Details about George Tauchen

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Short-id: pta61

Working Papers

2007

1. Rational Pessimism, Rational Exuberance, and Asset Pricing Models
   NBER Working Papers, National Bureau of Economic Research, Inc View citations

2003

2. Regime-shifts, risk premiums in the term structure, and the business cycle
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations

2002

3. Alternative Models for Stock Price Dynamic
   Working Papers, Duke University, Department of Economics View citations
   Also in CIRANO Working Papers, CIRANO (2002) View citations
4. Efficient Method of Moments
   Working Papers, Duke University, Department of Economics View citations
5. Simulated Score Methods and Indirect Inference for Continuous-time Models
   Working Papers, Duke University, Department of Economics View citations

2000

6. Using Daily Range Data to Calibrate Volatility Diffusions and Extract the Forward Integrated Variance
   Working Papers, Duke University, Department of Economics
   See also Journal Article in The Review of Economics and Statistics (1999)

1999

7. A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation
   CIRANO Working Papers, CIRANO View citations

1997

8. Reprojecting Partially Observed Systems with Application to Interest Rate Diffusions
   Working Papers, Duke University, Department of Economics View citations
9. The Objective Function of Simulation Estimators Near the Boundary of the Unstable Region of the Parameter Space
   Working Papers, Duke University, Department of Economics
   See also Journal Article in The Review of Economics and Statistics (1998)

1995

10. EMM: A Program for Efficient Method of Moments Estimation. Version 1.1. User's Guide
    Working Papers, Duke University, Department of Economics View citations
11. Estimation of Continuous Time Models for Stock Returns and Interest Rates
    Working Papers, Duke University, Department of Economics View citations
12. Estimation of Stochastic Volatility Models with Diagnostics
    Working Papers, Duke University, Department of Economics View citations
13. New Minimum Chi-Square Methods in Empirical Finance
    Working Papers, Duke University, Department of Economics View citations
14. SNP: A Program for Nonparametric Time Series Analysis. Version 8.4. User's Guide
    Working Papers, Duke University, Department of Economics View citations
15. Specification Analysis of Continuous Time Models in Finance
    Working Papers, Duke University, Department of Economics
16. Volume, Volatility and Leverage: A Dynamic Analysis
    Working Papers, Duke University, Department of Economics View citations
17. Which Moments to Match
    Working Papers, Duke University, Department of Economics View citations

1988

18. ON FITTING A RECALCITRANT SERIES: THE POUND/DOLLAR EXCHANGE RATE, 1974- 83
    Working Papers, Chicago - Graduate School of Business View citations
19. SEMINONPARAMETRIC ESTIMATION OF CONDITIONALLY CONSTRAINED HETEROGENEOUS PROCESSES: ASSET PRICING APPLICATIONS
    Working Papers, Chicago - Graduate School of Business View citations
    See also Journal Article in Econometrica (1989)

Undated

20. Reproducing Partial Observed Systems with Application to Interest Rate Diffusions
    Computing in Economics and Finance 1997, Society for Computational Economics

Journal Articles

2002

1. Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment
   Journal of Business & Economic Statistics, 2002, 20, (3), 331-32

2001

2. Testing Target-Zone Models Using Efficient Method of Moments
   Journal of Business & Economic Statistics, 2001, 19, (3), 255-69 View citations
3. Testing Target-Zone Models Using Efficient Method of Moments: Reply
   Journal of Business & Economic Statistics, 2001, 19, (3), 276-77 View citations

1999

4. Using Daily Range Data To Calibrate Volatility Diffusions And Extract The Forward Integrated Variance
   The Review of Economics and Statistics, 1999, 81, (4), 617-631 View citations
   See also Working Paper (2000)

1998

5. The Objective Function Of Simulation Estimators Near The Boundary Of The Unstable Region Of The Parameter Space
   The Review of Economics and Statistics, 1998, 80, (3), 389-398 View citations
   See also Working Paper (1997)

1993

6. Nonlinear Dynamic Structures
   Econometrica, 1993, 61, (4), 871-907 View citations
7. Remarks on My Term at JBES
   Journal of Business & Economic Statistics, 1993, 11, (4), 428-31 View citations

1992

8. Stock Prices and Volume
   Review of Financial Studies, 1992, 5, (2), 199-242 View citations

1991

9. Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models
   Econometrica, 1991, 59, (2), 371-96 View citations

1990

10. Solving the Stochastic Growth Model by Using Quadrature Methods and Value-Function Iterations
    Journal of Business & Economic Statistics, 1990, 8, (1), 49-51 View citations

1989

11. Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications
    Econometrica, 1989, 57, (5), 1091-1120 View citations
    See also Working Paper (1988)

1986

12. Statistical Properties of Generalized Method-of-Moments Estimators of Structural Parameters Obtained from Financial Market Data
    Journal of Business & Economic Statistics, 1986, 4, (4), 397-416 View citations
13. Statistical Properties of Generalized Method-of-Moments Estimators of Structural Parameters Obtained from Financial Market Data: Reply
    Journal of Business & Economic Statistics, 1986, 4, (4), 423-25 View citations

1983

14. The Price Variability-Volume Relationship on Speculative Markets
    Econometrica, 1983, 51, (2), 485-505 View citations

1982

15. The Effect of Liquor Taxes on Heavy Drinking
    Bell Journal of Economics, 1982, 13, (2), 379-390 View citations

1981

16. Some Evidence on Cross-Sector Effects of the Minimum Wage
    Journal of Political Economy, 1981, 89, (3), 529-47 View citations

1980

17. Guessing and the Error Structure of Learning Models
    American Economic Review, 1980, 70, (2), 41-46