George Tauchen
Personal Details
First Name: | George |
Middle Name: | |
Last Name: | Tauchen |
Suffix: | |
RePEc Short-ID: | pta61 |
| |
http://www.econ.duke.edu/~get | |
George Tauchen Department of Economics Duke University 305 Social Sciences, Box 90097 Durham, NC 27708-0097 USA | |
1-919-660-1812 (Duke) | |
Terminal Degree: | 1978 Department of Economics; University of Minnesota (from RePEc Genealogy) |
Affiliation
Department of Economics
Duke University
Durham, North Carolina (United States)http://www.econ.duke.edu/
RePEc:edi:dedukus (more details at EDIRC)
Research output
Jump to: Working papers Articles BooksWorking papers
- Torben G. Andersen & Oleg Bondarenko & Viktor Todorov & George Tauchen, 2013.
"The Fine Structure of Equity-Index Option Dynamics,"
CREATES Research Papers
2013-52, Department of Economics and Business Economics, Aarhus University.
- Andersen, Torben G. & Bondarenko, Oleg & Todorov, Viktor & Tauchen, George, 2015. "The fine structure of equity-index option dynamics," Journal of Econometrics, Elsevier, vol. 187(2), pages 532-546.
- Viktor Todorov & George Tauchen, 2011. "Inverse Realized Laplace Transforms for Nonparametric Volatility Estimation in Jump-Diffusions," Working Papers 11-21, Duke University, Department of Economics.
- Tim Bollerslev & Daniela Osterrieder & Natalia Sizova & George Tauchen, 2011. "Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability," CREATES Research Papers 2011-51, Department of Economics and Business Economics, Aarhus University.
- George Tauchen, 2011. "Levy Process Models for High Frequency Financial Data," Working Papers 11-22, Duke University, Department of Economics.
- Viktor Todorov & George Tauchen & Iaryna Grynkiv, 2011.
"Volatility Activity: Specification and Estimation,"
Working Papers
11-23, Duke University, Department of Economics.
- Todorov, Viktor & Tauchen, George & Grynkiv, Iaryna, 2014. "Volatility activity: Specification and estimation," Journal of Econometrics, Elsevier, vol. 178(P1), pages 180-193.
- Ivan Shaliastovich & George Tauchen, 2010.
"Pricing of the Time-Change Risks,"
Working Papers
10-10, Duke University, Department of Economics.
- Shaliastovich, Ivan & Tauchen, George, 2011. "Pricing of the time-change risks," Journal of Economic Dynamics and Control, Elsevier, vol. 35(6), pages 843-858, June.
- Ivan Shaliastovich & George Tauchen, 2009. "Pricing of the Time-Change Risks," Working Papers 10-71, Duke University, Department of Economics.
- George Tauchen & Viktor Todorov, 2010.
"Activity Signature Functions for High-Frequency Data Analysis,"
Working Papers
10-08, Duke University, Department of Economics.
- Todorov, Viktor & Tauchen, George, 2010. "Activity signature functions for high-frequency data analysis," Journal of Econometrics, Elsevier, vol. 154(2), pages 125-138, February.
- Viktor Todorov & George Tauchen, 2010.
"The Realized Laplace Transform of Volatility,"
Working Papers
10-72, Duke University, Department of Economics.
- Viktor Todorov & George Tauchen, 2012. "The Realized Laplace Transform of Volatility," Econometrica, Econometric Society, vol. 80(3), pages 1105-1127, May.
- Viktor Todorov & Iaryna Grynkiv & George Tauchen, 2010.
"Realized Laplace Transforms for Estimation of Jump Diffusive Volatility Models,"
Working Papers
10-75, Duke University, Department of Economics.
- Todorov, Viktor & Tauchen, George & Grynkiv, Iaryna, 2011. "Realized Laplace transforms for estimation of jump diffusive volatility models," Journal of Econometrics, Elsevier, vol. 164(2), pages 367-381, October.
- Viktor Todorov & George Tauchen, 2010. "Limit Theorems for Power Variations of Pure-Jump Processes with Application to Activity Estimation," Working Papers 10-74, Duke University, Department of Economics.
- Viktor Todorov & George Tauchen, 2010.
"Volatility Jumps,"
Working Papers
10-09, Duke University, Department of Economics.
