George Tauchen : Citation Profile

Are you George Tauchen?

Duke University

30

H index

48

i10 index

8577

Citations

RESEARCH PRODUCTION:

62

Articles

41

Papers

EDITOR:

2

Books edited

RESEARCH ACTIVITY:

   37 years (1980 - 2017). See details.
   Cites by year: 231
   Journals where George Tauchen has often published
   Relations with other researchers
   Recent citing documents: 422.    Total self citations: 28 (0.33 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pta61
   Updated: 2023-11-04    RAS profile: 2022-08-29    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

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

Is cited by:

Andersen, Torben (125)

Bollerslev, Tim (117)

Asai, Manabu (61)

Ghysels, Eric (58)

Shephard, Neil (50)

Sentana, Enrique (48)

Zhou, Hao (44)

Caporin, Massimiliano (44)

Diebold, Francis (41)

Meddahi, Nour (41)

Sévi, Benoît (41)

Cites to:

Bollerslev, Tim (74)

Gallant, A. (58)

Andersen, Torben (44)

Diebold, Francis (31)

Shephard, Neil (27)

Engle, Robert (25)

Ait-Sahalia, Yacine (18)

Renault, Eric (18)

Singleton, Kenneth (16)

Campbell, John (15)

Hansen, Lars (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
Economics Letters2
Journal of the American Statistical Association2
Econometric Theory2
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 (2023 and 2022)

YearTitle of citing document
2022Betting on mean reversion in the VIX? Evidence from ETP flows. (2022). Posselt, Anders Merrild ; Nielsen, Ole Linnemann. In: CREATES Research Papers. RePEc:aah:create:2022-06.

Full description at Econpapers || Download paper

2022Modelling the Relationship Between Trading Volume and Stock Returns Volatility for Islamic and Conventional Banks: The Case of Saudi Arabia ????? ??????? ??? ??? ??????? ????? ????? ?????? ?????? ????. (2022). Saci, Karima. In: Journal of King Abdulaziz University: Islamic Economics. RePEc:abd:kauiea:v:35:y:2022:i:1:no:3:p:41-55.

Full description at Econpapers || Download paper

2022Dynamic Regret Avoidance. (2022). Coricelli, Giorgio ; Vostroknutov, Alexander ; Fioretti, Michele. In: American Economic Journal: Microeconomics. RePEc:aea:aejmic:v:14:y:2022:i:1:p:70-93.

Full description at Econpapers || Download paper

2022Urban cycling tourism. How can bikes and public transport ride together for sustainability?. (2022). MAGGI, ELENA ; Crotti, Daniele ; Pantelaki, Evangelia. In: FEEM Working Papers. RePEc:ags:feemwp:317840.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2022Financial Regulation, Interest Rate Responses, and Distributive Effects. (2022). Schabert, Andreas ; Rottger, Joost ; Loenser, Christian. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:143.

Full description at Econpapers || Download paper

2022Financial Frictions and International Trade: A Review. (2022). Leibovici, Fernando ; Szkup, Michal ; Kohn, David. In: Working Papers. RePEc:aoz:wpaper:113.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2022Variational Bayes in State Space Models: Inferential and Predictive Accuracy. (2022). Loaiza Maya, Rubén ; Martin, Gael M ; Loaiza-Maya, Ruben ; Frazier, David T. In: Papers. RePEc:arx:papers:2106.12262.

Full description at Econpapers || Download paper

2022A Lucas Critique Compliant SVAR model with Observation-driven Time-varying Parameters. (2021). Corsi, Fulvio ; Bormetti, Giacomo. In: Papers. RePEc:arx:papers:2107.05263.

Full description at Econpapers || Download paper

2022Volatility of volatility estimation: central limit theorems for the Fourier transform estimator and empirical study of the daily time series stylized facts. (2022). Mancino, Maria Elvira ; Marmi, Stefano ; Livieri, Giulia ; Toscano, Giacomo. In: Papers. RePEc:arx:papers:2112.14529.

Full description at Econpapers || Download paper

2022Efficient Likelihood-based Estimation via Annealing for Dynamic Structural Macrofinance Models. (2022). Li, Junye ; Heng, Jeremy ; Fulop, Andras. In: Papers. RePEc:arx:papers:2201.01094.

Full description at Econpapers || Download paper

2022Long-Horizon Return Predictability from Realized Volatility in Pure-Jump Point Processes. (2022). Soulier, Philippe ; Hurvich, Clifford ; Hsieh, Meng-Chen. In: Papers. RePEc:arx:papers:2202.00793.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2022Fast Simulation-Based Bayesian Estimation of Heterogeneous and Representative Agent Models using Normalizing Flow Neural Networks. (2022). Fen, Cameron. In: Papers. RePEc:arx:papers:2203.06537.

