George Tauchen : Citation Profile

Duke University

31

H index

48

i10 index

8897

Citations

RESEARCH PRODUCTION:

62

Articles

41

Papers

EDITOR:

2

Books edited

RESEARCH ACTIVITY:

   37 years (1980 - 2017). See details.
   Cites by year: 240
   Journals where George Tauchen has often published
   Relations with other researchers
   Recent citing documents: 188.    Total self citations: 28 (0.31 %)

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   Permalink: http://citec.repec.org/pta61
   Updated: 2025-03-15    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 (123)

Asai, Manabu (75)

Ghysels, Eric (58)

Sentana, Enrique (52)

Shephard, Neil (50)

Caporin, Massimiliano (46)

Zhou, Hao (43)

LINTON, OLIVER (43)

Meddahi, Nour (41)

Sévi, Benoît (41)

Cites to:

Bollerslev, Tim (74)

Gallant, A. (58)

Andersen, Torben (46)

Diebold, Francis (31)

Shephard, Neil (27)

Engle, Robert (25)

Ait-Sahalia, Yacine (18)

Renault, Eric (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
Journal of Financial Econometrics3
Econometric Theory2
Journal of the American Statistical Association2
Economics Letters2
The Review of Financial Studies2
The Review of Economics and Statistics2

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 (2025 and 2024)

YearTitle of citing document
2024Equilibrium Restrictions and Approximate Models -- With an application to Pricing Macroeconomic Risk. (2019). Tryphonides, Andreas. In: Papers. RePEc:arx:papers:1805.10869.

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2025A Nonparametric Dynamic Causal Model for Macroeconometrics. (2019). Shephard, Neil ; Rambachan, Ashesh. In: Papers. RePEc:arx:papers:1903.01637.

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2024Volatility Depend on Market Trades and Macro Theory. (2020). Olkhov, Victor. In: Papers. RePEc:arx:papers:2008.07907.

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2024Spillovers of Program Benefits with Mismeasured Networks. (2020). Zhang, Lina. In: Papers. RePEc:arx:papers:2009.09614.

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2024Three Remarks On Asset Pricing. (2021). Olkhov, Victor. In: Papers. RePEc:arx:papers:2105.13903.

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2024Introduction of the Market-Based Price Autocorrelation. (2022). Olkhov, Victor. In: Papers. RePEc:arx:papers:2202.09323.

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2024Option Pricing with Time-Varying Volatility Risk Aversion. (2022). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2204.06943.

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2024Common Idiosyncratic Quantile Risk. (2022). Nevrla, Matej ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2208.14267.

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2024Volatility of Volatility and Leverage Effect from Options. (2023). Todorov, Viktor ; Chong, Carsten H. In: Papers. RePEc:arx:papers:2305.04137.

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2024Economic Theory as Successive Approximations of Statistical Moments. (2023). Olkhov, Victor. In: Papers. RePEc:arx:papers:2310.05971.

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2024Data-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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2024Rough volatility: evidence from range volatility estimators. (2023). Mouti, Saad. In: Papers. RePEc:arx:papers:2312.01426.

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2024Jump detection in high-frequency order prices. (2024). Ristig, Alexander ; Hautsch, Nikolaus ; Bibinger, Markus. In: Papers. RePEc:arx:papers:2403.00819.

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2024A Comparison of Cryptocurrency Volatility-benchmarking New and Mature Asset Classes. (2024). Lenz, Jimmie ; Brini, Alessio. In: Papers. RePEc:arx:papers:2404.04962.

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2024On Quantum Ambiguity and Potential Exponential Computational Speed-Ups to Solving Dynamic Asset Pricing Models. (2024). Morgan, Jack ; Ghysels, Eric. In: Papers. RePEc:arx:papers:2405.01479.

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2024Probabilistic Predictions of Option Prices Using Multiple Sources of Data. (2024). Martin, Gael M ; Frazier, David T ; Maneesoonthorn, Worapree. In: Papers. RePEc:arx:papers:2412.00658.

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2025Self-Normalized Inference in (Quantile, Expected Shortfall) Regressions for Time Series. (2025). Schulz, Christian ; Hoga, Yannick. In: Papers. RePEc:arx:papers:2502.10065.

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2024.

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2024Retirement wealth, earnings risks, and intergenerational links. (2024). Zhang, Jie ; Shao, Lei. In: Economic Inquiry. RePEc:bla:ecinqu:v:62:y:2024:i:4:p:1494-1519.