- Viktor Todorov & George Tauchen, 2011. "Volatility Jumps," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 29(3), pages 356-371, July.
- Todorov, Viktor & Tauchen, George, 2011. "Volatility Jumps," Journal of Business & Economic Statistics, American Statistical Association, vol. 29(3), pages 356-371.
- Tim Bollerslev & Natalia Sizova & George Tauchen, 2009.
"Volatility in Equilibrium: Asymmetries and Dynamic Dependencies,"
CREATES Research Papers
2009-05, Department of Economics and Business Economics, Aarhus University.
- Tim Bollerslev & Natalia Sizova & George Tauchen, 2011. "Volatility in Equilibrium: Asymmetries and Dynamic Dependencies," Review of Finance, European Finance Association, vol. 16(1), pages 31-80.
- Tim Bollerslev & Natalia Sizova & George Tauchen, 2010. "Volatility in Equilibrium: Asymmetries and Dynamic Dependencies," Working Papers 10-34, Duke University, Department of Economics.
- Tim Bollerslev & Natalia Sizova & George Tauchen, 2009. "Volatility in Equilibrium: Asymmetries and Dynamic Dependencies," Working Papers 10-73, Duke University, Department of Economics.
- Tim Bollerslev & Tzuo Hao & George Tauchen, 2008.
"Expected Stock Returns and Variance Risk Premia,"
CREATES Research Papers
2008-48, Department of Economics and Business Economics, Aarhus University.
- Tim Bollerslev & George Tauchen & Hao Zhou, 2009. "Expected Stock Returns and Variance Risk Premia," The Review of Financial Studies, Society for Financial Studies, vol. 22(11), pages 4463-4492, November.
- Tim Bollerslev & Hao Zhou, 2007. "Expected Stock Returns and Variance Risk Premia," CREATES Research Papers 2007-17, Department of Economics and Business Economics, Aarhus University.
- Tim Bollerslev & Hao Zhou, 2006. "Expected stock returns and variance risk premia," Finance and Economics Discussion Series 2007-11, Board of Governors of the Federal Reserve System (U.S.).
- Tim Bollerslev & Uta Kretschmer & Christian Pigorsch & George Tauchen, 2007.
"A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects,"
CREATES Research Papers
2007-22, Department of Economics and Business Economics, Aarhus University.
- Bollerslev, Tim & Kretschmer, Uta & Pigorsch, Christian & Tauchen, George, 2009. "A discrete-time model for daily S & P500 returns and realized variations: Jumps and leverage effects," Journal of Econometrics, Elsevier, vol. 150(2), pages 151-166, June.
- Tim Bollerslev & Uta Kretschmer & Christian Pigorsch & George Tauchen, 2010. "A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects," Working Papers 10-06, Duke University, Department of Economics.
- Tim Bollerslev & Tzuo Hann Law & George Tauchen, 2007.
"Risk, Jumps, and Diversification,"
CREATES Research Papers
2007-19, Department of Economics and Business Economics, Aarhus University.
- Bollerslev, Tim & Law, Tzuo Hann & Tauchen, George, 2008. "Risk, jumps, and diversification," Journal of Econometrics, Elsevier, vol. 144(1), pages 234-256, May.
- Ravi Bansal & A. Ronald Gallant & George Tauchen, 2007.
"Rational Pessimism, Rational Exuberance, and Asset Pricing Models,"
NBER Working Papers
13107, National Bureau of Economic Research, Inc.
- Ravi Bansal & A. Ronald Gallant & George Tauchen, 2007. "Rational Pessimism, Rational Exuberance, and Asset Pricing Models," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 74(4), pages 1005-1033.
- George Tauchen & Hao Zhou, 2006.
"Realized jumps on financial markets and predicting credit spreads,"
Finance and Economics Discussion Series
2006-35, Board of Governors of the Federal Reserve System (U.S.).
- Tauchen, George & Zhou, Hao, 2011. "Realized jumps on financial markets and predicting credit spreads," Journal of Econometrics, Elsevier, vol. 160(1), pages 102-118, January.
- Ravi Bansal & George Tauchen & Hao Zhou, 2003.
