George Tauchen : Citation Profile

Duke University

31

H index

49

i10 index

9157

Citations

RESEARCH PRODUCTION:

62

Articles

41

Papers

EDITOR:

2

Books edited

RESEARCH ACTIVITY:

   37 years (1980 - 2017). See details.
   Cites by year: 247
   Journals where George Tauchen has often published
   Relations with other researchers
   Recent citing documents: 372.    Total self citations: 28 (0.3 %)

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   Permalink: http://citec.repec.org/pta61
   Updated: 2026-03-28    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 (141)

Bollerslev, Tim (127)

Asai, Manabu (75)

Ghysels, Eric (58)

Sentana, Enrique (57)

Shephard, Neil (50)

Caporin, Massimiliano (46)

LINTON, OLIVER (43)

Fiorentini, Gabriele (43)

Zhou, Hao (43)

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)

Campbell, John (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
Economics Letters2
The Review of Financial Studies2
The Review of Economics and Statistics2
Econometric Theory2
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 (2025 and 2024)

YearTitle of citing document
2024Asset-Based Microfinance for Microenterprises: Evidence from Pakistan. (2024). Meki, Muhammad ; Quinn, Simon ; Malik, Kashif ; Bari, Faisal. In: American Economic Review. RePEc:aea:aecrev:v:114:y:2024:i:2:p:534-74.

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2025Default Options and Retirement Saving Dynamics. (2025). Choukhmane, Taha. In: American Economic Review. RePEc:aea:aecrev:v:115:y:2025:i:11:p:3749-87.

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2026The Effects of Biased Labor Market Expectations on Consumption, Wealth Inequality, and Welfare. (2026). Duernecker, Georg ; Forstner, Susanne ; Goensch, Johannes ; Balleer, Almut. In: American Economic Journal: Macroeconomics. RePEc:aea:aejmac:v:18:y:2026:i:1:p:297-335.

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2024Tilting Approximate Models. (2024). Tryphonides, Andreas. In: Papers. RePEc:arx:papers:1805.10869.

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2025When do common time series estimands have nonparametric causal meaning?. (2025). Shephard, Neil ; Rambachan, Ashesh. In: Papers. RePEc:arx:papers:1903.01637.

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

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2024Spillovers of Program Benefits with Missing Network Links. (2024). Zhang, Lina. In: Papers. RePEc:arx:papers:2009.09614.

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

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

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2025Option Pricing with Time-Varying Volatility Risk Aversion. (2025). Hansen, Peter ; Tong, Chen. In: Papers. RePEc:arx:papers:2204.06943.

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2026Common Idiosyncratic Quantile Risk. (2024). Baruník, Jozef ; Nevrla, Matej ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2208.14267.

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2025Noisy, Non-Smooth, Non-Convex Estimation of Moment Condition Models. (2023). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:2301.07196.

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

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

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2024Data-driven fixed-point tuning for truncated realized variations. (2024). Han, Yuchen ; Jos'e E. Figueroa-L'opez, ; Boniece, Cooper B. In: Papers. RePEc:arx:papers:2311.00905.

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

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2024Roughness Signature Functions. (2024). Christensen, Peter. In: Papers. RePEc:arx:papers:2401.02819.

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2024Dynamic Programming: Finite States. (2024). Sargent, Thomas ; Stachurski, John. In: Papers. RePEc:arx:papers:2401.10473.

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2025Jump detection in high-frequency order prices. (2024). Hautsch, Nikolaus ; Bibinger, Markus ; Ristig, Alexander. 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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2025On 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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2026An unbounded intensity model for point processes. (2024). Christensen, Kim ; Kolokolov, Alexei. In: Papers. RePEc:arx:papers:2408.06519.

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2024Method of Moments Estimation for Affine Stochastic Volatility Models. (2024). Wu, Yan-Feng ; Yang, Xiangyu ; Hu, Jian-Qiang. In: Papers. RePEc:arx:papers:2408.09185.

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2026Closed-form estimation and inference for panels with attrition and refreshment samples. (2024). Kosenkova, Lidia ; Franguridi, Grigory. In: Papers. RePEc:arx:papers:2410.11263.

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2024A GARCH model with two volatility components and two driving factors. (2024). Ballestra, Luca Vincenzo ; Tezza, Christian ; D'Innocenzo, Enzo. In: Papers. RePEc:arx:papers:2410.14585.