Full description at Econpapers || Download paper

2022Indirect Inference for Nonlinear Panel Models with Fixed Effects. (2022). Chen, Shuowen. In: Papers. RePEc:arx:papers:2203.10683.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2022Why Economic Theories and Policies Fail? Unnoticed Variables and Overlooked Economics. (2022). Olkhov, Victor. In: Papers. RePEc:arx:papers:2208.07839.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2022Asymptotic Normality for the Fourier spot volatility estimator in the presence of microstructure noise. (2022). Toscano, Giacomo ; Mariotti, Tommaso ; Mancino, Maria Elvira. In: Papers. RePEc:arx:papers:2209.08967.

Full description at Econpapers || Download paper

2022Estimating Option Pricing Models Using a Characteristic Function-Based Linear State Space Representation. (2022). Vladimirov, Evgenii ; Boswijk, Peter H. In: Papers. RePEc:arx:papers:2210.06217.

Full description at Econpapers || Download paper

2022Fast Estimation of Bayesian State Space Models Using Amortized Simulation-Based Inference. (2022). Seleznev, Sergei ; Khabibullin, Ramis. In: Papers. RePEc:arx:papers:2210.07154.

Full description at Econpapers || Download paper

2022Approximate Pricing of Derivatives Under Fractional Stochastic Volatility Model. (2022). Zheng, Xudong ; Han, Yuecai. In: Papers. RePEc:arx:papers:2210.15453.

Full description at Econpapers || Download paper

2022Fractional integration and cointegration. (2022). Nielsen, Morten ; Hualde, Javier. In: Papers. RePEc:arx:papers:2211.10235.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2022Measuring price impact and information content of trades in a time-varying setting. (2022). Lillo, F ; Bormetti, G ; Campigli, F. In: Papers. RePEc:arx:papers:2212.12687.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2022Sovereign Debt and International Trade. (2022). Serfaty, Charles. In: Working papers. RePEc:bfr:banfra:901.

Full description at Econpapers || Download paper

2022Global production linkages and stock market co-movement. (2022). Schrimpf, Andreas ; Auer, Raphael ; Wagner, Alexander F ; Iwadate, Bruce Muneaki. In: BIS Working Papers. RePEc:bis:biswps:1003.

Full description at Econpapers || Download paper

2022Beating the Average: Equity Premium Variations, Uncertainty, and Liquidity. (2022). Wagner, Niklas ; Kinateder, Harald ; Batten, Jonathan A. In: Abacus. RePEc:bla:abacus:v:58:y:2022:i:3:p:567-588.

Full description at Econpapers || Download paper

2022A component Markov regime?switching autoregressive conditional range model. (2022). Mazibas, Murat. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:74:y:2022:i:2:p:650-683.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2022Oil price shocks and stock market anomalies. (2022). Ji, Qiang ; Tu, Jun ; Sun, Licheng ; Zhu, Zhaobo. In: Financial Management. RePEc:bla:finmgt:v:51:y:2022:i:2:p:573-612.

Full description at Econpapers || Download paper

2022Stock returns and inflation shocks in weaker economic times. (2022). Sun, Licheng ; Stivers, Chris ; Connolly, Robert A. In: Financial Management. RePEc:bla:finmgt:v:51:y:2022:i:3:p:827-867.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2022Clients Connections: Measuring the Role of Private Information in Decentralized Markets. (2022). Pinter, Gabor ; Kondor, Peter. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:1:p:505-544.

Full description at Econpapers || Download paper

2022Volatility Expectations and Returns. (2022). Muir, Tyler ; Lochstoer, Lars A. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:2:p:1055-1096.

Full description at Econpapers || Download paper

2022The Price of Higher Order Catastrophe Insurance: The Case of VIX Options. (2022). Yang, Aoxiang ; Eraker, Bjorn. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:6:p:3289-3337.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2022State Heterogeneity Analysis of Financial Volatility using high?frequency Financial Data. (2022). Kim, Donggyu ; Chun, Dohyun. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:1:p:105-124.

Full description at Econpapers || Download paper

2022A new volatility model: GQARCH?ItÔ model. (2022). Xu, LU ; Sun, Yulei ; Yuan, Huiling ; Cui, Xiangyu ; Zhou, Yong. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:3:p:345-370.