"Regime-shifts, risk premiums in the term structure, and the business cycle,"
Finance and Economics Discussion Series
2003-21, Board of Governors of the Federal Reserve System (U.S.).
- Ravi Bansal & George Tauchen & Hao Zhou, 2004. "Regime Shifts, Risk Premiums in the Term Structure, and the Business Cycle," Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 396-409, October.
- Gallant, A. Ronald & Tauchen, George, 2002. "Simulated Score Methods and Indirect Inference for Continuous-time Models," Working Papers 02-09, Duke University, Department of Economics.
- Gallant, A. Ronald & Tauchen, George, 2002. "Efficient Method of Moments," Working Papers 02-06, Duke University, Department of Economics.
- Mikhail Chernov & A. Ronald Gallant & Eric Ghysels & George Tauchen, 2002.
"Alternative Models for Stock Price Dynamics,"
CIRANO Working Papers
2002s-58, CIRANO.
- Chernov, Mikhail & Ronald Gallant, A. & Ghysels, Eric & Tauchen, George, 2003. "Alternative models for stock price dynamics," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 225-257.
- Chernov, Mikhail & Gallant, A. Ronald & Ghysels, Eric & Tauchen, George, 2002. "Alternative Models for Stock Price Dynamic," Working Papers 02-03, Duke University, Department of Economics.
- Gallant, A. Ronald & Hsu, Chien-Te & Tauchen, George, 2000.
"Using Daily Range Data to Calibrate Volatility Diffusions and Extract the Forward Integrated Variance,"
Working Papers
00-04, Duke University, Department of Economics.
- A. Ronald Gallant & Chien-Te Hsu & George Tauchen, 1999. "Using Daily Range Data To Calibrate Volatility Diffusions And Extract The Forward Integrated Variance," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 617-631, November.
- Mikhail Chernov & A. Ronald Gallant & Eric Ghysels & George Tauchen, 1999. "A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation," CIRANO Working Papers 99s-48, CIRANO.
- Tauchen, George, 1997.
"The Objective Function of Simulation Estimators Near the Boundary of the Unstable Region of the Parameter Space,"
Working Papers
97-14, Duke University, Department of Economics.
- George Tauchen, 1998. "The Objective Function Of Simulation Estimators Near The Boundary Of The Unstable Region Of The Parameter Space," The Review of Economics and Statistics, MIT Press, vol. 80(3), pages 389-398, August.
- Gallant, A. Ronald & Tauchen, George, 1997. "Reprojecting Partially Observed Systems with Application to Interest Rate Diffusions," Working Papers 97-09, Duke University, Department of Economics.
- Tauchen, George E., 1995. "New Minimum Chi-Square Methods in Empirical Finance," Working Papers 95-42, Duke University, Department of Economics.
- Tauchen, George E. & Gallant, A. Ronald, 1995.
"Which Moments to Match,"
Working Papers
95-20, Duke University, Department of Economics.
- Gallant, A. Ronald & Tauchen, George, 1996. "Which Moments to Match?," Econometric Theory, Cambridge University Press, vol. 12(4), pages 657-681, October.
- Tauchen, George E. & Harold Zhang & Ming Liu, 1995.
"Volume, Volatility and Leverage: A Dynamic Analysis,"
Working Papers
95-02, Duke University, Department of Economics.
- Tauchen, George & Zhang, Harold & Liu, Ming, 1996. "Volume, volatility, and leverage: A dynamic analysis," Journal of Econometrics, Elsevier, vol. 74(1), pages 177-208, September.
- Gallant, A. Ronald & Hsieh, David & Tauchen, George, 1995.
"Estimation of Stochastic Volatility Models with Diagnostics,"
Working Papers
95-36, Duke University, Department of Economics.
- Gallant, A. Ronald & Hsieh, David & Tauchen, George, 1997. "Estimation of stochastic volatility models with diagnostics," Journal of Econometrics, Elsevier, vol. 81(1), pages 159-192, November.
- Tauchen, George E. & Gallant, A. Ronald, 1995. "SNP: A Program for Nonparametric Time Series Analysis. Version 8.4. User's Guide," Working Papers 95-26, Duke University, Department of Economics.