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2024Modeling Conditional Factor Risk Premia Implied by Index Option Returns. (2024). Orowski, Piotr ; Jacobs, Kris ; Fournier, Mathieu. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:3:p:2289-2338.

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2024Testing for jumps with robust spot volatility estimators. (2024). Sun, Yucheng. In: Statistica Neerlandica. RePEc:bla:stanee:v:78:y:2024:i:1:p:79-104.

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2025Bouncing back: how mothballing curbs prices. (2025). Kotlicki, Artur ; Duprey, Thibaut ; Schnattinger, Philip ; Rigobon, Daniel. In: Bank of England working papers. RePEc:boe:boeewp:1112.

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2024Information matrix tests for multinomial logit models. (2024). Sentan, Enrique ; Fiorentini, Gariele ; Amengual, Dante. In: Working Papers. RePEc:cmf:wpaper:wp2024_2406.

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2025The information matrix test for Markov switching autoregressive models with covariate-dependent transition probabilities. (2025). Sentana, Enrique ; Fiorentini, Gabriele ; Amengual, Dante. In: Working Papers. RePEc:cmf:wpaper:wp2025_2502.

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2024Why Don’t Poor Families Move? A Spatial Equilibrium Analysis of Parental Decisions with Social Learning. (2024). Bellue, Suzanne. In: Working Papers. RePEc:crs:wpaper:2024-07.

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2024A stochastic volatility model for volatility asymmetry and propagation. (2024). Lopes, Maria Helena ; Romero, Eva ; Marin, Juan Miguel. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:43887.

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2024Convergence of a exponential tamed method for a general interest rate model. (2024). Wang, Mengchao ; Lord, Gabriel. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:467:y:2024:i:c:s0096300323006720.

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2024Can passive monetary policy decrease the debt burden?. (2024). Shen, Wenyi ; Mao, Ruoyun ; Yang, Shu-Chun S. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:159:y:2024:i:c:s0165188923002087.

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2024Estimation of expected return integrating real-time asset prices implied information and historical data. (2024). Li, Zhongfei ; Huang, YI ; Zhu, Shushang ; Wang, Shikun. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:167:y:2024:i:c:s0165188924001234.

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2024A quantitative theory of the new life cycle of womens employment. (2024). Cruces, Lidia. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:169:y:2024:i:c:s0165188924001520.

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2024Beveridge curve under endogenous separation model: The role of wage rigidity and match-specific productivity. (2024). Takano, Tetsuaki. In: Economic Modelling. RePEc:eee:ecmode:v:141:y:2024:i:c:s0264999324002025.

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2024Welfare effects of health insurance reform: The role of elastic medical demand. (2024). Hagiwara, Reona. In: Economic Modelling. RePEc:eee:ecmode:v:141:y:2024:i:c:s0264999324002657.

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2024Risk-neutral skewness and stock market returns: A time-series analysis. (2024). Zhang, LU ; Wu, Zhengyu ; Li, Xiaowei. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s1062940823001638.

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2024Quantile connectedness of oil price shocks with socially responsible investments. (2024). Umar, Zaghum ; Malik, Farooq. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s1062940823001894.

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2024The volume-implied volatility relation in financial markets: A behavioral explanation. (2024). Padungsaksawasdi, Chaiyuth ; Cheuathonghua, Massaporn. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:71:y:2024:i:c:s1062940824000238.

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2024Market risk modeling with option-implied covariances and score-driven dynamics. (2024). Pia, Marco ; Herrera, Rodrigo. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000615.

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2024Systemic risk monitoring model from the perspective of public information arrival. (2024). Zhu, Xingting ; Liu, Bin ; Yan, Han ; Wu, Yan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000664.

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2024A comparison of bitcoin futures return and return volatility based on news sentiment contemporaneously or lead-lag. (2024). Chou, Ke-Hsin ; Day, Min-Yuh ; Kao, Yu-Sheng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000846.

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2024Volatility risk premium, good volatility and bad volatility: Evidence from SSE 50 ETF options. (2024). Li, Zhe ; Xiao, Weilin ; Shen, Jiashuang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001311.

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2024Speculative and non-speculative equity premia. (2024). Dorobiala, Zachary ; Schneider, Mark ; Ghazi, Soroush. In: Economics Letters. RePEc:eee:ecolet:v:236:y:2024:i:c:s0165176524001022.

