Details about George Tauchen

E-mail:
Homepage:	http://www.econ.duke.edu/~get
Phone:	1-919-660-1812 (Duke)
Postal address:	George Tauchen Department of Economics Duke University 305 Social Sciences, Box 90097 Durham, NC 27708-0097 USA
Workplace:	Department of Economics, Duke University, (more information at EDIRC)

Access statistics for papers by George Tauchen.

Last updated 2022-08-29. Update your information in the RePEc Author Service.

Short-id: pta61

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Jump to Journal Articles Edited books

Working Papers

2013

1. The Fine Structure of Equity-Index Option Dynamics
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
   See also Journal Article The fine structure of equity-index option dynamics, Journal of Econometrics, Elsevier (2015) View citations (11) (2015)

2011

2. Inverse Realized Laplace Transforms for Nonparametric Volatility Estimation in Jump-Diffusions
   Working Papers, Duke University, Department of Economics View citations (7)
3. Levy Process Models for High Frequency Financial Data
   Working Papers, Duke University, Department of Economics
4. Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
5. Volatility Activity: Specification and Estimation
   Working Papers, Duke University, Department of Economics
   See also Journal Article Volatility activity: Specification and estimation, Journal of Econometrics, Elsevier (2014) View citations (16) (2014)

2010

6. A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects
   Working Papers, Duke University, Department of Economics
   Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2007) View citations (8)
   See also Journal Article A discrete-time model for daily S & P500 returns and realized variations: Jumps and leverage effects, Journal of Econometrics, Elsevier (2009) View citations (114) (2009)
7. Activity Signature Functions for High-Frequency Data Analysis
   Working Papers, Duke University, Department of Economics View citations (35)
   See also Journal Article Activity signature functions for high-frequency data analysis, Journal of Econometrics, Elsevier (2010) View citations (37) (2010)
8. Limit Theorems for Power Variations of Pure-Jump Processes with Application to Activity Estimation
   Working Papers, Duke University, Department of Economics View citations (2)
9. Pricing of the Time-Change Risks
   Working Papers, Duke University, Department of Economics
   Also in Working Papers, Duke University, Department of Economics (2009)
   See also Journal Article Pricing of the time-change risks, Journal of Economic Dynamics and Control, Elsevier (2011) View citations (2) (2011)
10. Realized Laplace Transforms for Estimation of Jump Diffusive Volatility Models
    Working Papers, Duke University, Department of Economics
    See also Journal Article Realized Laplace transforms for estimation of jump diffusive volatility models, Journal of Econometrics, Elsevier (2011) View citations (11) (2011)
11. The Realized Laplace Transform of Volatility
    Working Papers, Duke University, Department of Economics
    See also Journal Article The Realized Laplace Transform of Volatility, Econometrica, Econometric Society (2012) View citations (21) (2012)
12. Volatility Jumps
    Working Papers, Duke University, Department of Economics View citations (1)
    See also Journal Article Volatility Jumps, Journal of Business & Economic Statistics, Taylor & Francis Journals (2011) View citations (42) (2011)
13. Volatility in Equilibrium: Asymmetries and Dynamic Dependencies
    Working Papers, Duke University, Department of Economics View citations (7)
    Also in Working Papers, Duke University, Department of Economics (2009) View citations (5)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2009) View citations (5)
    See also Journal Article Volatility in Equilibrium: Asymmetries and Dynamic Dependencies, Review of Finance, European Finance Association (2011) View citations (18) (2011)

2008

14. Expected Stock Returns and Variance Risk Premia
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (18)
    See also Journal Article Expected Stock Returns and Variance Risk Premia, The Review of Financial Studies, Society for Financial Studies (2009) View citations (789) (2009)

2007

15. Rational Pessimism, Rational Exuberance, and Asset Pricing Models
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (77)
    See also Journal Article Rational Pessimism, Rational Exuberance, and Asset Pricing Models, The Review of Economic Studies, Review of Economic Studies Ltd (2007) View citations (80) (2007)
16. Risk, Jumps, and Diversification
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (11)
    See also Journal Article Risk, jumps, and diversification, Journal of Econometrics, Elsevier (2008) View citations (123) (2008)