- Tauchen, George E. & Gallant, A. Ronald, 1995. "EMM: A Program for Efficient Method of Moments Estimation. Version 1.1. User's Guide," Working Papers 95-27, Duke University, Department of Economics.
- Tauchen, George E. & Gallant, A. Ronald, 1995.
"Estimation of Continuous Time Models for Stock Returns and Interest Rates,"
Working Papers
95-53, Duke University, Department of Economics.
- Gallant, A. Ronald & Tauchen, George, 1997. "Estimation Of Continuous-Time Models For Stock Returns And Interest Rates," Macroeconomic Dynamics, Cambridge University Press, vol. 1(1), pages 135-168, January.
- Gallant, A. Ronald & Tauchen, George E., 1995. "Specification Analysis of Continuous Time Models in Finance," Working Papers 95-49, Duke University, Department of Economics.
- Gallant, A.R. & Tauchen, G., 1988.
"Seminonparametric Estimation Of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications,"
Papers
88-59, Chicago - Graduate School of Business.
- Gallant, Ronald & Tauchen, George, 1989. "Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications," Econometrica, Econometric Society, vol. 57(5), pages 1091-1120, September.
- Gallant, A.R. & Hsieh, D. & Tauchen, G., 1988. "On Fitting A Recalcitrant Series: The Pound/Dollar Exchange Rate, 1974- 83," Papers 88-60, Chicago - Graduate School of Business.
- A. Ronald Gallant & George Tauchen, "undated". "Reproducing Partial Observed Systems with Application to Interest Rate Diffusions," Computing in Economics and Finance 1997 114, Society for Computational Economics.
Articles
- Jia Li & Viktor Todorov & George Tauchen, 2017. "Robust Jump Regressions," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 112(517), pages 332-341, January.
- Li, Jia & Todorov, Viktor & Tauchen, George, 2017. "Adaptive estimation of continuous-time regression models using high-frequency data," Journal of Econometrics, Elsevier, vol. 200(1), pages 36-47.
- Jia Li & Viktor Todorov & George Tauchen, 2017. "Jump Regressions," Econometrica, Econometric Society, vol. 85, pages 173-195, January.
- Li, Jia & Todorov, Viktor & Tauchen, George & Chen, Rui, 2017. "Mixed-scale jump regressions with bootstrap inference," Journal of Econometrics, Elsevier, vol. 201(2), pages 417-432.
- Li, Jia & Todorov, Viktor & Tauchen, George, 2016. "Inference theory for volatility functional dependencies," Journal of Econometrics, Elsevier, vol. 193(1), pages 17-34.
- Li, Jia & Todorov, Viktor & Tauchen, George, 2016. "Estimating The Volatility Occupation Time Via Regularized Laplace Inversion," Econometric Theory, Cambridge University Press, vol. 32(5), pages 1253-1288, October.
- Eric Ghysels & George Tauchen, 2016. "Introduction to: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference," Journal of Financial Econometrics, Oxford University Press, vol. 14(2), pages 227-228.
- Andersen, Torben G. & Bondarenko, Oleg & Todorov, Viktor & Tauchen, George, 2015.
"The fine structure of equity-index option dynamics,"
Journal of Econometrics, Elsevier, vol. 187(2), pages 532-546.
- Torben G. Andersen & Oleg Bondarenko & Viktor Todorov & George Tauchen, 2013. "The Fine Structure of Equity-Index Option Dynamics," CREATES Research Papers 2013-52, Department of Economics and Business Economics, Aarhus University.
- Reiß, Markus & Todorov, Viktor & Tauchen, George, 2015. "Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data," Stochastic Processes and their Applications, Elsevier, vol. 125(8), pages 2955-2988.
- Todorov, Viktor & Tauchen, George & Grynkiv, Iaryna, 2014.
"Volatility activity: Specification and estimation,"
Journal of Econometrics, Elsevier, vol. 178(P1), pages 180-193.
- Viktor Todorov & George Tauchen & Iaryna Grynkiv, 2011. "Volatility Activity: Specification and Estimation," Working Papers 11-23, Duke University, Department of Economics.
- Bollerslev, Tim & Osterrieder, Daniela & Sizova, Natalia & Tauchen, George, 2013. "Risk and return: Long-run relations, fractional cointegration, and return predictability," Journal of Financial Economics, Elsevier, vol. 108(2), pages 409-424.
