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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 2014-07-04. Update your information in the RePEc Author Service.

Short-id: pta61


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 Downloads

2011

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

2010

  1. A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects
    Working Papers, Duke University, Department of Economics Downloads
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2007) Downloads View citations (3)

    See also Journal Article in Journal of Econometrics (2009)
  2. Activity Signature Functions for High-Frequency Data Analysis
    Working Papers, Duke University, Department of Economics Downloads View citations (20)
    See also Journal Article in Journal of Econometrics (2010)
  3. Limit Theorems for Power Variations of Pure-Jump Processes with Application to Activity Estimation
    Working Papers, Duke University, Department of Economics Downloads View citations (1)
  4. Pricing of the Time-Change Risks
    Working Papers, Duke University, Department of Economics Downloads
    Also in Working Papers, Duke University, Department of Economics (2009) Downloads

    See also Journal Article in Journal of Economic Dynamics and Control (2011)
  5. Realized Laplace Transforms for Estimation of Jump Diffusive Volatility Models
    Working Papers, Duke University, Department of Economics Downloads
    See also Journal Article in Journal of Econometrics (2011)
  6. The Realized Laplace Transform of Volatility
    Working Papers, Duke University, Department of Economics Downloads
    See also Journal Article in Econometrica (2012)
  7. Volatility Jumps
    Working Papers, Duke University, Department of Economics Downloads View citations (1)
    See also Journal Article in Journal of Business & Economic Statistics (2011)
  8. Volatility in Equilibrium: Asymmetries and Dynamic Dependencies
    Working Papers, Duke University, Department of Economics Downloads View citations (3)
    Also in Working Papers, Duke University, Department of Economics (2009) Downloads View citations (3)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2009) Downloads View citations (3)

    See also Journal Article in Review of Finance (2011)

2008

  1. Expected Stock Returns and Variance Risk Premia
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (12)
    See also Journal Article in Review of Financial Studies (2009)

2007

  1. Rational Pessimism, Rational Exuberance, and Asset Pricing Models
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (32)
    See also Journal Article in Review of Economic Studies (2007)
  2. Risk, Jumps, and Diversification
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (9)
    See also Journal Article in Journal of Econometrics (2008)

2006

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

2003

  1. 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.) Downloads View citations (11)
    See also Journal Article in Journal of Business & Economic Statistics (2004)

2002

  1. Alternative Models for Stock Price Dynamic
    Working Papers, Duke University, Department of Economics Downloads View citations (43)
    Also in CIRANO Working Papers, CIRANO (2002) Downloads View citations (17)

    See also Journal Article in Journal of Econometrics (2003)
  2. Efficient Method of Moments
    Working Papers, Duke University, Department of Economics Downloads View citations (2)
  3. Simulated Score Methods and Indirect Inference for Continuous-time Models
    Working Papers, Duke University, Department of Economics Downloads View citations (9)

2000

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

1999

  1. A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation
    CIRANO Working Papers, CIRANO Downloads View citations (21)

1997

  1. Reprojecting Partially Observed Systems with Application to Interest Rate Diffusions
    Working Papers, Duke University, Department of Economics View citations (7)
  2. 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 in The Review of Economics and Statistics (1998)

1995

  1. EMM: A Program for Efficient Method of Moments Estimation. Version 1.1. User's Guide
    Working Papers, Duke University, Department of Economics Downloads
  2. Estimation of Continuous Time Models for Stock Returns and Interest Rates
    Working Papers, Duke University, Department of Economics View citations (8)
    See also Journal Article in Macroeconomic Dynamics (1997)
  3. Estimation of Stochastic Volatility Models with Diagnostics
    Working Papers, Duke University, Department of Economics View citations (11)
    See also Journal Article in Journal of Econometrics (1997)
  4. New Minimum Chi-Square Methods in Empirical Finance
    Working Papers, Duke University, Department of Economics View citations (5)
  5. SNP: A Program for Nonparametric Time Series Analysis. Version 8.4. User's Guide
    Working Papers, Duke University, Department of Economics Downloads View citations (2)
  6. Specification Analysis of Continuous Time Models in Finance
    Working Papers, Duke University, Department of Economics
  7. Volume, Volatility and Leverage: A Dynamic Analysis
    Working Papers, Duke University, Department of Economics View citations (2)
    See also Journal Article in Journal of Econometrics (1996)
  8. Which Moments to Match
    Working Papers, Duke University, Department of Economics View citations (19)
    See also Journal Article in Econometric Theory (1996)

