Year |
Citation |
Score |
2019 |
Li J, Todorov V, Tauchen G. Jump factor models in large cross-sections Quantitative Economics. 10: 419-456. DOI: 10.3982/Qe1060 |
0.681 |
|
2019 |
Li J, Todorov V, Tauchen G, Lin H. Rank Tests at Jump Events Journal of Business & Economic Statistics. 37: 312-321. DOI: 10.1080/07350015.2017.1328362 |
0.578 |
|
2018 |
Davies R, Tauchen G. Data-Driven Jump Detection Thresholds for Application in Jump Regressions Econometrics. 6: 16. DOI: 10.3390/Econometrics6020016 |
0.471 |
|
2018 |
Gallant AR, Tauchen G. Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale Journal of Econometrics. 205: 140-155. DOI: 10.1016/J.Jeconom.2018.03.008 |
0.397 |
|
2017 |
Li J, Todorov V, Tauchen G. Robust Jump Regressions Journal of the American Statistical Association. 112: 332-341. DOI: 10.1080/01621459.2016.1138866 |
0.67 |
|
2017 |
Li J, Todorov VS, Tauchen G, Chen R. Mixed-scale jump regressions with bootstrap inference Journal of Econometrics. 201: 417-432. DOI: 10.1016/J.Jeconom.2017.08.017 |
0.529 |
|
2017 |
Li J, Todorov VS, Tauchen G. Adaptive estimation of continuous-time regression models using high-frequency data Journal of Econometrics. 200: 36-47. DOI: 10.1016/J.Jeconom.2017.01.010 |
0.56 |
|
2016 |
Li J, Todorov V, Tauchen G. Inference theory for volatility functional dependencies Journal of Econometrics. 193: 17-34. DOI: 10.1016/J.Jeconom.2016.01.004 |
0.732 |
|
2015 |
Li J, Todorov V, Tauchen G. ESTIMATING THE VOLATILITY OCCUPATION TIME VIA REGULARIZED LAPLACE INVERSION Econometric Theory. DOI: 10.1017/S0266466615000171 |
0.737 |
|
2015 |
Reiß M, Todorov V, Tauchen G. Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data Stochastic Processes and Their Applications. 125: 2955-2988. DOI: 10.1016/J.Spa.2015.02.008 |
0.646 |
|
2015 |
Andersen TG, Bondarenko O, Todorov V, Tauchen G. The fine structure of equity-index option dynamics Journal of Econometrics. 187: 532-546. DOI: 10.1016/J.Jeconom.2015.02.037 |
0.666 |
|
2014 |
Todorov V, Tauchen G. Limit theorems for the empirical distribution function of scaled increments of itô semimartingales at high frequencies Annals of Applied Probability. 24: 1850-1888. DOI: 10.1214/13-Aap965 |
0.621 |
|
2014 |
Todorov V, Tauchen G, Grynkiv I. Volatility activity: Specification and estimation Journal of Econometrics. 178: 180-193. DOI: 10.1016/J.Jeconom.2013.08.015 |
0.697 |
|
2013 |
Li J, Todorov V, Tauchen G. Volatility occupation times Annals of Statistics. 41: 1865-1891. DOI: 10.1214/13-Aos1135 |
0.711 |
|
2013 |
Bollerslev T, Osterrieder D, Sizova N, Tauchen G. Risk and return: Long-run relations, fractional cointegration, and return predictability Journal of Financial Economics. 108: 409-424. DOI: 10.1016/J.Jfineco.2013.01.002 |
0.448 |
|
2012 |
Todorov V, Tauchen G. The Realized Laplace Transform of Volatility Econometrica. 80: 1105-1127. DOI: 10.3982/Ecta9133 |
0.722 |
|
2012 |
Todorov V, Tauchen G. Realized laplace transforms for pure-jump semimartingales Annals of Statistics. 40: 1233-1262. DOI: 10.1214/12-Aos1006 |
0.699 |
|
2012 |
Bollerslev T, Sizova N, Tauchen G. Volatility in equilibrium: Asymmetries and dynamic dependencies Review of Finance. 16: 31-80. DOI: 10.1093/Rof/Rfr005 |