- Viktor Todorov & George Tauchen, 2012.
"The Realized Laplace Transform of Volatility,"
Econometrica, Econometric Society, vol. 80(3), pages 1105-1127, May.
- Viktor Todorov & George Tauchen, 2010. "The Realized Laplace Transform of Volatility," Working Papers 10-72, Duke University, Department of Economics.
- Viktor Todorov & George Tauchen, 2012. "Inverse Realized Laplace Transforms for Nonparametric Volatility Density Estimation in Jump-Diffusions," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 107(498), pages 622-635, June.
- Tauchen, George & Zhou, Hao, 2011.
"Realized jumps on financial markets and predicting credit spreads,"
Journal of Econometrics, Elsevier, vol. 160(1), pages 102-118, January.
- George Tauchen & Hao Zhou, 2006. "Realized jumps on financial markets and predicting credit spreads," Finance and Economics Discussion Series 2006-35, Board of Governors of the Federal Reserve System (U.S.).
- Tim Bollerslev & Natalia Sizova & George Tauchen, 2011.
"Volatility in Equilibrium: Asymmetries and Dynamic Dependencies,"
Review of Finance, European Finance Association, vol. 16(1), pages 31-80.
- Tim Bollerslev & Natalia Sizova & George Tauchen, 2009. "Volatility in Equilibrium: Asymmetries and Dynamic Dependencies," CREATES Research Papers 2009-05, Department of Economics and Business Economics, Aarhus University.
- Tim Bollerslev & Natalia Sizova & George Tauchen, 2010. "Volatility in Equilibrium: Asymmetries and Dynamic Dependencies," Working Papers 10-34, Duke University, Department of Economics.
- Tim Bollerslev & Natalia Sizova & George Tauchen, 2009. "Volatility in Equilibrium: Asymmetries and Dynamic Dependencies," Working Papers 10-73, Duke University, Department of Economics.
- Todorov, Viktor & Tauchen, George & Grynkiv, Iaryna, 2011.
"Realized Laplace transforms for estimation of jump diffusive volatility models,"
Journal of Econometrics, Elsevier, vol. 164(2), pages 367-381, October.
- Viktor Todorov & Iaryna Grynkiv & George Tauchen, 2010. "Realized Laplace Transforms for Estimation of Jump Diffusive Volatility Models," Working Papers 10-75, Duke University, Department of Economics.
- Todorov, Viktor & Tauchen, George, 2011.
"Volatility Jumps,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 29(3), pages 356-371.
- Viktor Todorov & George Tauchen, 2011. "Volatility Jumps," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 29(3), pages 356-371, July.
- Viktor Todorov & George Tauchen, 2010. "Volatility Jumps," Working Papers 10-09, Duke University, Department of Economics.
- George Tauchen, 2011. "Stochastic Volatility in General Equilibrium," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 1(04), pages 707-731.
- Shaliastovich, Ivan & Tauchen, George, 2011.
"Pricing of the time-change risks,"
Journal of Economic Dynamics and Control, Elsevier, vol. 35(6), pages 843-858, June.
- Ivan Shaliastovich & George Tauchen, 2010. "Pricing of the Time-Change Risks," Working Papers 10-10, Duke University, Department of Economics.
- Ivan Shaliastovich & George Tauchen, 2009. "Pricing of the Time-Change Risks," Working Papers 10-71, Duke University, Department of Economics.
- Todorov, Viktor & Tauchen, George, 2010.
"Activity signature functions for high-frequency data analysis,"
Journal of Econometrics, Elsevier, vol. 154(2), pages 125-138, February.
- George Tauchen & Viktor Todorov, 2010. "Activity Signature Functions for High-Frequency Data Analysis," Working Papers 10-08, Duke University, Department of Economics.
- Bollerslev, Tim & Kretschmer, Uta & Pigorsch, Christian & Tauchen, George, 2009.
"A discrete-time model for daily S & P500 returns and realized variations: Jumps and leverage effects,"
Journal of Econometrics, Elsevier, vol. 150(2), pages 151-166, June.
- Tim Bollerslev & Uta Kretschmer & Christian Pigorsch & George Tauchen, 2010. "A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects," Working Papers 10-06, Duke University, Department of Economics.