2006

17. Realized jumps on financial markets and predicting credit spreads
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (4)
    See also Journal Article Realized jumps on financial markets and predicting credit spreads, Journal of Econometrics, Elsevier (2011) View citations (91) (2011)

2003

18. 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 (12)
    See also Journal Article Regime Shifts, Risk Premiums in the Term Structure, and the Business Cycle, Journal of Business & Economic Statistics, American Statistical Association (2004) View citations (50) (2004)

2002

19. Alternative Models for Stock Price Dynamic
    Working Papers, Duke University, Department of Economics View citations (43)
    Also in CIRANO Working Papers, CIRANO (2002) View citations (24)
    See also Journal Article Alternative models for stock price dynamics, Journal of Econometrics, Elsevier (2003) View citations (450) (2003)
20. Efficient Method of Moments
    Working Papers, Duke University, Department of Economics View citations (3)
21. Simulated Score Methods and Indirect Inference for Continuous-time Models
    Working Papers, Duke University, Department of Economics View citations (11)

2000

22. Using Daily Range Data to Calibrate Volatility Diffusions and Extract the Forward Integrated Variance
    Working Papers, Duke University, Department of Economics View citations (2)
    See also Journal Article Using Daily Range Data To Calibrate Volatility Diffusions And Extract The Forward Integrated Variance, The Review of Economics and Statistics, MIT Press (1999) View citations (161) (1999)

1999

23. A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation
    CIRANO Working Papers, CIRANO View citations (32)

1997

24. Reprojecting Partially Observed Systems with Application to Interest Rate Diffusions
    Working Papers, Duke University, Department of Economics View citations (7)
25. The Objective Function of Simulation Estimators Near the Boundary of the Unstable Region of the Parameter Space
    Working Papers, Duke University, Department of Economics View citations (1)
    See also Journal Article The Objective Function Of Simulation Estimators Near The Boundary Of The Unstable Region Of The Parameter Space, The Review of Economics and Statistics, MIT Press (1998) View citations (5) (1998)

1995

26. EMM: A Program for Efficient Method of Moments Estimation. Version 1.1. User's Guide
    Working Papers, Duke University, Department of Economics
27. Estimation of Continuous Time Models for Stock Returns and Interest Rates
    Working Papers, Duke University, Department of Economics View citations (11)
    See also Journal Article ESTIMATION OF CONTINUOUS-TIME MODELS FOR STOCK RETURNS AND INTEREST RATES, Macroeconomic Dynamics, Cambridge University Press (1997) View citations (34) (1997)
28. Estimation of Stochastic Volatility Models with Diagnostics
    Working Papers, Duke University, Department of Economics View citations (11)
    See also Journal Article Estimation of stochastic volatility models with diagnostics, Journal of Econometrics, Elsevier (1997) View citations (150) (1997)
29. New Minimum Chi-Square Methods in Empirical Finance
    Working Papers, Duke University, Department of Economics View citations (10)
30. SNP: A Program for Nonparametric Time Series Analysis. Version 8.4. User's Guide
    Working Papers, Duke University, Department of Economics View citations (2)
31. Specification Analysis of Continuous Time Models in Finance
    Working Papers, Duke University, Department of Economics
32. Volume, Volatility and Leverage: A Dynamic Analysis
    Working Papers, Duke University, Department of Economics View citations (2)
    See also Journal Article Volume, volatility, and leverage: A dynamic analysis, Journal of Econometrics, Elsevier (1996) View citations (58) (1996)
33. Which Moments to Match
    Working Papers, Duke University, Department of Economics View citations (20)
    See also Journal Article Which Moments to Match?, Econometric Theory, Cambridge University Press (1996) View citations (576) (1996)

