George Tauchen, Ph.D., University of Minnesota, 1977
William Henry Glasson Professor
of Economics and Finance, Duke University

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
ftp: ftp.econ.duke.edu, user: anonymous, directory: home/get

FIELDS: Financial econometrics, time series

Current Working Papers via the WEB: Click Here for Access

EMM: EFFICIENT METHOD OF MOMENTS: EMM Home page
FTP EMM SOFTWARE

SNP: A Program for Nonparametric Time Series Analysis: SNP Home page
FTP SNP SOFTWARE

References to Papers on EMM and Related Topics: Comprehensive List of Citations to Papers on EMM, Simulation Estimation of Diffusions, SNP, and related Topics: VIEW LIST

SELECTED PUBLICATIONS:

• "The Price Variability-Volume Relationship on Speculative Markets," Econometrica, Volume 51, No. 2, March 1983, pp. 485-506.
• "Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications," Econometrica, Volume 57, No. 5, September 1989, pp. 1091-1120.
• "Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models," Econometrica, Volume 59, No. 2, March 1991, pp. 371-396.
• "Nonlinear Dynamic Structures," Econometrica , Volume 61, No. 4, July 1993, pp. 871-907.
• "Which Moments to Match?" Econometric Theory, 12, (1996), 657-681.
• "Reprojecting Partially Observed Systems with Application to Interest Rate Diffusions, Journal of the American Statistical Association, Volume 93, March 1998.
• "Testing Target Zone Models Using Efficient Method of Moments," Journal of Business and Economic Statistics, July 2001, 19(3), 255-69.
• "Alternative Models for Stock Price Dynamics," Journal of Econometrics, 2003.
• "The Relative Contribution of Jumps to Total Price Variance," Journal of Financial Econometrics, 2005.