In: Energy Economics. RePEc:eee:eneeco:v:119:y:2023:i:c:s0140988323000609.

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2023Does the substitution effect lead to feedback effect linkage between ethanol, crude oil, and soft agricultural commodities?. (2023). Rao, Sandeep ; Singh, Vipul Kumar ; Kumar, Pawan. In: Energy Economics. RePEc:eee:eneeco:v:119:y:2023:i:c:s0140988323000725.

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2023Economic policy uncertainty, jump dynamics, and oil price volatility. (2023). Qi, YU ; Pan, NA ; Li, Xin ; Shao, Shuai ; Liu, Feng. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323001330.

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2023Endogenous thresholds in energy prices: Modeling and empirical estimation. (2023). Wright, Brian D ; Bobenrieth, Juan ; Guerra, Ernesto. In: Energy Economics. RePEc:eee:eneeco:v:121:y:2023:i:c:s0140988323001676.

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2023Forecasting global stock market volatilities in an uncertain world. (2023). Zhang, Ting ; Wang, Gang-Jin ; Zeng, Zhi-Jian ; Xie, Chi ; Li, Zhao-Chen. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004136.

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2023On the right jump tail inferred from the VIX market. (2023). Izzeldin, Marwan ; Yao, Xingzhi ; Li, Zhenxiong. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000236.

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2023Long-term adjusted volatility: Powerful capability in forecasting stock market returns. (2023). Li, Yan ; Liu, Jing ; Qiu, Rui. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000467.

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2023Risk spillovers from Chinas and the US stock markets during high-volatility periods: Evidence from East Asianstock markets. (2023). Xiao, Yang ; Wang, BO. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000546.

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2023Risk appetite and option prices: Evidence from the Chinese SSE50 options market. (2023). Sui, Cong ; Wang, Shouyang ; Liu, Qing. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000571.

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2023A comprehensive investigation on the predictive power of economic policy uncertainty from non-U.S. countries for U.S. stock market returns. (2023). Huang, Dengshi ; Bouri, Elie ; Ma, Feng. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001722.

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2023Good volatility, bad volatility, and the cross section of cryptocurrency returns. (2023). Zhao, Ran ; Zhang, Zehua. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002284.

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2023Forecasting European stock volatility: The role of the UK. (2023). Gu, Chen ; Gao, Xiang. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002442.

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2023Do cryptocurrencies feel the music?. (2023). Hadhri, Sinda. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002958.

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2023Applications of high-frequency data in finance: A bibliometric literature review. (2023). Ahmad, Nisar ; Ahmed, Sheraz ; Hussain, Syed Mujahid. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s105752192300306x.

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2023S&P volatility, VIX, and asymptotic volatility estimates. (2023). Christie-David, Rohan ; Chatrath, Arjun ; Bonaparte, Yosef. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322005694.

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2023Does the realized distribution-based measure dominate particular moments? Evidence from cryptocurrency markets. (2023). Yen, Kuang-Chieh ; Chiu, Shih-Yung ; Yang, Jen-Wei. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322005736.

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2023Introducing the Cryptocurrency VIX: CVIX?. (2023). Bonaparte, Yosef. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323000867.

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2023Stock illiquidity and option returns. (2023). Uhrig-Homburg, Marliese ; Korn, Olaf ; Kanne, Stefan. In: Journal of Financial Markets. RePEc:eee:finmar:v:63:y:2023:i:c:s1386418122000556.

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2023Market quality surrounding anticipated distraction events: Evidence from the FIFA World Cup. (2023). Drummond, Philip A. In: Journal of Financial Markets. RePEc:eee:finmar:v:63:y:2023:i:c:s1386418122000581.

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2023A Bayesian analysis of time-varying jump risk in S&P 500 returns and options. (2023). Luo, Dan ; Carverhill, Andrew. In: Journal of Financial Markets. RePEc:eee:finmar:v:64:y:2023:i:c:s1386418122000751.

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2023Equity premium prediction: The role of information from the options market. (2023). Voukelatos, Nikolaos ; Panopoulou, Ekaterini ; Apergis, Iraklis ; Alexandridis, Antonios K. In: Journal of Financial Markets. RePEc:eee:finmar:v:64:y:2023:i:c:s1386418122000908.

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2023Job postings and aggregate stock returns. (2023). Odoherty, Michael S ; Kothari, Pratik. In: Journal of Financial Markets. RePEc:eee:finmar:v:64:y:2023:i:c:s1386418123000022.