Full description at Econpapers || Download paper

2022On the aggregate effects of global uncertainty: Evidence from an emerging economy. (2022). Ahiadorme, Johnson. In: South African Journal of Economics. RePEc:bla:sajeco:v:90:y:2022:i:3:p:390-407.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2022How do transfers and universal basic income impact the labor market and inequality?. (2022). Santos, M R ; Rauh, C. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2208.

Full description at Econpapers || Download paper

2022Labor Supply and the Pension Contribution-Benefit Link. (2022). , Zawisza ; O'Dea, C ; Lindner, A ; French, E. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2248.

Full description at Econpapers || Download paper

2022.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2022Evaluation and Indirect Inference Estimation of Inattentive Features in a New Keynesian Framework. (2022). Minford, A. Patrick ; Cao, Yifei ; Chou, Jenyu. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2022/2.

Full description at Econpapers || Download paper

2022The 2003 Tax Reform and Corporate Payout Policy in the US. (2022). Stojanovic, Danilo. In: CERGE-EI Working Papers. RePEc:cer:papers:wp727.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2022Firms’ Financing Dynamics around Lumpy Capacity Adjustments. (2022). Tsoukalas, John D ; Sakellaris, Plutarchos ; Gortz, Christoph. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9977.

Full description at Econpapers || Download paper

2022Firm Export Dynamics and the Exchange Rate: A Quantitative Exploration. (2022). Lopez-Martin, Bernabe. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:935.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2022PML vs minimum ? 2 : the comeback. (2022). Sentana, Enrique ; Fiorentini, Gabriele ; Amengual, Dante. In: Working Papers. RePEc:cmf:wpaper:wp2022_2210.

Full description at Econpapers || Download paper

2022Specification tests for non-Gaussian structural vector autoregressions. (2022). Sentana, Enrique ; Fiorentini, Gabriele ; Amengual, Dante. In: Working Papers. RePEc:cmf:wpaper:wp2022_2212.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2022Financial-market volatility prediction with multiplicative Markov-switching MIDAS components. (2022). Wilfling, Bernd ; Segnon, Mawuli ; Schulte-Tillman, Bjoern. In: CQE Working Papers. RePEc:cqe:wpaper:9922.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2022Weak Identification of Long Memory with Implications for Inference. (2022). Yu, Jun ; Phillips, Peter ; Shi, Shuping. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2334.

Full description at Econpapers || Download paper

2022The Signalling Channel of Negative Interest Rates. (2022). Haas, Alexander ; DeGroot, Oliver ; de Groot, Oliver. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1990.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2022New volatility evolution model after extreme events. (2022). Ren, Fei ; Yang, Ming-Yuan ; Zhang, Wei ; Xiong, Xiong ; Li, Sai-Ping ; Chen, Zhang-Hangjian ; Cai, Mei-Ling. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:154:y:2022:i:c:s0960077921009620.

Full description at Econpapers || Download paper

2022Maximum likelihood estimation of diffusions by continuous time Markov chain. (2022). Nguyen, Nhu N ; Kirkby, J L. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:168:y:2022:i:c:s0167947321002425.

Full description at Econpapers || Download paper

2022Media-expressed tone, option characteristics, and stock return predictability. (2022). Fengler, Matthias ; Liu, Yanchu ; Hardle, Wolfgang Karl ; Chen, Cathy Yi-Hsuan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:134:y:2022:i:c:s0165188921002256.

Full description at Econpapers || Download paper

2022The cyclicality of entry and exit: The role of imperfect information. (2022). Woo, Jinhee. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:137:y:2022:i:c:s0165188922000409.

Full description at Econpapers || Download paper

2022The effect of uncertainty on the sensitivity of the yield curve to monetary policy surprises. (2022). Shang, Fei. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:137:y:2022:i:c:s0165188922000604.

Full description at Econpapers || Download paper

2022Welfare implications of bank capital requirements under dynamic default decisions. (2022). Ogawa, Toshiaki. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:138:y:2022:i:c:s0165188922000653.

Full description at Econpapers || Download paper

2022Social health insurance: A quantitative exploration. (2022). Tran, Chung ; Jung, Juergen. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:139:y:2022:i:c:s0165188922000781.

Full description at Econpapers || Download paper

2022Improving sovereign debt restructurings. (2022). Yurdagul, Emircan ; Sanchez, Juan ; Dvorkin, Maximiliano ; Sapriza, Horacio. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:139:y:2022:i:c:s0165188922001403.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2022Forecasting risk measures using intraday and overnight information. (2022). Candido, Osvaldo ; Tofoli, Paula V ; Santos, Douglas G. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:60:y:2022:i:c:s1062940822000250.