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2024Bounded Rationality in Central Bank Communication. (2024). Lee, Choong Lyol ; Kim, Wonseong. In: Papers. RePEc:arx:papers:2411.04286.

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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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2025Deep Learning for VWAP Execution in Crypto Markets: Beyond the Volume Curve. (2025). Genet, Remi. In: Papers. RePEc:arx:papers:2502.13722.

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2025Forecasting realized volatility in the stock market: a path-dependent perspective. (2025). Liu, Xiangdong ; Hong, Shaopeng ; Fu, Sicheng. In: Papers. RePEc:arx:papers:2503.00851.

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2025On the Realized Joint Laplace Transform of Volatilities with Application to Test the Volatility Dependence. (2025). Jiang, YU ; Feng, Xinwei ; Liu, Zhi ; Meng, Zhe. In: Papers. RePEc:arx:papers:2503.02283.

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2025Model Checks in a Kernel Ridge Regression Framework. (2025). Li, Yuhao. In: Papers. RePEc:arx:papers:2505.01161.

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2025Measure-Valued CARMA Processes. (2025). Karbach, Sven ; Benth, Fred Espen ; Khedher, Asma. In: Papers. RePEc:arx:papers:2505.08852.

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2025A Sinusoidal Hull-White Model for Interest Rate Dynamics: Capturing Long-Term Periodicity in U.S. Treasury Yields. (2025). Jha, Amit Kumar. In: Papers. RePEc:arx:papers:2506.06317.

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2025Predicting Realized Variance Out of Sample: Can Anything Beat The Benchmark?. (2025). Pollok, Austin. In: Papers. RePEc:arx:papers:2506.07928.

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2025Identification of Impulse Response Functions for Nonlinear Dynamic Models. (2025). Lee, Quinlan ; Gourieroux, Christian. In: Papers. RePEc:arx:papers:2506.13531.

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2025Increasing Systemic Resilience to Socioeconomic Challenges: Modeling the Dynamics of Liquidity Flows and Systemic Risks Using Navier-Stokes Equations. (2025). Gondauri, Davit. In: Papers. RePEc:arx:papers:2507.05287.

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2025Markowitz Variance May Vastly Undervalue or Overestimate Portfolio Variance and Risks. (2025). Olkhov, Victor. In: Papers. RePEc:arx:papers:2507.21824.

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2025Deep Learning in the Sequence Space. (2025). Vzemlivcka, Jan ; Azinovic-Yang, Marlon. In: Papers. RePEc:arx:papers:2509.13623.

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2025Dynamic Factor Analysis of Price Movements in the Philippine Stock Exchange. (2025). Dominic, Len Patrick ; Lim, Brian Godwin ; Dayta, Dominic ; Tiu, Benedict Ryan ; Tan, Renzo Roel ; Ikeda, Kazushi. In: Papers. RePEc:arx:papers:2510.15938.

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2025Impact of Volatility on Time-Based Transaction Ordering Policies. (2025). Ko, Sunghun ; Park, Jinsuk. In: Papers. RePEc:arx:papers:2512.23386.

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2026Distribution-Matching Posterior Inference for Incomplete Structural Models. (2026). Kano, Takashi. In: Papers. RePEc:arx:papers:2601.01077.

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2026The Endogenous Grid Method for Epstein-Zin Preferences. (2026). Lujan, Alan. In: Papers. RePEc:arx:papers:2601.04438.

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2026Realised quantile-based estimation of the integrated variance. (2026). Oomen, Roel ; Podolskij, Mark ; Christensen, Kim. In: Papers. RePEc:arx:papers:2601.13006.

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2026Beyond Carr Madan: A Projection Approach to Risk-Neutral Moment Estimation. (2026). de Vries, Tjeerd. In: Papers. RePEc:arx:papers:2601.14852.

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2026Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment. (2026). Hounyo, Ulrich ; Podolskij, Mark ; Christensen, Kim. In: Papers. RePEc:arx:papers:2601.16613.

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2025Dual Labor Markets and the Equilibrium Distribution of Firms. (2025). Pijoan-Mas, Josep ; Roldan-Blanco, Pau. In: Working Papers. RePEc:bge:wpaper:1531.

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2025Generative economic modeling. (2025). Rottner, Matthias ; Kase, Hanno ; Stohler, Fabio. In: BIS Working Papers. RePEc:bis:biswps:1312.