1988

  1. ON FITTING A RECALCITRANT SERIES: THE POUND/DOLLAR EXCHANGE RATE, 1974- 83
    Working Papers, Chicago - Graduate School of Business View citations (2)
  2. SEMINONPARAMETRIC ESTIMATION OF CONDITIONALLY CONSTRAINED HETEROGENEOUS PROCESSES: ASSET PRICING APPLICATIONS
    Working Papers, Chicago - Graduate School of Business View citations (6)
    See also Journal Article in Econometrica (1989)

Undated

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

Journal Articles

2014

  1. Volatility activity: Specification and estimation
    Journal of Econometrics, 2014, 178, (P1), 180-193 Downloads View citations (6)
    See also Working Paper (2011)

2013

  1. Risk and return: Long-run relations, fractional cointegration, and return predictability
    Journal of Financial Economics, 2013, 108, (2), 409-424 Downloads View citations (32)

2012

  1. Inverse Realized Laplace Transforms for Nonparametric Volatility Density Estimation in Jump-Diffusions
    Journal of the American Statistical Association, 2012, 107, (498), 622-635 Downloads View citations (1)
  2. The Realized Laplace Transform of Volatility
    Econometrica, 2012, 80, (3), 1105-1127 Downloads View citations (7)
    See also Working Paper (2010)

2011

  1. Pricing of the time-change risks
    Journal of Economic Dynamics and Control, 2011, 35, (6), 843-858 Downloads
    See also Working Paper (2010)
  2. Realized Laplace transforms for estimation of jump diffusive volatility models
    Journal of Econometrics, 2011, 164, (2), 367-381 Downloads View citations (4)
    See also Working Paper (2010)
  3. Realized jumps on financial markets and predicting credit spreads
    Journal of Econometrics, 2011, 160, (1), 102-118 Downloads View citations (36)
    See also Working Paper (2006)
  4. Volatility Jumps
    Journal of Business & Economic Statistics, 2011, 29, (3), 356-371 Downloads View citations (34)
    Also in Journal of Business & Economic Statistics, 2011, 29, (3), 356-371 (2011) Downloads View citations (44)

    See also Working Paper (2010)
  5. Volatility in Equilibrium: Asymmetries and Dynamic Dependencies
    Review of Finance, 2011, 16, (1), 31-80 Downloads View citations (9)
    See also Working Paper (2010)

2010

  1. Activity signature functions for high-frequency data analysis
    Journal of Econometrics, 2010, 154, (2), 125-138 Downloads View citations (22)
    See also Working Paper (2010)

2009

  1. A discrete-time model for daily S & P500 returns and realized variations: Jumps and leverage effects
    Journal of Econometrics, 2009, 150, (2), 151-166 Downloads View citations (67)
    See also Working Paper (2010)
  2. Expected Stock Returns and Variance Risk Premia
    Review of Financial Studies, 2009, 22, (11), 4463-4492 Downloads View citations (237)
    See also Working Paper (2008)

2008

  1. Risk, jumps, and diversification
    Journal of Econometrics, 2008, 144, (1), 234-256 Downloads View citations (51)
    See also Working Paper (2007)

2007

  1. Rational Pessimism, Rational Exuberance, and Asset Pricing Models
    Review of Economic Studies, 2007, 74, (4), 1005-1033 Downloads View citations (41)
    See also Working Paper (2007)

2006

  1. Leverage and Volatility Feedback Effects in High-Frequency Data
    Journal of Financial Econometrics, 2006, 4, (3), 353-384 Downloads View citations (98)
  2. Simulation Methods for Levy-Driven Continuous-Time Autoregressive Moving Average (CARMA) Stochastic Volatility Models
    Journal of Business & Economic Statistics, 2006, 24, 455-469 Downloads View citations (7)

2005

  1. The Relative Contribution of Jumps to Total Price Variance
    Journal of Financial Econometrics, 2005, 3, (4), 456-499 Downloads View citations (212)

2004

  1. Regime Shifts, Risk Premiums in the Term Structure, and the Business Cycle
    Journal of Business & Economic Statistics, 2004, 22, 396-409 Downloads View citations (32)
    See also Working Paper (2003)

2003

  1. Alternative models for stock price dynamics
    Journal of Econometrics, 2003, 116, (1-2), 225-257 Downloads View citations (305)
    See also Working Paper (2002)
  2. Frontiers of financial econometrics and financial engineering
    Journal of Econometrics, 2003, 116, (1-2), 1-7 Downloads