Full description at Econpapers || Download paper

2022The contagion effect of jump risk across Asian stock markets during the Covid-19 pandemic. (2022). Liu, Fang ; Chen, Yajiao ; Zhou, Long ; Zhang, YI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:61:y:2022:i:c:s1062940822000432.

Full description at Econpapers || Download paper

2022News and intraday jumps: Evidence from regularization and class imbalance. (2022). Poli, Francesco ; Caporin, Massimiliano. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:62:y:2022:i:c:s1062940822000900.

Full description at Econpapers || Download paper

2022Impact of network investor sentiment and news arrival on jumps. (2022). Xu, Lei ; Qiao, Gaoxiu ; Zhang, Chang ; Liu, Wenwen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:62:y:2022:i:c:s1062940822001218.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

George Tauchen has edited the books:

YearTitleTypeCited

Works by George Tauchen:

YearTitleTypeCited
2007Risk, Jumps, and Diversification In: CREATES Research Papers.
[Full Text][Citation analysis]		paper115
2008Risk, jumps, and diversification.(2008) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another 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]		paper111
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: 111		paper
2009A discrete-time model for daily S & P500 returns and realized variations: Jumps and leverage effects.(2009) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 111		article
2008Expected Stock Returns and Variance Risk Premia In: CREATES Research Papers.
[Full Text][Citation analysis]		paper746
2009Expected Stock Returns and Variance Risk Premia.(2009) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 746		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 another version. Agregated cites: 26		paper
2009Volatility in Equilibrium: Asymmetries and Dynamic Dependencies.(2009) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 26		paper
2011Volatility in Equilibrium: Asymmetries and Dynamic Dependencies.(2011) In: Review of Finance.
[Full Text][Citation analysis]
This paper has another 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 another 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]		article19
2001Testing Target-Zone Models Using Efficient Method of Moments: Reply. In: Journal of Business & Economic Statistics.
[Citation analysis]		article15
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 another 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 another version. Agregated cites: 49		paper
2011Volatility Jumps.(2011) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 49		article
1986Statistical Properties of Generalized Method-of-Moments Estimators of Structural Parameters Obtained from Financial Market Data. In: Journal of Business & Economic Statistics.
[Citation analysis]		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]		paper459
2002Alternative Models for Stock Price Dynamic.(2002) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 459		paper
2003Alternative models for stock price dynamics.(2003) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 459		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]		article560
1995Which Moments to Match.(1995) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 560		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 another 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 another 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 another 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 another version. Agregated cites: 2		paper
2011Pricing of the time-change risks.(2011) In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		article
2010The Realized Laplace Transform of Volatility In: Working Papers.
[Full Text][Citation analysis]		paper15
2012The Realized Laplace Transform of Volatility.(2012) In: Econometrica.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 15		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 another 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 another 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 another 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 another 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 another version. Agregated cites: 3		article
1983The Price Variability-Volume Relationship on Speculative Markets. In: Econometrica.
[Full Text][Citation analysis]		article596
1989Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications. In: Econometrica.
[Full Text][Citation analysis]		article174
1988SEMINONPARAMETRIC ESTIMATION OF CONDITIONALLY CONSTRAINED HETEROGENEOUS PROCESSES: ASSET PRICING APPLICATIONS.(1988) In: Chicago - Graduate School of Business.
[Citation analysis]
This paper has another version. Agregated cites: 174		paper
1991Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models. In: Econometrica.
[Full Text][Citation analysis]		article613
1993Nonlinear Dynamic Structures. In: Econometrica.
[Full Text][Citation analysis]		article294
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]		article1085
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]		article86
2006Realized jumps on financial markets and predicting credit spreads.(2006) In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 86		paper
2016Inference theory for volatility functional dependencies In: Journal of Econometrics.
[Full Text][Citation analysis]		article5
2017Adaptive estimation of continuous-time regression models using high-frequency data In: Journal of Econometrics.
[Full Text][Citation analysis]		article17
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]		article26
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]		article87
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]		article7
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]		paper77
2007Rational Pessimism, Rational Exuberance, and Asset Pricing Models.(2007) In: Review of Economic Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 77		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]		article441
2006Leverage and Volatility Feedback Effects in High-Frequency Data In: The Journal of Financial Econometrics.
[Full Text][Citation analysis]		article219
1992Stock Prices and Volume. In: Review of Financial Studies.
[Full Text][Citation analysis]		article576
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

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated November, 3 2023. Contact: CitEc Team