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2024Optimal nonparametric range-based volatility estimation. (2024). Li, Qiyuan ; Bollerslev, Tim. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:1:s0304407623002646.

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2024Detecting identification failure in moment condition models. (2024). Forneron, Jean-Jacques. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:1:s0304407623002683.

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2024Stock co-jump networks. (2024). Zheng, Xinghua ; Liu, Guoli ; Ding, YI. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s030440762300057x.

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2024Realized regression with asynchronous and noisy high frequency and high dimensional data. (2024). Zhang, Lan ; Mykland, Per A ; Chen, Dachuan. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s030440762300132x.

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2024Volatility of volatility and leverage effect from options. (2024). Todorov, Viktor ; Chong, Carsten H. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000150.

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2024Maximum likelihood estimation of latent Markov models using closed-form approximations. (2024). Xu, Chen ; Li, Chenxu ; Ait-Sahalia, Yacine. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:2:s0304407620303389.

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2024An unbounded intensity model for point processes. (2024). Kolokolov, Aleksey ; Christensen, Kim. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:1:s0304407624001854.

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2024Estimating option pricing models using a characteristic function-based linear state space representation. (2024). Laeven, Roger ; Vladimirov, Evgenii ; Boswijk, Peter H. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:1:s0304407624002094.

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2024US uncertainty shocks on real and financial markets: A multi-country perspective. (2024). Uribe, Jorge ; Hirs-Garzon, Jorge ; Gomez-Gonzalez, Jose. In: Economic Systems. RePEc:eee:ecosys:v:48:y:2024:i:3:s0939362524000025.

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2024Worker mobility and UI extensions. (2024). Kospentaris, Ioannis ; Gulyas, Andreas ; Goensch, Johannes. In: European Economic Review. RePEc:eee:eecrev:v:162:y:2024:i:c:s0014292124000011.

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2024International asset pricing with heterogeneous agents: Estimation and inference. (2024). Tinang, Jules ; Tedongap, Romeo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:75:y:2024:i:c:s0927539823001263.

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2024Certainty of uncertainty for asset pricing. (2024). Meng, Lingchao ; Kang, Jie ; Jiang, Fuwei. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000367.

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2024Empirical analysis of crude oil dynamics using affine vs. non-affine jump-diffusion models. (2024). Wong, Patrick ; Ignatieva, Katja. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000549.

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2024Time-varying relative risk aversion: Theoretical mechanism and empirical evidence. (2024). Liu, Haiyong ; Cai, Zongwu. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000707.

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2024Renewable energy certificates and firm value: Empirical evidence in Taiwan. (2024). Chang, Hung-Hao ; Kunene, Noxolo. In: Energy Policy. RePEc:eee:enepol:v:184:y:2024:i:c:s030142152300455x.

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2024Does oil price volatility matter for the US transportation industry?. (2024). Rothovius, Timo ; Bouri, Elie ; Dutta, Anupam ; Uddin, Gazi Salah ; Azoury, Nehme. In: Energy. RePEc:eee:energy:v:290:y:2024:i:c:s0360544223035880.

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2024Forecasting crude oil prices with global ocean temperatures. (2024). Zhang, Zhikai ; He, Mengxi. In: Energy. RePEc:eee:energy:v:311:y:2024:i:c:s0360544224031177.

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2024GARCH-M model with an asymmetric risk premium: Distinguishing between ‘good’ and ‘bad’ volatility periods. (2024). Potanin, Bogdan ; Trifonov, Juri. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s105752192300457x.

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2024Uncertainty and international fund flows: A cross-country analysis. (2024). Gurdgiev, Constantin ; Naka, Atsuyuki ; Shin, Seungho ; French, Joseph J. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s105752192400214x.

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2024Stock market prices and Dividends in the US: Bubbles or Long-run equilibria relationships?. (2024). YAYA, OLAOLUWA ; Gil-Alana, Luis ; Dettoni, Robinson. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002515.

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2024How do market volatility and risk aversion sentiment inter-influence over time? Evidence from Chinese SSE 50 ETF options. (2024). Wang, Gang-Jin ; Uddin, Gazi ; Gong, Jue ; Xie, Chi. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924003727.

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2024Portfolio optimization with transfer entropy constraints. (2024). Ardakani, Omid M. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924005763.