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

  1. Notes on financial econometrics
    Journal of Econometrics, 2001, 100, (1), 57-64 Downloads View citations (4)
  2. Testing Target-Zone Models Using Efficient Method of Moments
    Journal of Business & Economic Statistics, 2001, 19, (3), 255-69 View citations (14)
  3. Testing Target-Zone Models Using Efficient Method of Moments: Reply
    Journal of Business & Economic Statistics, 2001, 19, (3), 276-77 View citations (4)
  4. The bias of tests for a risk premium in forward exchange rates
    Journal of Empirical Finance, 2001, 8, (5), 695-704 Downloads View citations (21)

1999

  1. The relative efficiency of method of moments estimators1
    Journal of Econometrics, 1999, 92, (1), 149-172 Downloads View citations (21)
  2. 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 Downloads View citations (101)
    See also Working Paper (2000)

1998

  1. 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 Downloads View citations (4)
    See also Working Paper (1997)

1997

  1. ESTIMATION OF CONTINUOUS-TIME MODELS FOR STOCK RETURNS AND INTEREST RATES
    Macroeconomic Dynamics, 1997, 1, (01), 135-168 Downloads View citations (26)
    See also Working Paper (1995)
  2. Estimation of stochastic volatility models with diagnostics
    Journal of Econometrics, 1997, 81, (1), 159-192 Downloads View citations (116)
    See also Working Paper (1995)

1996

  1. Volume, volatility, and leverage: A dynamic analysis
    Journal of Econometrics, 1996, 74, (1), 177-208 Downloads View citations (46)
    See also Working Paper (1995)
  2. Which Moments to Match?
    Econometric Theory, 1996, 12, (04), 657-681 Downloads View citations (397)
    See also Working Paper (1995)

1995

  1. Nonparametric estimation of structural models for high-frequency currency market data
    Journal of Econometrics, 1995, 66, (1-2), 251-287 Downloads View citations (59)

1993

  1. Nonlinear Dynamic Structures
    Econometrica, 1993, 61, (4), 871-907 Downloads View citations (205)
  2. Remarks on My Term at JBES
    Journal of Business & Economic Statistics, 1993, 11, (4), 428-31 View citations (1)

1992

  1. Stock Prices and Volume
    Review of Financial Studies, 1992, 5, (2), 199-242 Downloads View citations (371)

1991

  1. Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models
    Econometrica, 1991, 59, (2), 371-96 Downloads View citations (413)

1990

  1. 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 (12)
  2. 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 Downloads View citations (51)

1989

  1. Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications
    Econometrica, 1989, 57, (5), 1091-1120 Downloads View citations (128)
    See also Working Paper (1988)

1986

  1. 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 Downloads
  2. Finite state markov-chain approximations to univariate and vector autoregressions
    Economics Letters, 1986, 20, (2), 177-181 Downloads View citations (577)
  3. 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 (100)
  4. 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 (45)

1985

  1. An Investigation of Transactions Data for NYSE Stocks: Discussion
    Journal of Finance, 1985, 40, (3), 739-41 Downloads View citations (2)
  2. Diagnostic testing and evaluation of maximum likelihood models
    Journal of Econometrics, 1985, 30, (1-2), 415-443 Downloads View citations (105)

1984

  1. The Effect of Minimum Drinking Age Legislation on Youthful Auto Fatalities, 1970-1977
    The Journal of Legal Studies, 1984, 13, (1), 169-190 Downloads View citations (15)

1983

  1. The Price Variability-Volume Relationship on Speculative Markets
    Econometrica, 1983, 51, (2), 485-505 Downloads View citations (359)

1982

  1. The Effect of Liquor Taxes on Heavy Drinking
    Bell Journal of Economics, 1982, 13, (2), 379-390 Downloads View citations (37)

1981

  1. Some Evidence on Cross-Sector Effects of the Minimum Wage
    Journal of Political Economy, 1981, 89, (3), 529-47 Downloads View citations (8)

1980

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

Edited books

1991

  1. Nonparametric and Semiparametric Methods in Econometrics and Statistics
    Cambridge Books, Cambridge University Press View citations (12)
  2. Nonparametric and Semiparametric Methods in Econometrics and Statistics
    Cambridge Books, Cambridge University Press View citations (12)
 
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