1988

34. ON FITTING A RECALCITRANT SERIES: THE POUND/DOLLAR EXCHANGE RATE, 1974- 83
    Working Papers, Chicago - Graduate School of Business View citations (2)
35. SEMINONPARAMETRIC ESTIMATION OF CONDITIONALLY CONSTRAINED HETEROGENEOUS PROCESSES: ASSET PRICING APPLICATIONS
    Working Papers, Chicago - Graduate School of Business View citations (6)
    See also Journal Article Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications, Econometrica, Econometric Society (1989) View citations (190) (1989)

Undated

36. Reproducing Partial Observed Systems with Application to Interest Rate Diffusions
    Computing in Economics and Finance 1997, Society for Computational Economics View citations (78)

Journal Articles

2017

1. Adaptive estimation of continuous-time regression models using high-frequency data
   Journal of Econometrics, 2017, 200, (1), 36-47 View citations (24)
2. Jump Regressions
   Econometrica, 2017, 85, 173-195 View citations (1)
3. Mixed-scale jump regressions with bootstrap inference
   Journal of Econometrics, 2017, 201, (2), 417-432 View citations (9)
4. Robust Jump Regressions
   Journal of the American Statistical Association, 2017, 112, (517), 332-341 View citations (4)

2016

5. ESTIMATING THE VOLATILITY OCCUPATION TIME VIA REGULARIZED LAPLACE INVERSION
   Econometric Theory, 2016, 32, (5), 1253-1288 View citations (2)
6. Inference theory for volatility functional dependencies
   Journal of Econometrics, 2016, 193, (1), 17-34 View citations (7)
7. Introduction to: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference
   Journal of Financial Econometrics, 2016, 14, (2), 227-228 View citations (1)

2015

8. Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data
   Stochastic Processes and their Applications, 2015, 125, (8), 2955-2988 View citations (11)
9. The fine structure of equity-index option dynamics
   Journal of Econometrics, 2015, 187, (2), 532-546 View citations (11)
   See also Working Paper The Fine Structure of Equity-Index Option Dynamics, CREATES Research Papers (2013) (2013)

2014

10. Volatility activity: Specification and estimation
    Journal of Econometrics, 2014, 178, (P1), 180-193 View citations (16)
    See also Working Paper Volatility Activity: Specification and Estimation, Working Papers (2011) (2011)

2013

11. Risk and return: Long-run relations, fractional cointegration, and return predictability
    Journal of Financial Economics, 2013, 108, (2), 409-424 View citations (90)

2012

12. Inverse Realized Laplace Transforms for Nonparametric Volatility Density Estimation in Jump-Diffusions
    Journal of the American Statistical Association, 2012, 107, (498), 622-635 View citations (5)
13. The Realized Laplace Transform of Volatility
    Econometrica, 2012, 80, (3), 1105-1127 View citations (21)
    See also Working Paper The Realized Laplace Transform of Volatility, Working Papers (2010) (2010)

2011

14. Pricing of the time-change risks
    Journal of Economic Dynamics and Control, 2011, 35, (6), 843-858 View citations (2)
    See also Working Paper Pricing of the Time-Change Risks, Working Papers (2010) (2010)
15. Realized Laplace transforms for estimation of jump diffusive volatility models
    Journal of Econometrics, 2011, 164, (2), 367-381 View citations (11)
    See also Working Paper Realized Laplace Transforms for Estimation of Jump Diffusive Volatility Models, Working Papers (2010) (2010)
16. Realized jumps on financial markets and predicting credit spreads
    Journal of Econometrics, 2011, 160, (1), 102-118 View citations (91)
    See also Working Paper Realized jumps on financial markets and predicting credit spreads, Finance and Economics Discussion Series (2006) View citations (4) (2006)
17. Stochastic Volatility in General Equilibrium
    Quarterly Journal of Finance (QJF), 2011, 01, (04), 707-731 View citations (19)
18. Volatility Jumps
    Journal of Business & Economic Statistics, 2011, 29, (3), 356-371 View citations (42)
    Also in Journal of Business & Economic Statistics, 2011, 29, (3), 356-371 (2011) View citations (52)
    See also Working Paper Volatility Jumps, Working Papers (2010) View citations (1) (2010)
19. Volatility in Equilibrium: Asymmetries and Dynamic Dependencies
    Review of Finance, 2011, 16, (1), 31-80 View citations (18)
    See also Working Paper Volatility in Equilibrium: Asymmetries and Dynamic Dependencies, Working Papers (2010) View citations (7) (2010)

