George Tauchen, PhD University of Minnesota 1977
W. H. Glasson Professor of Economics and Finance Duke University

 

George Tauchen

George Tauchen joined the Duke faculty in 1977 after receiving his Ph.D. from the University of Minnesota. He did his undergraduate work at the University of Wisconsin.  Tauchen is a fellow of the Econometric Society, a fellow of the American Statistical Association,  fellow of the Journal of Econometrics, fouding fellow of the Society for Financial Econometrics, founding fellow of the International Association for Applied Econometrics (IAAE), and fellow of the International Engineering and Technology Institute (IETI).  He is also the 2003 Duke University Scholar/Teacher of the Year. Tauchen is an internationally known time series econometrician. He has developed several important new techniques for making statistical inference from time series data and for testing models of financial markets.  Professor Tauchen regularly gives research seminars at major U.S. research universities and at international meetings, conferences, and research institutes. He was Visiting Fellow at the Australian National University, and he gave one of the major invited addresses at the Seventh World Congress of the Econometric Society in Tokyo, Japan. He has lectured in such diverse places as Buenos Aires, Beijing, Hong Kong, Taipei, Helsinki, Sydney, Perth,  Paris, Madrid, Vienna, Tokyo, Santiago de Chile, Milan, Lugano, and London. He is former Editor of the Journal of Business and Economic Statistics (JBES) and The Journal of Financial Econometrics; he also is former associate editor of Econometrica, Econometric Theory, The Journal of the American Statistical Association, and JBES.


George Tauchen
Department of Economics
213 Social Science, Duke University
Box 90097, Durham, NC 27708-0097 USA
E-mail: george.tauchen@duke.edu
Fax: 919-684-8974, Phone: 919-660-1812

FIELDS: Financial econometrics, time series

Vita    CV

Visibility: very high, many Google search hits and cites

Current Working Papers and Research via the WEB: Click Here for Access 

My complete article bibliography (pdf): Articles

RECENT PUBLICATIONS IN STATISTICS AND ECONOMETRICS

  1. Jump Regressions  Econometrica 2017.  (with J. Li and V. Todorov)
  2. Robust Jump Regressions Journal of the American Statistical Association 2017. (with J. Li and V. Todorov)
  3. Exact Bayesian Moment Based Inference for the Distribution of the Small-Time Movements of an Ito Semimartingale Journal of Econometrics 2017. (with A. R. Gallant)
  4. Mixed-Scale Jump Regressions Journal of Econometrics 2017. (with J. Li, V. Todorov, and R. Chen)
  5. Adaptive Estimation of Continuous-Time Regression Models using High-Frequency Data  Journal of Econometrics 2017. (with J. Li and V. Todorov)
  6. Inference Theory for Volatility Functional Dependencies Journal of Econometrics  2016. (with J. Li and V. Todorov)
  7. Estimating the Volatility Occupation Time via Regularized Laplace Inversion Econometric Theory 2016.
  8. Nonparametric Test for a Constant Beta between Ito Semimartingales  Based on High-frequency Data Stochastic Processes and their Applications 2015. (with M. Reiss and V. Todorov)
  9. The Empirical Distribution Function of Scaled Increments of Ito Semimartingales Annals of Applied Probability, 2014, v. 24, pp. 1850-1888. (with V.Todorov)
  10.  Volatilility Occupation Times Annals of Statistics, 2013, v. 40, pp. 1865-1891  (with J. Li and V. Todorov)
  11. The Realized Laplace Transform of Volatility Econometrica, 2012, v. 80, iss. 3, pp. 1105-27 (with V. Todorov)
  12. Inverse Realized Laplace Transforms for Nonparametric Volatility Density Estimation in Jump-Diffusions Journal of the American Statistical Association,  June 2012, v. 107, iss. 498, pp. 622-35  (with V. Todorov)
  13. Realized Laplace Transforms For Pure-Jump Semimartingales Annals of Statistics 2012 (with V. Todorov)
  14.  Limit Theorems for Power Variations of Pure-Jump Processes with Application to Activity Annals of Applied Probability 2011 (with V. Todorov)
  15. Volatility Jumps Journal of Business and Economic Statistics 2011 (with V. Todorov)

 

PUBLICATIONS IN FINANCIAL ECONOMICS

  1.  Risk And Return: Long-Run Relations, Fractional Cointegration, and Return Predictability Journal of Financial Economics 2013 (with T. Bollerslev, D.  Osterrieder, and N. Sizova)
  2. Volatility in Equilibrium: Asymmetries and Dynamic Dependencies  Review of Finance 2012 (with T. Bollerslev and N. Sizova)
  3. Stochastic Volatility in General Equilibrium Quarterly Journal Finance 2011
  4. Pricing of the Time-Change Risks Journal of Economic Dynamics and Control 2011 (with I. Shaliastovich)

 

SELECTED EARLIER PUBLICATIONS (with various co-authors)

  1. "The Price Variability-Volume Relationship on Speculative Markets," Econometrica, Volume 51, No. 2, March 1983, pp. 485-506.
  2. “Diagnostic testing and evaluation of maximum likelihood models Journal of Econometrics, Volume 30, Issues 1–2, October–November 1985, Pages 415-443.
  3. "Seminonparametric  Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications ," Econometrica, Volume 57, No. 5, September 1989, pp. 1091-1120.
  4. “Using Conditional Moments of Asset Payoffs To Infer the Volatility of Intertemporal Marginal Rates Of Substitution,“ Journal of Econometrics, Volume 45, Pages 141-179.
  5. "Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models," Econometrica, Volume 59, No. 2, March 1991, pp. 371-396.
  6. "Nonlinear Dynamic Structures," Econometrica , Volume 61, No. 4, July 1993, pp. 871-907.
  7. "Which Moments to Match?" Econometric Theory 1996 Vol 12, No 4, 657-681.
  8. "Reprojecting Partially Observed Systems with Application to Interest Rate Diffusions, Journal of the American Statistical Association, Volume 93, March 1998.
  9. "Alternative Models for Stock Price Dynamics," Journal of Econometrics, 2003.
  10. "The Relative Contribution of Jumps to Total Price Variance," Journal of Financial Econometrics, 2005.

A FEW PUBLICATIONS FROM MY TIME IN PROGRAM EVALUATION

  1. Some Evidence on Cross-Sector Effects of the Minimum Wage,  Journal of Political Economy, June 1981, v. 89, iss. 3, pp. 529-47.
  2. “The Effect Of Liquor Taxes on Heavy Drinking.” Bell Journal of Economics, Spring82 (with Phil Cook)
  3. "Estimation of Nonlinear Learning Models.” Journal of the American Statistical Association, December 1982, v. 77, iss. 380, pp. 725-31 (with Mike Salemi)

TAMING A TIME SERIES

  1. “On Fitting a Recalcitrant Series: The Pound/Dollar Exchange Rate, 1974-1983”, in Nonparametric and Semiparametric Methods in Econometrics and Statistics: Proceedings of the Fifth International Symposium in Economic Theory and Econometrics, 1991, pp. 199-240, International Symposia in Economic Theory and Econometrics series Cambridge; New York and Melbourne: Cambridge University Press (With Ron Gallant)

Get the C++ versions of EMM and SNP by browse webfiles at
http://www.aronaldg.org  

The older Fortan version is available as EMM1.7

Download the quadrature code for asset pricing models

TEST