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2024Higher‐order moments and asset pricing in the Australian stock market. (2024). Ahadzie, Richard Mawulawoe ; Jeyasreedharan, Nagaratnam. In: Accounting and Finance. RePEc:bla:acctfi:v:64:y:2024:i:1:p:75-128.

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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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2024COVID‐19, Mobility Restriction Policies and Stock Market Volatility: A Cross‐Country Empirical Study. (2024). Vespignani, Joaquin ; Ahadzie, Richard Mawulawoe ; Kangogo, Moses ; Khan, Faisal ; Daugaard, Dan. In: Economic Papers. RePEc:bla:econpa:v:43:y:2024:i:2:p:184-203.

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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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2025Gini in the Taylor Rule: Should the Fed Care About Inequality?. (2025). Ma, Eunseong ; Kwangyong, Park. In: The B.E. Journal of Macroeconomics. RePEc:bpj:bejmac:v:25:y:2025:i:1:p:241-285:n:1005.

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2025Natural Disasters and Capital Accumulation: The Role of Precautionary Saving and Capital Market Openness. (2025). Jungjae, Park. In: The B.E. Journal of Macroeconomics. RePEc:bpj:bejmac:v:25:y:2025:i:1:p:375-415:n:1003.

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2025Real Wage Cyclicality and Monetary Policy. (2025). Eunseong, MA. In: The B.E. Journal of Macroeconomics. RePEc:bpj:bejmac:v:25:y:2025:i:2:p:461-498:n:1002.

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2025The Dynamics of Informality and Fiscal Policy under Sovereign Risk. (2025). Pappadà, Francesco ; Zylberberg, Yanos ; Pappada, Francesco. In: Bristol Economics Discussion Papers. RePEc:bri:uobdis:25/795.

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2024Jumps Versus Bursts: Dissection and Origins via a New Endogenous Thresholding Approach. (2024). Zhao, Xueyan ; LINTON, OLIVER ; Hong, S Y. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2449.

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2024Jumps Versus Bursts: Dissection and Origins via a New Endogenous Thresholding Approach. (2024). Zhao, Xueyan ; LINTON, OLIVER ; Hong, S Y. In: Janeway Institute Working Papers. RePEc:cam:camjip:2423.

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2024Dynamic Equity Slope. (2024). Colonnello, Stefano ; Marfe, Roberto ; Breugem, Matthijs ; Zucchi, Francesca. In: Carlo Alberto Notebooks. RePEc:cca:wpaper:713.

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2025Firm-level Uncertainty and Frictions: Implications for Capital and Financial Decisions in the US. (2025). Stojanovic, Danilo ; Bojovic, Veljko. In: CERGE-EI Working Papers. RePEc:cer:papers:wp793.

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2025Deep Learning in the Sequence Space. (2025). Zemlicka, Jan ; Azinovic-Yang, Marlon. In: CERGE-EI Working Papers. RePEc:cer:papers:wp802.

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2024Tax Policy, Investment and Profit Shifting. (2024). Devereux, Michael ; Bilicka, Katarzyna ; Geri, Rem ; Guceri, Irem. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11458.

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2025The Devil Is in the Tail: Macroeconomic Tail Risk Expectations of Firms. (2025). Menkhoff, Manuel. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11848.

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2026Tax Incentives, Portfolio Choice, and Macroprudential Risks. (2026). Valladares-Esteban, Arnau ; Koeniger, Winfried ; Brenzel-Weiss, Janosch. In: CESifo Working Paper Series. RePEc:ces:ceswps:_12436.

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2024The information matrix test for Gaussian mixtures. (2024). Sentana, Enrique ; Fiorentini, Gabriele ; Amengual, Dante. In: Working Papers. RePEc:cmf:wpaper:wp2024_2401.

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

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2024Portfolio management with big data. (2024). Sentana, Enrique ; Pearanda, Francisco. In: Working Papers. RePEc:cmf:wpaper:wp2024_2411.

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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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2025Dual Labor Markets and the Equilibrium Distribution of Firms. (2025). Roldan-Blanco, Pau ; Pijoan-Mas, Josep. In: Working Papers. RePEc:cmf:wpaper:wp2025_2530.

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2025Testing shock independence in Gaussian structural VARs. (2025). Sentana, Enrique ; Fiorentini, Gabriele ; Amengual, Dante. In: Working Papers. RePEc:cmf:wpaper:wp2025_2532.