2010

20. Activity signature functions for high-frequency data analysis
    Journal of Econometrics, 2010, 154, (2), 125-138 View citations (37)
    See also Working Paper Activity Signature Functions for High-Frequency Data Analysis, Working Papers (2010) View citations (35) (2010)

2009

21. A discrete-time model for daily S & P500 returns and realized variations: Jumps and leverage effects
    Journal of Econometrics, 2009, 150, (2), 151-166 View citations (114)
    See also Working Paper A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects, Working Papers (2010) (2010)
22. Expected Stock Returns and Variance Risk Premia
    The Review of Financial Studies, 2009, 22, (11), 4463-4492 View citations (789)
    See also Working Paper Expected Stock Returns and Variance Risk Premia, CREATES Research Papers (2008) View citations (18) (2008)

2008

23. Risk, jumps, and diversification
    Journal of Econometrics, 2008, 144, (1), 234-256 View citations (123)
    See also Working Paper Risk, Jumps, and Diversification, CREATES Research Papers (2007) View citations (11) (2007)

2007

24. Rational Pessimism, Rational Exuberance, and Asset Pricing Models
    The Review of Economic Studies, 2007, 74, (4), 1005-1033 View citations (80)
    See also Working Paper Rational Pessimism, Rational Exuberance, and Asset Pricing Models, NBER Working Papers (2007) View citations (77) (2007)

2006

25. Leverage and Volatility Feedback Effects in High-Frequency Data
    Journal of Financial Econometrics, 2006, 4, (3), 353-384 View citations (243)
26. Simulation Methods for Levy-Driven Continuous-Time Autoregressive Moving Average (CARMA) Stochastic Volatility Models
    Journal of Business & Economic Statistics, 2006, 24, 455-469 View citations (15)

2005

27. The Relative Contribution of Jumps to Total Price Variance
    Journal of Financial Econometrics, 2005, 3, (4), 456-499 View citations (472)

2004

28. Regime Shifts, Risk Premiums in the Term Structure, and the Business Cycle
    Journal of Business & Economic Statistics, 2004, 22, 396-409 View citations (50)
    See also Working Paper Regime-shifts, risk premiums in the term structure, and the business cycle, Finance and Economics Discussion Series (2003) View citations (12) (2003)

2003

29. Alternative models for stock price dynamics
    Journal of Econometrics, 2003, 116, (1-2), 225-257 View citations (450)
    See also Working Paper Alternative Models for Stock Price Dynamic, Working Papers (2002) View citations (43) (2002)
30. Frontiers of financial econometrics and financial engineering
    Journal of Econometrics, 2003, 116, (1-2), 1-7

2002

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

2001

32. Notes on financial econometrics
    Journal of Econometrics, 2001, 100, (1), 57-64 View citations (10)
33. Testing Target-Zone Models Using Efficient Method of Moments
    Journal of Business & Economic Statistics, 2001, 19, (3), 255-69 View citations (21)
34. Testing Target-Zone Models Using Efficient Method of Moments: Reply
    Journal of Business & Economic Statistics, 2001, 19, (3), 276-77 View citations (17)
35. The bias of tests for a risk premium in forward exchange rates
    Journal of Empirical Finance, 2001, 8, (5), 695-704 View citations (24)

1999

36. The relative efficiency of method of moments estimators1
    Journal of Econometrics, 1999, 92, (1), 149-172 View citations (29)
37. 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 (161)
    See also Working Paper Using Daily Range Data to Calibrate Volatility Diffusions and Extract the Forward Integrated Variance, Working Papers (2000) View citations (2) (2000)