- Tim Bollerslev & Uta Kretschmer & Christian Pigorsch & George Tauchen, 2007. "A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects," CREATES Research Papers 2007-22, Department of Economics and Business Economics, Aarhus University.
- Tim Bollerslev & George Tauchen & Hao Zhou, 2009.
"Expected Stock Returns and Variance Risk Premia,"
The Review of Financial Studies, Society for Financial Studies, vol. 22(11), pages 4463-4492, November.
- Tim Bollerslev & Hao Zhou, 2007. "Expected Stock Returns and Variance Risk Premia," CREATES Research Papers 2007-17, Department of Economics and Business Economics, Aarhus University.
- Tim Bollerslev & Tzuo Hao & George Tauchen, 2008. "Expected Stock Returns and Variance Risk Premia," CREATES Research Papers 2008-48, Department of Economics and Business Economics, Aarhus University.
- Tim Bollerslev & Hao Zhou, 2006. "Expected stock returns and variance risk premia," Finance and Economics Discussion Series 2007-11, Board of Governors of the Federal Reserve System (U.S.).
- Bollerslev, Tim & Law, Tzuo Hann & Tauchen, George, 2008.
"Risk, jumps, and diversification,"
Journal of Econometrics, Elsevier, vol. 144(1), pages 234-256, May.
- Tim Bollerslev & Tzuo Hann Law & George Tauchen, 2007. "Risk, Jumps, and Diversification," CREATES Research Papers 2007-19, Department of Economics and Business Economics, Aarhus University.
- Ravi Bansal & A. Ronald Gallant & George Tauchen, 2007.
"Rational Pessimism, Rational Exuberance, and Asset Pricing Models,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 74(4), pages 1005-1033.
- Ravi Bansal & A. Ronald Gallant & George Tauchen, 2007. "Rational Pessimism, Rational Exuberance, and Asset Pricing Models," NBER Working Papers 13107, National Bureau of Economic Research, Inc.
- Todorov, Viktor & Tauchen, George, 2006. "Simulation Methods for Levy-Driven Continuous-Time Autoregressive Moving Average (CARMA) Stochastic Volatility Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 455-469, October.
- Tim Bollerslev & Julia Litvinova & George Tauchen, 2006. "Leverage and Volatility Feedback Effects in High-Frequency Data," Journal of Financial Econometrics, Oxford University Press, vol. 4(3), pages 353-384.
- Xin Huang & George Tauchen, 2005. "The Relative Contribution of Jumps to Total Price Variance," Journal of Financial Econometrics, Oxford University Press, vol. 3(4), pages 456-499.
- Ravi Bansal & George Tauchen & Hao Zhou, 2004.
"Regime Shifts, Risk Premiums in the Term Structure, and the Business Cycle,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 396-409, October.
- Ravi Bansal & George Tauchen & Hao Zhou, 2003. "Regime-shifts, risk premiums in the term structure, and the business cycle," Finance and Economics Discussion Series 2003-21, Board of Governors of the Federal Reserve System (U.S.).
- Ghysels, Eric & Tauchen, George, 2003. "Frontiers of financial econometrics and financial engineering," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 1-7.
- Chernov, Mikhail & Ronald Gallant, A. & Ghysels, Eric & Tauchen, George, 2003.
"Alternative models for stock price dynamics,"
Journal of Econometrics, Elsevier, vol. 116(1-2), pages 225-257.
- Chernov, Mikhail & Gallant, A. Ronald & Ghysels, Eric & Tauchen, George, 2002. "Alternative Models for Stock Price Dynamic," Working Papers 02-03, Duke University, Department of Economics.
- Mikhail Chernov & A. Ronald Gallant & Eric Ghysels & George Tauchen, 2002. "Alternative Models for Stock Price Dynamics," CIRANO Working Papers 2002s-58, CIRANO.
- Tauchen, George, 2002. "Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(3), pages 331-332, July.
- Chung, Chae-Shick & Tauchen, George, 2001. "Testing Target-Zone Models Using Efficient Method of Moments," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(3), pages 255-269, July.
- Tauchen, George, 2001. "The bias of tests for a risk premium in forward exchange rates," Journal of Empirical Finance, Elsevier, vol. 8(5), pages 695-704, December.