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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 ; Marin, Juan Miguel ; Romero, Eva. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:43887.

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2025Switching the leverage switch. (2025). Marn, Juan Miguel ; Romero, Eva ; Lopes, Mara Helena. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:47005.

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2025Exchange rate volatility, stock prices and returns in BRICS: The moderating effect of inflation with wavelength analysis. (2025). Odegha, Benjamin ; Igbinovia, Beauty ; Umoru, David. In: E-Forum Working Papers. RePEc:cuc:eforum:v:15:y:2025:i:1:p:38-57.

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2025Housing Wealth, Marital Stability and Labor Supply :an Intertemporal Analysis. (2025). De Rock, Bram ; Kovaleva, Mariia ; Potoms, Tom. In: Working Papers ECARES. RePEc:eca:wpaper:2013/389796.

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2025Geography versus income: the heterogeneous effects of carbon taxation. (2025). Perdereau, Yann ; Labrousse, Charles. In: Working Paper Series. RePEc:ecb:ecbwps:20253104.

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2024Semi-Nonparametric Estimation of Energy Demand in Tunisia. (2024). Bel Hadj Miled, kamel ; Landolsi, Monia. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2024-01-26.

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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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2025Financial uncertainty shocks and systemic risk: Revealing the risk spillover from the oil market to the stock market. (2025). Yi, Heling ; Lyu, Yongjian ; Qin, Zhilong ; Li, Ding ; Zou, Yihan ; Yang, MO. In: Applied Energy. RePEc:eee:appene:v:382:y:2025:i:c:s0306261925000418.

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2025Bitcoin price volatility: Effects of retail traders, illegal users, and sentiment. (2025). Li, Jingrui ; John, Kose. In: Journal of Corporate Finance. RePEc:eee:corfin:v:94:y:2025:i:c:s0929119925001051.

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2026Change-point detection in regression models via the max-EM algorithm. (2026). Diabat, Modibo ; Nuel, Grgory ; Bouaziz, Olivier. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:215:y:2026:i:c:s0167947325001549.

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2024Can passive monetary policy decrease the debt burden?. (2024). Yang, Shu-Chun ; Shen, Wenyi ; Mao, Ruoyun. 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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2025The role of international reserves in sovereign debt restructuring under fiscal adjustment. (2025). Tavares, Tiago. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:174:y:2025:i:c:s0165188925000466.

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2025Dynamic labor demand and informality. (2025). Mancellari, Armela. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:174:y:2025:i:c:s016518892500048x.

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2025Medicaid work requirements, labor market effects and welfare. (2025). Jung, Juergen ; Shrestha, Vinish. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:178:y:2025:i:c:s0165188925001137.

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2025The evolution of income and wealth inequality in China. (2025). Conesa, Juan Carlos ; Wang, Yan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:179:y:2025:i:c:s0165188925001332.

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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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2025Market-oriented reforms and wealth inequality in China. (2025). Zhang, Mingjin ; Wang, Chuan. In: Economic Modelling. RePEc:eee:ecmode:v:143:y:2025:i:c:s026499932400316x.

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2025Examining Chinese volume–volatility nexus: A regime-switching perspective. (2025). Yan, Yayi ; Xia, Yingcun ; Wang, Shaoping. In: Economic Modelling. RePEc:eee:ecmode:v:144:y:2025:i:c:s0264999324003407.

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2025Efficient approximation of post-processing posterior predictive p value with economic applications. (2025). Zhang, Yonghui ; Zeng, Tao ; Yu, Muyao ; Wu, Zhou. In: Economic Modelling. RePEc:eee:ecmode:v:146:y:2025:i:c:s0264999325000185.

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2025Explaining the causality between trading volume and stock returns: What drives its cross-quantile patterns?. (2025). Gebka, Bartosz. In: Economic Modelling. RePEc:eee:ecmode:v:148:y:2025:i:c:s0264999325000720.

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2024Risk-neutral skewness and stock market returns: A time-series analysis. (2024). Wu, Zhengyu ; Li, Xiaowei ; Zhang, LU. 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). Cheuathonghua, Massaporn ; Padungsaksawasdi, Chaiyuth. 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). Herrera, Rodrigo ; Pia, Marco. 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). Wu, Yan ; Zhu, Xingting ; Yan, Han ; Liu, Bin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000664.