1998

38. 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 (5)
    See also Working Paper The Objective Function of Simulation Estimators Near the Boundary of the Unstable Region of the Parameter Space, Working Papers (1997) View citations (1) (1997)

1997

39. ESTIMATION OF CONTINUOUS-TIME MODELS FOR STOCK RETURNS AND INTEREST RATES
    Macroeconomic Dynamics, 1997, 1, (1), 135-168 View citations (34)
    See also Working Paper Estimation of Continuous Time Models for Stock Returns and Interest Rates, Working Papers (1995) View citations (11) (1995)
40. Estimation of stochastic volatility models with diagnostics
    Journal of Econometrics, 1997, 81, (1), 159-192 View citations (150)
    See also Working Paper Estimation of Stochastic Volatility Models with Diagnostics, Working Papers (1995) View citations (11) (1995)

1996

41. Volume, volatility, and leverage: A dynamic analysis
    Journal of Econometrics, 1996, 74, (1), 177-208 View citations (58)
    See also Working Paper Volume, Volatility and Leverage: A Dynamic Analysis, Working Papers (1995) View citations (2) (1995)
42. Which Moments to Match?
    Econometric Theory, 1996, 12, (4), 657-681 View citations (576)
    See also Working Paper Which Moments to Match, Working Papers (1995) View citations (20) (1995)

1995

43. Nonparametric estimation of structural models for high-frequency currency market data
    Journal of Econometrics, 1995, 66, (1-2), 251-287 View citations (72)

1993

44. Nonlinear Dynamic Structures
    Econometrica, 1993, 61, (4), 871-907 View citations (305)
45. Remarks on My Term at JBES
    Journal of Business & Economic Statistics, 1993, 11, (4), 428-31 View citations (1)

1992

46. Stock Prices and Volume
    The Review of Financial Studies, 1992, 5, (2), 199-242 View citations (592)

1991

47. Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models
    Econometrica, 1991, 59, (2), 371-96 View citations (625)

1990

48. 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 (19)
49. Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution
    Journal of Econometrics, 1990, 45, (1-2), 141-179 View citations (70)

1989

50. Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications
    Econometrica, 1989, 57, (5), 1091-1120 View citations (190)
    See also Working Paper SEMINONPARAMETRIC ESTIMATION OF CONDITIONALLY CONSTRAINED HETEROGENEOUS PROCESSES: ASSET PRICING APPLICATIONS, Working Papers (1988) View citations (6) (1988)

1986

51. A note on the asymptotic lower bound for the covariance matrix of the GMM estimator of the parameters of agents' utility functions
    Economics Letters, 1986, 20, (2), 151-155
52. Finite state markov-chain approximations to univariate and vector autoregressions
    Economics Letters, 1986, 20, (2), 177-181 View citations (1124)
53. 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 (189)
54. 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 (165)

1985

55. An Investigation of Transactions Data for NYSE Stocks: Discussion
    Journal of Finance, 1985, 40, (3), 739-41 View citations (3)
56. Diagnostic testing and evaluation of maximum likelihood models
    Journal of Econometrics, 1985, 30, (1-2), 415-443 View citations (181)

1984

57. The Effect of Minimum Drinking Age Legislation on Youthful Auto Fatalities, 1970-1977
    The Journal of Legal Studies, 1984, 13, (1), 169-190 View citations (25)

1983

58. The Price Variability-Volume Relationship on Speculative Markets
    Econometrica, 1983, 51, (2), 485-505 View citations (614)

1982

59. The Effect of Liquor Taxes on Heavy Drinking
    Bell Journal of Economics, 1982, 13, (2), 379-390 View citations (74)

1981

60. Some Evidence on Cross-Sector Effects of the Minimum Wage
    Journal of Political Economy, 1981, 89, (3), 529-47 View citations (9)

1980

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

Edited books

1991

1. Nonparametric and Semiparametric Methods in Econometrics and Statistics
   Cambridge Books, Cambridge University Press View citations (312)
2. Nonparametric and Semiparametric Methods in Econometrics and Statistics
   Cambridge Books, Cambridge University Press View citations (312)