George Tauchen's Posted Papers

"Cash Flows Discounted Using a Model Free SDF Extracted under a Yield Curve Prior" 2018

with A.Ronald Gallant


2018 (working paper)

"Jump Factor Models in Large Cross-Sections" 2018

with Jia Li, Viktor Todorov


2018 (submitted)

"Data-Driven Jump Detection Thresholds for Application in Jump Regressions" 2018

with Robert (Red) Davies


Econometrics 2018

"Exact Bayesian Moment Based Inference for the Distribution of the Small-Time Movements of an Ito Semimartingale" 2017

with A.Ronald Gallant


Journal of Econometrics 2017

“Rank Tests at Jump Events” 2017

with Jia Li, Viktor Todorov, and Huidi Lin


2017 Journal of Business and Economic Statistics

“Jump Regressions” 2017

with Jia Li and Viktor Todorov


Econometrica 2017

"Robust Jump Regressions" 2017

with Jia Li and Viktor Todorov


Journal of the American Statistical Association 2017

“Mixed-scale Jump Regressions” 2017

with Jia Li and Viktor Todorov


Journal of Econometrics 2017

“Inference Theory for Volatility Functional Dependencies” 2017

with Jia Li and Viktor Todorov


Journal of Econometrics 2017


“Adaptive Estimation of Continuous-Time Regression Models using High-Frequency Data” 2017

with Jia Li and Viktor Todorov


Journal of Econometrics 2017

“Estimating the Volatility Occupation Time via Regularized Laplace Inversion” 2016

with Jia Li and Viktor Todorov


Econometric Theory 2016

“Nonparametric test for a constant beta between Ito semimrtingales based on high-frequency data” 2015

with Markus Reiss and Viktor Todorov


Stochastic Processes and their Applications 2015

“The Fine Structure of Equity-Index Option Dynamics” 2015

with Torben G. Andersen, Oleg Bondarenko, and Viktor Todorov


Journal of Econometrics 2015


“Limit Theorems for the EDF of Scaled Increments of Ito Semimartingales” 2014

with Viktor Todorov


Annals of Applied Probability 2014

“Volatility activity: Specification and estimation” 2014

with Viktor Todorov and Iaryna Grynkiv


2014 Journal of Econometrics


“Volatility Occupation Times” 2013

with Jia Li and Viktor Todorov


2013 Annals of Statistics


“Risk And Return: Long-Run Relations, Fractional Cointegration, and Return Predictability” 2013

with Tim Bollerslev, Daniela Osterrieder, and Natalia Sizova


2013 Journal of Financial Economics


“Inverse Realized Laplace Transforms for Nonparametric Volatility Density Estimation in Jump-Diffusions” 2012

with Viktor Todorov


2012 Journal of the American Statistical Association


Volatility Activity: Specification and Estimation” 2012

with Viktor Todorov and Iaryna Grynkiv


2014 Journal of Econometrics


“The Realized Laplace Transform of Volatility” 2012

with Viktor Todorov


2012 Econometrica


“Realized Laplace Transforms For Pure-Jump Semimartingales” 2012

with Viktor Todorov


2012 Annals of Statistics


"Stochastic Volatility in General Equilibrium" 2012


2012 Quarterly Journal Finance




June 2004 Draft: se-2004-06-15.pdf   se-2005-feb.pdf  

Note: This paper has circulated unpublished since 2004. A link to the 2005 unpublished paper is immediately to the left, and a link to earlier 2004 notes is below that link.


“Volatility in Equilibrium:  Asymmetries and Dynamic Dependencies” 2012

with Tim Bollerslev and Natalia Sizova


2012 The Review of Finance


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

with Viktor Todorov and Iaryna Grynkiv



2011 Journal of Econometrics



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

with Ivan Shaliastovich


2011 Journal of Economic Dynamics and Control


“Limit Theorems for Power Variations of Pure-Jump Processes with Application to Activity Estimation" 2011

with Viktor Todorov


2011 Annals of Applied Probability


"Volatility Jumps" 2011

 with Viktor Todorov



2011 Journal of Business and Economic Statistics


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

 with Viktor Todorov


 2010 Journal of Econometrics


“ Expected Stock Returns and Variance Risk Premia  2009

 with Tim Bollerslev and Hao Zhou


 2009 Review of Financial Studies


 Risk, Jumps, and  Diversification 2008

 with Tim Bollerslev and Tzuo Hann Law


2008 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


 2009 Journal of Econometrics


"Simulation Methods for Levy-Driven CARMA Stochastic Volatility Models" 2006

with Viktor Todorov


 JBES 2006.


"Volatility Asymmetry in High Frequency Data” 2006

with Tim Bollerslev and Julia Litvinova


Journal of Financial Econometrics


"The Relative Contribution of Jumps to Total Price Variance" 2005

with Xin Huang


Journal of Financial Econometrics  2005


"Simulated Score Methods and Indirect Inference for Continuous-time Models" 2002, 2009

 with Ron Gallant       hb.pdf

2009 Handbook of Financial Econometrics.


"Efficient Method of Moments" 2001

with Ron Gallant    ee.pdf

2001 A general survey of EMM