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2023What is mine is yours: Sovereign risk transmission during the European debt crisis. (2023). Shin, Yongcheol ; Nguyen, Viet Hoang ; Greenwood-Nimmo, Matthew. In: Journal of Financial Stability. RePEc:eee:finsta:v:65:y:2023:i:c:s1572308923000037.

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2023Portfolio diversification during the COVID-19 pandemic: Do vaccinations matter?. (2023). Vo, Xuan Vinh ; Do, Hung Xuan ; Thanh, Thao Thac ; Pham, Son Duy. In: Journal of Financial Stability. RePEc:eee:finsta:v:65:y:2023:i:c:s1572308923000189.

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2023Discovering the drivers of stock market volatility in a data-rich world. (2023). Ryu, Doojin ; Cho, Hoon ; Chun, Dohyun. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001561.

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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.
[Full Text][Citation analysis]		paper115
2008Risk, jumps, and diversification.(2008) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 115		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]		paper112
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 nother version. Agregated cites: 112		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 nother version. Agregated cites: 112		article
2008Expected Stock Returns and Variance Risk Premia In: CREATES Research Papers.
[Full Text][Citation analysis]		paper755
2009Expected Stock Returns and Variance Risk Premia.(2009) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 755		article
2009Volatility in Equilibrium: Asymmetries and Dynamic Dependencies In: CREATES Research Papers.
[Full Text][Citation analysis]		paper26
2010Volatility in Equilibrium: Asymmetries and Dynamic Dependencies.(2010) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 26		paper
2009Volatility in Equilibrium: Asymmetries and Dynamic Dependencies.(2009) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 26		paper
2011Volatility in Equilibrium: Asymmetries and Dynamic Dependencies.(2011) In: Review of Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 26		article
2011Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability In: CREATES Research Papers.
[Full Text][Citation analysis]		paper1
2013The Fine Structure of Equity-Index Option Dynamics In: CREATES Research Papers.
[Full Text][Citation analysis]		paper11
2015The fine structure of equity-index option dynamics.(2015) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 11		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]		article20
2001Testing Target-Zone Models Using Efficient Method of Moments: Reply. In: Journal of Business & Economic Statistics.
[Citation analysis]		article16
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]		article55
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 nother version. Agregated cites: 55		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]		article15
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 nother version. Agregated cites: 49		paper
2011Volatility Jumps.(2011) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has nother 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]		article187
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]		article163
1990Solving the Stochastic Growth Model by Using Quadrature Methods and Value-Function Iterations. In: Journal of Business & Economic Statistics.
[Citation analysis]		article19
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]		paper460
2002Alternative Models for Stock Price Dynamic.(2002) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 460		paper
2003Alternative models for stock price dynamics.(2003) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 460		article
1999A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper31
1996Which Moments to Match? In: Econometric Theory.
[Full Text][Citation analysis]		article562
1995Which Moments to Match.(1995) In: Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 562		paper
2016ESTIMATING THE VOLATILITY OCCUPATION TIME VIA REGULARIZED LAPLACE INVERSION In: Econometric Theory.
[Full Text][Citation analysis]		article2
1997ESTIMATION OF CONTINUOUS-TIME MODELS FOR STOCK RETURNS AND INTEREST RATES In: Macroeconomic Dynamics.
[Full Text][Citation analysis]		article38
1995Estimation of Continuous Time Models for Stock Returns and Interest Rates.(1995) In: Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 38		paper
2000Using Daily Range Data to Calibrate Volatility Diffusions and Extract the Forward Integrated Variance In: Working Papers.
[Full Text][Citation analysis]		paper155
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 nother version. Agregated cites: 155		article
2002Efficient Method of Moments In: Working Papers.
[Full Text][Citation analysis]		paper3
2002Simulated Score Methods and Indirect Inference for Continuous-time Models In: Working Papers.
[Full Text][Citation analysis]		paper10
2010Activity Signature Functions for High-Frequency Data Analysis In: Working Papers.
[Full Text][Citation analysis]		paper30
2010Activity signature functions for high-frequency data analysis.(2010) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 30		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 nother 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 nother version. Agregated cites: 2		article
2010The Realized Laplace Transform of Volatility In: Working Papers.
[Full Text][Citation analysis]		paper16
2012The Realized Laplace Transform of Volatility.(2012) In: Econometrica.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 16		article