- Tauchen, George, 2001. "Notes on financial econometrics," Journal of Econometrics, Elsevier, vol. 100(1), pages 57-64, January.
- Chung, Chae-Shick & Tauchen, George, 2001. "Testing Target-Zone Models Using Efficient Method of Moments: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(3), pages 276-277, July.
- Ronald Gallant, A. & Tauchen, George, 1999. "The relative efficiency of method of moments estimators1," Journal of Econometrics, Elsevier, vol. 92(1), pages 149-172, September.
- A. Ronald Gallant & Chien-Te Hsu & George Tauchen, 1999.
"Using Daily Range Data To Calibrate Volatility Diffusions And Extract The Forward Integrated Variance,"
The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 617-631, November.
- Gallant, A. Ronald & Hsu, Chien-Te & Tauchen, George, 2000. "Using Daily Range Data to Calibrate Volatility Diffusions and Extract the Forward Integrated Variance," Working Papers 00-04, Duke University, Department of Economics.
- George Tauchen, 1998.
"The Objective Function Of Simulation Estimators Near The Boundary Of The Unstable Region Of The Parameter Space,"
The Review of Economics and Statistics, MIT Press, vol. 80(3), pages 389-398, August.
- Tauchen, George, 1997. "The Objective Function of Simulation Estimators Near the Boundary of the Unstable Region of the Parameter Space," Working Papers 97-14, Duke University, Department of Economics.
- Gallant, A. Ronald & Hsieh, David & Tauchen, George, 1997.
"Estimation of stochastic volatility models with diagnostics,"
Journal of Econometrics, Elsevier, vol. 81(1), pages 159-192, November.
- Gallant, A. Ronald & Hsieh, David & Tauchen, George, 1995. "Estimation of Stochastic Volatility Models with Diagnostics," Working Papers 95-36, Duke University, Department of Economics.
- Gallant, A. Ronald & Tauchen, George, 1997.
"Estimation Of Continuous-Time Models For Stock Returns And Interest Rates,"
Macroeconomic Dynamics, Cambridge University Press, vol. 1(1), pages 135-168, January.
- Tauchen, George E. & Gallant, A. Ronald, 1995. "Estimation of Continuous Time Models for Stock Returns and Interest Rates," Working Papers 95-53, Duke University, Department of Economics.
- Tauchen, George & Zhang, Harold & Liu, Ming, 1996.
"Volume, volatility, and leverage: A dynamic analysis,"
Journal of Econometrics, Elsevier, vol. 74(1), pages 177-208, September.
- Tauchen, George E. & Harold Zhang & Ming Liu, 1995. "Volume, Volatility and Leverage: A Dynamic Analysis," Working Papers 95-02, Duke University, Department of Economics.
- Gallant, A. Ronald & Tauchen, George, 1996.
"Which Moments to Match?,"
Econometric Theory, Cambridge University Press, vol. 12(4), pages 657-681, October.
- Tauchen, George E. & Gallant, A. Ronald, 1995. "Which Moments to Match," Working Papers 95-20, Duke University, Department of Economics.
- Bansal, Ravi & Gallant, A. Ronald & Hussey, Robert & Tauchen, George, 1995. "Nonparametric estimation of structural models for high-frequency currency market data," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 251-287.
- Tauchen, George, 1993. "Remarks on My Term at JBES," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(4), pages 428-431, October.
- Gallant, A Ronald & Rossi, Peter E & Tauchen, George, 1993. "Nonlinear Dynamic Structures," Econometrica, Econometric Society, vol. 61(4), pages 871-907, July.
- Gallant, A Ronald & Rossi, Peter E & Tauchen, George, 1992. "Stock Prices and Volume," The Review of Financial Studies, Society for Financial Studies, vol. 5(2), pages 199-242.
- Tauchen, George & Hussey, Robert, 1991. "Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models," Econometrica, Econometric Society, vol. 59(2), pages 371-396, March.
- Tauchen, George, 1990. "Solving the Stochastic Growth Model by Using Quadrature Methods and Value-Function Iterations," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(1), pages 49-51, January.
- Gallant, A. Ronald & Hansen, Lars Peter & Tauchen, George, 1990. "Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 141-179.