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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]		paper136
2008Risk, jumps, and diversification.(2008) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 136		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]		paper128
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: 128		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: 128		article
2008Expected Stock Returns and Variance Risk Premia In: CREATES Research Papers.
[Full Text][Citation analysis]		paper875
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: 875		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]		article56
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: 56		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]		article16
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]		article194
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]		article170
1990Solving the Stochastic Growth Model by Using Quadrature Methods and Value-Function Iterations. In: Journal of Business & Economic Statistics.
[Citation analysis]		article20
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]		paper493
2002Alternative Models for Stock Price Dynamic.(2002) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 493		paper
2003Alternative models for stock price dynamics.(2003) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 493		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]		article578
1995Which Moments to Match.(1995) In: Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 578		paper
2016ESTIMATING THE VOLATILITY OCCUPATION TIME VIA REGULARIZED LAPLACE INVERSION In: Econometric Theory.
[Full Text][Citation analysis]		article3
1997ESTIMATION OF CONTINUOUS-TIME MODELS FOR STOCK RETURNS AND INTEREST RATES In: Macroeconomic Dynamics.
[Full Text][Citation analysis]		article39
1995Estimation of Continuous Time Models for Stock Returns and Interest Rates.(1995) In: Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 39		paper
2000Using Daily Range Data to Calibrate Volatility Diffusions and Extract the Forward Integrated Variance In: Working Papers.
[Full Text][Citation analysis]		paper159
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: 159		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]		paper35
2010Activity signature functions for high-frequency data analysis.(2010) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 35		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]		paper20
2012The Realized Laplace Transform of Volatility.(2012) In: Econometrica.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 20		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]		paper11
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: 11		article
2011Inverse Realized Laplace Transforms for Nonparametric Volatility Estimation in Jump-Diffusions In: Working Papers.
[Full Text][Citation analysis]		paper8
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]		paper16
2014Volatility activity: Specification and estimation.(2014) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 16		article
1995Volume, Volatility and Leverage: A Dynamic Analysis In: Working Papers.
[Citation analysis]		paper59
1996Volume, volatility, and leverage: A dynamic analysis.(1996) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 59		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]		paper151
1997Estimation of stochastic volatility models with diagnostics.(1997) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 151		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]		article629
1989Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications. In: Econometrica.
[Full Text][Citation analysis]		article180
1988SEMINONPARAMETRIC ESTIMATION OF CONDITIONALLY CONSTRAINED HETEROGENEOUS PROCESSES: ASSET PRICING APPLICATIONS.(1988) In: Chicago - Graduate School of Business.
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This paper has nother version. Agregated cites: 180		paper
1991Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models. In: Econometrica.
[Full Text][Citation analysis]		article630
1993Nonlinear Dynamic Structures. In: Econometrica.
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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]		article1168
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]		article99
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: 99		paper
2016Inference theory for volatility functional dependencies In: Journal of Econometrics.
[Full Text][Citation analysis]		article8
2017Adaptive estimation of continuous-time regression models using high-frequency data In: Journal of Econometrics.
[Full Text][Citation analysis]		article26
2017Mixed-scale jump regressions with bootstrap inference In: Journal of Econometrics.
[Full Text][Citation analysis]		article10
1985Diagnostic testing and evaluation of maximum likelihood models In: Journal of Econometrics.
[Full Text][Citation analysis]		article184
1990Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution In: Journal of Econometrics.
[Full Text][Citation analysis]		article70
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]		article28
2001The bias of tests for a risk premium in forward exchange rates In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article24
2013Risk and return: Long-run relations, fractional cointegration, and return predictability In: Journal of Financial Economics.
[Full Text][Citation analysis]		article91
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]		article9
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]		paper81
2007Rational Pessimism, Rational Exuberance, and Asset Pricing Models.(2007) In: The Review of Economic Studies.
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This paper has nother version. Agregated cites: 81		article
2016Introduction to: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference In: Journal of Financial Econometrics.
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2005The Relative Contribution of Jumps to Total Price Variance In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article493
2006Leverage and Volatility Feedback Effects in High-Frequency Data In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article254
1992Stock Prices and Volume. In: The Review of Financial Studies.
[Full Text][Citation analysis]		article593
1982The Effect of Liquor Taxes on Heavy Drinking In: Bell Journal of Economics.
[Full Text][Citation analysis]		article75
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]		article4
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]		article19

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