2010Limit Theorems for Power Variations of Pure-Jump Processes with Application to Activity Estimation In: Working Papers.
[Full Text][Citation analysis]		paper2
2010Realized Laplace Transforms for Estimation of Jump Diffusive Volatility Models In: Working Papers.
[Full Text][Citation analysis]		paper10
2011Realized Laplace transforms for estimation of jump diffusive volatility models.(2011) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 10		article
2011Inverse Realized Laplace Transforms for Nonparametric Volatility Estimation in Jump-Diffusions In: Working Papers.
[Full Text][Citation analysis]		paper7
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]		paper14
2014Volatility activity: Specification and estimation.(2014) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 14		article
1995Volume, Volatility and Leverage: A Dynamic Analysis In: Working Papers.
[Citation analysis]		paper57
1996Volume, volatility, and leverage: A dynamic analysis.(1996) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 57		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]		paper150
1997Estimation of stochastic volatility models with diagnostics.(1997) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 150		article
1995New Minimum Chi-Square Methods in Empirical Finance In: Working Papers.
[Citation analysis]		paper10
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 nother version. Agregated cites: 3		article
1983The Price Variability-Volume Relationship on Speculative Markets. In: Econometrica.
[Full Text][Citation analysis]		article599
1989Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications. In: Econometrica.
[Full Text][Citation analysis]		article177
1988SEMINONPARAMETRIC ESTIMATION OF CONDITIONALLY CONSTRAINED HETEROGENEOUS PROCESSES: ASSET PRICING APPLICATIONS.(1988) In: Chicago - Graduate School of Business.
[Citation analysis]
This paper has nother version. Agregated cites: 177		paper
1991Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models. In: Econometrica.
[Full Text][Citation analysis]		article616
1993Nonlinear Dynamic Structures. In: Econometrica.
[Full Text][Citation analysis]		article297
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]		article1091
2001Notes on financial econometrics In: Journal of Econometrics.
[Full Text][Citation analysis]		article10
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]		article87
2006Realized jumps on financial markets and predicting credit spreads.(2006) In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 87		paper
2016Inference theory for volatility functional dependencies In: Journal of Econometrics.
[Full Text][Citation analysis]		article6
2017Adaptive estimation of continuous-time regression models using high-frequency data In: Journal of Econometrics.
[Full Text][Citation analysis]		article18
2017Mixed-scale jump regressions with bootstrap inference In: Journal of Econometrics.
[Full Text][Citation analysis]		article7
1985Diagnostic testing and evaluation of maximum likelihood models In: Journal of Econometrics.
[Full Text][Citation analysis]		article172
1990Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution In: Journal of Econometrics.
[Full Text][Citation analysis]		article69
1995Nonparametric estimation of structural models for high-frequency currency market data In: Journal of Econometrics.
[Full Text][Citation analysis]		article67
1999The relative efficiency of method of moments estimators1 In: Journal of Econometrics.
[Full Text][Citation analysis]		article27
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]		article88
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]		article8
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]		paper78
2007Rational Pessimism, Rational Exuberance, and Asset Pricing Models.(2007) In: Review of Economic Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 78		article
2016Introduction to: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference In: The Journal of Financial Econometrics.
[Full Text][Citation analysis]		article1
2005The Relative Contribution of Jumps to Total Price Variance In: The Journal of Financial Econometrics.
[Full Text][Citation analysis]		article447
2006Leverage and Volatility Feedback Effects in High-Frequency Data In: The Journal of Financial Econometrics.
[Full Text][Citation analysis]		article220
1992Stock Prices and Volume. In: Review of Financial Studies.
[Full Text][Citation analysis]		article578
1982The Effect of Liquor Taxes on Heavy Drinking In: Bell Journal of Economics.
[Full Text][Citation analysis]		article74
Reproducing Partial Observed Systems with Application to Interest Rate Diffusions In: Computing in Economics and Finance 1997.
[Full Text][Citation analysis]		paper71
2012Inverse Realized Laplace Transforms for Nonparametric Volatility Density Estimation in Jump-Diffusions In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article5
2017Robust Jump Regressions In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article3
1984The Effect of Minimum Drinking Age Legislation on Youthful Auto Fatalities, 1970-1977 In: The Journal of Legal Studies.
[Full Text][Citation analysis]		article25
1981Some Evidence on Cross-Sector Effects of the Minimum Wage. In: Journal of Political Economy.
[Full Text][Citation analysis]		article9
2017Jump Regressions In: Econometrica.
[Full Text][Citation analysis]		article1
2011Stochastic Volatility in General Equilibrium In: Quarterly Journal of Finance (QJF).
[Full Text][Citation analysis]		article17

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