- Gallant, Ronald & Tauchen, George, 1989.
"Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications,"
Econometrica, Econometric Society, vol. 57(5), pages 1091-1120, September.
- Gallant, A.R. & Tauchen, G., 1988. "Seminonparametric Estimation Of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications," Papers 88-59, Chicago - Graduate School of Business.
- Tauchen, George, 1986. "A note on the asymptotic lower bound for the covariance matrix of the GMM estimator of the parameters of agents' utility functions," Economics Letters, Elsevier, vol. 20(2), pages 151-155.
- Tauchen, George, 1986. "Statistical Properties of Generalized Method-of-Moments Estimators of Structural Parameters Obtained from Financial Market Data: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(4), pages 423-425, October.
- Tauchen, George, 1986. "Finite state markov-chain approximations to univariate and vector autoregressions," Economics Letters, Elsevier, vol. 20(2), pages 177-181.
- Tauchen, George, 1986. "Statistical Properties of Generalized Method-of-Moments Estimators of Structural Parameters Obtained from Financial Market Data," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(4), pages 397-416, October.
- Tauchen, George, 1985. "An Investigation of Transactions Data for NYSE Stocks: Discussion," Journal of Finance, American Finance Association, vol. 40(3), pages 739-741, July.
- Tauchen, George, 1985. "Diagnostic testing and evaluation of maximum likelihood models," Journal of Econometrics, Elsevier, vol. 30(1-2), pages 415-443.
- Philip J. Cook & George Tauchen, 1984. "The Effect of Minimum Drinking Age Legislation on Youthful Auto Fatalities, 1970-1977," The Journal of Legal Studies, University of Chicago Press, vol. 13(1), pages 169-190, January.
- Tauchen, George E & Pitts, Mark, 1983. "The Price Variability-Volume Relationship on Speculative Markets," Econometrica, Econometric Society, vol. 51(2), pages 485-505, March.
- Philip J. Cook & George Tauchen, 1982. "The Effect of Liquor Taxes on Heavy Drinking," Bell Journal of Economics, The RAND Corporation, vol. 13(2), pages 379-390, Autumn.
- Tauchen, George E, 1981. "Some Evidence on Cross-Sector Effects of the Minimum Wage," Journal of Political Economy, University of Chicago Press, vol. 89(3), pages 529-547, June.
- Salemi, Michael K & Tauchen, George E, 1980. "Guessing and the Error Structure of Learning Models," American Economic Review, American Economic Association, vol. 70(2), pages 41-46, May.
Books
- Barnett,William A. & Powell,James & Tauchen,George E. (ed.), 1991. "Nonparametric and Semiparametric Methods in Econometrics and Statistics," Cambridge Books, Cambridge University Press, number 9780521370905, September.
- Barnett,William A. & Powell,James & Tauchen,George E. (ed.), 1991. "Nonparametric and Semiparametric Methods in Econometrics and Statistics," Cambridge Books, Cambridge University Press, number 9780521424318, September.
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NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 15 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-ETS: Econometric Time Series (9) 2000-10-05 2002-06-13 2002-06-13 2002-06-24 2008-06-27 2008-06-27 2011-11-14 2011-11-14 2012-01-10. Author is listed
- NEP-ECM: Econometrics (7) 2002-06-13 2008-06-27 2008-06-27 2011-11-14 2011-11-14 2011-11-21 2012-01-10. Author is listed
- NEP-MST: Market Microstructure (7) 2008-06-27 2008-09-29 2009-02-22 2011-11-14 2011-11-21 2012-01-10 2014-01-10. Author is listed
- NEP-FMK: Financial Markets (6) 2000-10-05 2002-06-13 2002-06-24 2008-06-27 2008-09-29 2009-02-22. Author is listed
- NEP-RMG: Risk Management (3) 2006-12-16 2008-09-29 2012-01-10
- NEP-BEC: Business Economics (2) 2007-05-26 2008-09-29
- NEP-FIN: Finance (2) 2002-06-13 2002-06-24
- NEP-CFN: Corporate Finance (1) 2014-01-10
- NEP-DGE: Dynamic General Equilibrium (1) 2007-05-26
- NEP-ORE: Operations Research (1) 2009-02-22
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