George Tauchen's Posted Working Papers

 

“Inverse Realized Laplace Transforms for Nonparametric Volatility Density Estimation in Jump-Diffusions” 2011

with Viktor Todorov

ILT.pdf

2011

 

“The Realized Laplace Transform of Volatility” 2011

with Viktor Todorov

rlt.pdf

2011 Forthcoming: Econometrica

 

“Realized Laplace Transforms for Estimation of Jump Diffusive Volatility Models” 2011

with Viktor Todorov and Iaryna Grynkiv

rltest.pdf

2011 Journal of Econometrics

 

"Pricing Time Deformation Risk, Volatility Risk, and Levy Jump-Type Risk " 2011

with Ivan Shaliastovich

 bt.pdf

2011 Journal of Economic Dynamics and Control

  

“Limit Theorems for Power Variations of Pure-Jump Processes with Application to Activity Estimation"

with Viktor Todorov

tse.pdf

2011 Annals of Applied Probability

  

“Volatility in Equilibrium:  Asymmetries and Dynamic Dependencies” 2011

with Tim Bollerslev and Natalia Sizova

bst.pdf

2011 The Review of Finance

 

 "Volatility Jumps" 2011

 with Viktor Todorov

bg.pdf

2011 Journal of Business and Economic Statistics

 

 "Activity Signature Functions with Application for High-Frequency Data Analysis" 2010

 with Viktor Todorov

ac.pdf

 2010 Journal of Econometrics

 

“ Expected Stock Returns and Variance Risk Premia”*  2009

 with Tim Bollerslev and Hao Zhou

btz.pdf

 See note below

 

2009 Review of Financial Studies

 

 

se.pdf   se.ps

*Note: Some of the material in this paper is based directly on the 2005 unpublished paper "Stochastic Volatility in General Equilibrium," by George Tauchen.  A link to the 2005 unpublished paper is immediately to the left, and a link to earlier 2004 notes is below that link.

June 2004 Draft: se-2004-06-15.pdf   se-2004-06-15.ps  

 

 

 Risk, Jumps, and  Diversification

 with Tim Bollerslev and Tzuo Hann Law

jmpdiv.pdf    

 Published: Journal of Econometrics

 

"A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects" 2009

with Tim Bollerslev, Uta Kretschmer, and Christian Pigorsch

 bvrvr.pdf     

 Published: Journal of Econometrics

 

 "Rational Pessimism, Rational Exuberance" 2008

 with Ravi Bansal and Ron Gallant

mc.pdf      

 Published: Review of Economic Studies

"Identifying Realized Jumps on Financial Markets" This Draft: 2005

with Hao Zhou

risksj.pdf  

 

 Forthcoming: Journal of Econometrics

 

"Simulation Methods for Levy-Driven CARMA Stochastic Volatility Models"

with Viktor Todorov

 

 Published in JBES, 2006.

 

"Volatility Asymmetry in High Frequency Data”

with Tim Bollerslev and Julia Litvinova

 

Published in the Journal of Financial Econometrics, 2006.

 

 

"The Relative Contribution of Jumps to Total Price Variance"

with Xin Huang

 

Published in Journal of Financial Econometrics, 2005.

 

 

"Efficient Method of Moments: A User's Guide" 

with Ron Gallant

emmguide.ps

The Basic Handbook for our EMM Software

 

 

"SNP: A Program for Nonparametric

Time Series Analysis" 

with Ron Gallant

snpguide.pdf

The Basic Handbook for our SNP Software

 

"Recent Developments in Stochastic Volatility: Statistical Modelling and General Equilibrium Analysis" 2004

 

nd.pdf   nd.ps

 

 

"Simulated Score Methods and Indirect Inference for Continuous-time Models" 2002

 with Ron Gallant

hb.ps       hb.pdf

Prepared for the Handbook of Financial Econometrics.

 

"Efficient Method of Moments" 2001

with Ron Gallant

ee.ps    ee.pdf

A general survey of EMM

 

“A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation”

with Mike Chernov, Eric Ghysels,  and Ron Gallant

cggt-newclass.pdf