0.42 |
|
2012 |
Todorov V, Tauchen G. Inverse realized laplace transforms for nonparametric volatility density estimation in jump-diffusions Journal of the American Statistical Association. 107: 622-635. DOI: 10.1080/01621459.2012.682854 |
0.753 |
|
2011 |
Todorov V, Tauchen G. Limit theorems for power variations of pure-jump processes with application to activity estimation Annals of Applied Probability. 21: 546-588. DOI: 10.2139/Ssrn.1687968 |
0.649 |
|
2011 |
Tauchen G, Zhou H. Realized jumps on financial markets and predicting credit spreads Journal of Econometrics. 160: 102-118. DOI: 10.17016/Feds.2006.35 |
0.52 |
|
2011 |
Todorov V, Tauchen G. Volatility jumps Journal of Business and Economic Statistics. 29: 356-371. DOI: 10.1198/jbes.2010.08342 |
0.356 |
|
2011 |
Shaliastovich I, Tauchen G. Pricing of the time-change risks Journal of Economic Dynamics and Control. 35: 843-858. DOI: 10.1016/J.Jedc.2011.01.003 |
0.363 |
|
2011 |
Todorov V, Tauchen G, Grynkiv I. Realized Laplace transforms for estimation of jump diffusive volatility models Journal of Econometrics. 164: 367-381. DOI: 10.1016/J.Jeconom.2011.06.016 |
0.692 |
|
2010 |
Todorov V, Tauchen G. Activity signature functions for high-frequency data analysis Journal of Econometrics. 154: 125-138. DOI: 10.1016/J.Jeconom.2009.06.009 |
0.708 |
|
2010 |
Gallant AR, Tauchen G. Simulated Score Methods and Indirect Inference for Continuous-time Models Handbook of Financial Econometrics, Vol 1. 427-477. DOI: 10.1016/B978-0-444-50897-3.50011-0 |
0.45 |
|
2009 |
Bollerslev T, Kretschmer U, Pigorsch C, Tauchen G. A discrete-time model for daily S & P500 returns and realized variations: Jumps and leverage effects Journal of Econometrics. 150: 151-166. DOI: 10.2139/Ssrn.1150108 |
0.582 |
|
2009 |
Bollerslev T, Tauchen G, Zhou H. Expected stock returns and variance risk premia Review of Financial Studies. 22: 4463-4492. DOI: 10.1093/Rfs/Hhp008 |
0.422 |
|
2008 |
Bollerslev T, Law TH, Tauchen G. Risk, jumps, and diversification Journal of Econometrics. 144: 234-256. DOI: 10.1016/J.Jeconom.2008.01.006 |
0.312 |
|
2007 |
Bansal R, Gallant AR, Tauchen G. Rational pessimism, rational exuberance, and asset pricing models Review of Economic Studies. 74: 1005-1033. DOI: 10.1111/J.1467-937X.2007.00454.X |
0.418 |
|
2006 |
Todorov V, Tauchen G. Simulation methods for Lévy-driven continuous-time autoregressive moving average (CARMA) stochastic volatility models Journal of Business and Economic Statistics. 24: 455-469. DOI: 10.1198/073500106000000260 |
0.668 |
|
2006 |
Bollerslev T, Litvinova J, Tauchen G. Leverage and volatility feedback effects in high-frequency data Journal of Financial Econometrics. 4: 353-384. DOI: 10.1093/Jjfinec/Nbj014 |
0.409 |
|
2005 |
Huang X, Tauchen G. The relative contribution of jumps to total price variance Journal of Financial Econometrics. 3: 456-499. DOI: 10.2139/Ssrn.609321 |
0.418 |
|
2004 |
Bansal R, Tauchen G, Zhou H. Regime shifts, risk premiums in the term structure, and the business cycle Journal of Business and Economic Statistics. 22: 396-409. DOI: 10.17016/Feds.2003.21 |
0.357 |
|
2003 |