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2024The VIXs term structure of individual active stocks. (2024). Shuval, Kerem ; Snunu, Iyad ; David, OR ; Qadan, Mahmoud. In: Finance Research Letters. RePEc:eee:finlet:v:61:y:2024:i:c:s1544612324000667.

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2024Ambiguous investor sentiment. (2024). Wei, Xiaopeng ; Wagner, Moritz. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pa:s1544612324008031.

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2024Volatility or higher moments: Which is more important in return density forecasts of stochastic volatility model?. (2024). Li, Chenxing ; Zhang, Zehua ; Zhao, Ran. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pb:s1544612324008547.

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2024Volatility feedback and dealership position: Evidence from the CDS Index, Corporate Bonds, and Government Bonds. (2024). Chen, Steven Shu-Hsiu. In: Finance Research Letters. RePEc:eee:finlet:v:69:y:2024:i:pb:s1544612324012054.

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2024Co-jumps in the Chinese stock market before, during and after the COVID-19 pandemic: A network perspective. (2024). He, Zhipeng ; Zhang, Shuguang ; Zou, Renhao ; Hao, Chenlu. In: Finance Research Letters. RePEc:eee:finlet:v:70:y:2024:i:c:s1544612324013114.

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2024The lead–lag relation between VIX futures and SPX futures. (2024). Kokholm, Thomas ; Bangsgaard, Christine. In: Journal of Financial Markets. RePEc:eee:finmar:v:67:y:2024:i:c:s1386418123000496.

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2024Intraday variation in cross-sectional stock comovement and impact of index-based strategies. (2024). Shen, Yiwen ; Shi, Meiqi. In: Journal of Financial Markets. RePEc:eee:finmar:v:68:y:2024:i:c:s1386418124000120.

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2024Multilayer networks for measuring interconnectedness among global stock markets through the lens of trading volume-price relationship. (2024). Borjigin, Sumuya ; Xiang, Youtao. In: Global Finance Journal. RePEc:eee:glofin:v:62:y:2024:i:c:s1044028324000784.

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2024Trade fragmentation and volatility-of-volatility networks. (2024). Jawadi, Fredj ; Bastidon, Cecile. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443123001762.

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2024Not all words are equal: Sentiment and jumps in the cryptocurrency market. (2024). Cepni, Oguzhan ; Caporin, Massimiliano ; Aysan, Ahmet Faruk. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443123001889.

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2024Bayesian forecasting in economics and finance: A modern review. (2024). Koop, Gary ; Huber, Florian ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Frazier, David T ; Martin, Gael M ; Panagiotelis, Anastasios ; Nibbering, Didier ; Maheu, John. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:2:p:811-839.

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2024Central bank policies and financial markets: Lessons from the euro crisis. (2024). Nedeljkovic, Milan ; Mody, Ashoka. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:158:y:2024:i:c:s0378426623002248.

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2024Multifactor conditional equity premium model: Evidence from Chinas stock market. (2024). Shi, Yongdong ; Guo, Hui ; Cheng, Hang. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:161:y:2024:i:c:s0378426624000372.

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2024Discount rates and cash flows: A local projection approach. (2024). Lof, Matthijs ; Nyberg, Henri. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:162:y:2024:i:c:s0378426624000475.

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2024Variance risk premiums in emerging markets. (2024). Zhang, Xiaoyan ; Xu, Lai ; Zhou, Hao ; Qiao, Fang. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:167:y:2024:i:c:s0378426624001730.

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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]		paper130
2008Risk, jumps, and diversification.(2008) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 130		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]		paper121
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: 121		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: 121		article
2008Expected Stock Returns and Variance Risk Premia In: CREATES Research Papers.
[Full Text][Citation analysis]		paper818
2009Expected Stock Returns and Variance Risk Premia.(2009) In: The Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 818		article
2009Volatility in Equilibrium: Asymmetries and Dynamic Dependencies In: CREATES Research Papers.
[Full Text][Citation analysis]		paper28
2010Volatility in Equilibrium: Asymmetries and Dynamic Dependencies.(2010) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 28		paper
2009Volatility in Equilibrium: Asymmetries and Dynamic Dependencies.(2009) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 28		paper
2011Volatility in Equilibrium: Asymmetries and Dynamic Dependencies.(2011) In: Review of Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 28		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
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