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

 

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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, and Fellow of the Society for Financial Econometrics. 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, Taipei, Helsinki, Sydney, Perth, Paris, Madrid, Vienna, Tokyo, Chile, and London. He is former Editor of the Journal of Business and Economic Statistics (JBES) and 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

Citations  Cites

Current Working Papers via the WEB: Click Here for Access 

My complete article bibliography (pdf): Articles

 

Download the C++ versions of  EMM and/or SNP and/or software.  The older Fortan version is available as EMM1.7

Download the quadrature code for asset pricing models

 

RECENT PUBLICATIONS IN STATISTICS AND ECONOMETRICS

  1. "The Realized Laplace Transform of Volatility,” Econometrica, May 2012, v. 80, iss. 3, pp. 1105-27 Econometrics (with Viktor Todorov)
  2. "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 Econometrics (with Viktor Todorov)
  3. "Realized Laplace Transforms For Pure-Jump Semimartingales,” Annals of Statistics 2012 (with Viktor Todorov)
  4. “Volatility Activity: Specification and Estimation” Journal of Econometrics  2012  (with Viktor Todorov and Iaryna Grynkiv)
  5. "Realized Laplace Transforms for Estimation of Jump Diffusive Volatility,” Journal of Econometrics, October 2011, v. 164, iss. 2, pp. 367-81 (with Viktor Todorov and Iaryna Grynkiv)
  6. “Limit Theorems for Power Variations of Pure-Jump Processes with Application to Activity,” Annals of Applied Probability 2011 (with Viktor Todorov)
  7. “Volatility Jumps," Journal of Business and Economic Statistics,” 2011 (Viktor with Todorov)

 

RECENT PUBLICATIONS IN FINANCIAL ECONOMICS

  1.  “Risk And Return: Long-Run Relations, Fractional Cointegration, and Return Predictability,” 2012 Journal of Financial Economics  (with Tim Bollerslev, Daniela Osterrieder, and Natalia Sizova)
  2. “Volatility in Equilibrium: Asymmetries and Dynamic Dependencies,” 2012  Review of Finance, January v. 16, iss. 1, pp. 31-80 (with Tim Bollerslev and Natalia Sizova)
  3. "Stochastic Volatility in General Equilibrium," Quarterly Journal Finance 2012.
  4. "Pricing of the Time-Change Risks," Journal of Economic Dynamics and Control, June 2011, v. 35, iss. 6, pp. 843-58 (with Ivan Shaliastovich)

 

SELECTED EARLIER PUBLICATIONS

  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.

  1. "Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models," Econometrica, Volume 59, No. 2, March 1991, pp. 371-396.
  2. "Nonlinear Dynamic Structures," Econometrica , Volume 61, No. 4, July 1993, pp. 871-907.
  3. "Which Moments to Match?" Econometric Theory 1996 Vol 12, No 4, 657-681.
  4. "Reprojecting Partially Observed Systems with Application to Interest Rate Diffusions, Journal of the American Statistical Association, Volume 93, March 1998.
  5. "Alternative Models for Stock Price Dynamics," Journal of Econometrics, 2003.
  6. "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)