Chernov M, Gallant AR, Ghysels E, Tauchen G. Alternative models for stock price dynamics Journal of Econometrics. 116: 225-257. DOI: 10.1016/S0304-4076(03)00108-8 |
0.527 |
|
2001 |
Chung CS, Tauchen G. Testing target-zone models using efficient method of moments Journal of Business and Economic Statistics. 19: 255-269. DOI: 10.1198/073500101681019891 |
0.391 |
|
2001 |
Tauchen G. The bias of tests for a risk premium in forward exchange rates Journal of Empirical Finance. 8: 695-704. DOI: 10.1016/S0927-5398(01)00042-1 |
0.483 |
|
2001 |
Tauchen G. Notes on financial econometrics Journal of Econometrics. 100: 57-61. DOI: 10.1016/S0304-4076(00)00054-3 |
0.396 |
|
1999 |
Gallant AR, Hsu CT, Tauchen G. Using daily range data to calibrate volatility diffusions and extract the forward integrated variance Review of Economics and Statistics. 81: 617-631. DOI: 10.2139/Ssrn.235742 |
0.555 |
|
1999 |
Gallant AR, Tauchen G. The relative efficiency of method of moments estimators Journal of Econometrics. 92: 149-172. DOI: 10.1016/S0304-4076(98)00088-8 |
0.455 |
|
1998 |
Gallant AR, Tauchen G. Reprojecting partially observed systems with application to interest rate diffusions Journal of the American Statistical Association. 93: 10-24. DOI: 10.1080/01621459.1998.10474083 |
0.43 |
|
1997 |
Gallant AR, Tauchen G. Estimation of continuous-time models for stock returns and interest rates Macroeconomic Dynamics. 1: 135-168. DOI: 10.1017/S1365100597002058 |
0.473 |
|
1997 |
Gallant AR, Hsiehb D, Tauchen G. Estimation of stochastic volatility models with diagnostics Journal of Econometrics. 81: 159-192. DOI: 10.1016/S0304-4076(97)00039-0 |
0.534 |
|
1996 |
Ronald Gallant A, Tauchen G. Which moments to match? Econometric Theory. 12: 657-681. |
0.42 |
|
1995 |
Bansal R, Gallant AR, Hussey R, Tauchen G. Nonparametric estimation of structural models for high-frequency currency market data Journal of Econometrics. 66: 251-287. DOI: 10.1016/0304-4076(94)01618-A |
0.566 |
|
1993 |
Gallant AR, Rossi PE, Tauchen G. Nonlinear dynamic structures Econometrica. 61: 871-907. DOI: 10.2307/2951766 |
0.32 |
|
1993 |
Barnett W, Powell J, Tauchen G. Nonparametric and Semiparametric Methods in Econometrics and Statistics Journal of the American Statistical Association. 88: 1468. DOI: 10.2307/2291296 |
0.522 |
|
1992 |
Gallant AR, Rossi PE, Tauchen G. Stock Prices and Volume Review of Financial Studies. 5: 199-242. DOI: 10.1093/Rfs/5.2.199 |
0.369 |
|
1991 |
Tauchen G, Hussey R. Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models Econometrica. 59: 371-396. DOI: 10.2307/2938261 |
0.427 |
|
1990 |
Gallant AR, Hansen LP, Tauchen G. Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution Journal of Econometrics. 45: 141-179. DOI: 10.1016/0304-4076(90)90097-D |
0.421 |
|
1986 |
Tauchen G. A note on the asymptotic lower bound for the covariance matrix of the GMM estimator of the parameters of agents' utility functions Economics Letters. 20: 151-155. DOI: 10.1016/0165-1765(86)90163-1 |
0.445 |
|
1982 |
Cook PJ, Tauchen G. The Effect of Liquor Taxes on Heavy Drinking The Bell Journal of Economics. 13: 379-390. DOI: 10.2307/3003461 |
0.392 |
|
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