George Tauchen
  • George Tauchen

  • William Henry Glasson Professor
  • Economics
  • 224 Social Sciences Building
  • Campus Box 90097
  • Phone: (919) 660-1812
  • Fax: (919) 684-8974
  • Homepage
  • Curriculum Vitae
  • Bio

    George Tauchen is the William Henry Glasson Professor of Economics and Professor of Finance, Fuqua School of Business. He joined the Duke faculty in 1977 after receiving his Ph.D. from the University of Minnesota. He did his undergraduate work at the University of Wisconsin. Tauchen is a fellow of the Econometric Society, a fellow of the American Statistical Association, and a Fellow of the Journal of Econometrics. He is also the 2003 Duke University Scholar/Teacher of the Year.

    Tauchen is an internationally known time series econometrician. He has developed several important new techniques for making statistical inference from time series data and for testing models of financial markets.

    Professor Tauchen regularly gives research seminars at major U.S. research universities and at international meetings, conferences, and research institutes. He was Visiting Fellow at the Australian National University, and he gave one of the major invited addresses at the Seventh World Congress of the Econometric Society in Tokyo, Japan. He has lectured in such diverse places as Buenos Aires, Taipei, Helsinki, Sydney, Paris, Madrid, Vienna, Tokyo, Chile, and London. He regularly gives research seminars at major research universities and institutions world-wide.

    He is former Editor of the Journal of Business and Economic Statistics (JBES) and former associate editor of Econometrica, Econometric Theory, The Journal of the American Statistical Association, and JBES.
  • Specialties

    • Econometrics
    • Financial Economics
    • Mathematical and Quantitative Methods
  • Working Papers

    • G. Tauchen and V. Todorov.
    • (2011).
    • Realized Laplace Transforms for Pure-Jump Semimartingales.
    • (revision resubmitted Annals of Statistics )
    • .
    • G. Tauchen and V. Todorov.
    • (2011).
    • Inverse Realized Laplace Transforms for Nonparametric Volatility Density Estimation in Jump-Diffusions.
    • (submitted)
    • .
    • G. Tauchen , T. Bolerslev, N. Sizova, and D. Osterrieder.
    • (2011).
    • Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability.
    • (submitted)
    • .
    • G. Tauchen.
    • (Summer, 2005).
    • Stochastic Volatility in General Equilibrium.
    • .
    • G. Tauchen with A. R. Gallant.
    • (Summer, 2004).
    • SNP: A Program for Nonparametric Time Series Analysis.
    • .
    • [web]
    • G. Tauchen.
    • (Summer, 2004).
    • Recent Developments in Stochastic Volatility: Statistical Modelling and General Equilibrium Analysis.
    • .
    • G. Tauchen, M. Chernov, A. R. Gallant, and E. Ghysels.
    • (1999).
    • A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation.
    • .
    • (under revision)
  • Research Summary

    Econometrics, Financial Economics
  • Research Description

    Professor Tauchen's research areas are financial economics and time series econometrics. He is a fellow of the Econometric Society, the American Statistical Association, and the Journal of Econometrics. He has published numerous articles in the areas of econometrics and financial economics. Professor Tauchen presents his research findings internationally in such cities as Buenos Aires, Taipei, Helsinki, Sydney, Paris, Madrid, Vienna, Tokyo, Chile, and London. He regularly gives research seminars at major research universities and institutions world-wide.
  • Areas of Interest

    Econometrics
    Financial Economics
  • Education

      • PhD,
      • Economics,
      • University of Minnesota,
      • 1978
      • BA,
      • Economics,
      • University of Minnesota,
      • 1971
  • Awards, Honors and Distinctions

      • Founding member of the Society for Financial Econometrics,
      • September, 2007
      • Fellow of the Journal of Econometrics, 2004,
      • 0 2004
      • Duke University Scholar/Teacher of the Year, 2003,
      • Duke University,
      • 0 2003
      • William Henry Glasson Professor of Economics,
      • Duke University,
      • 1997
      • Fellow of the Econometric Society, 1994,
      • 0 1994
      • Fellow of the American Statisticial Association, 1993,
      • 0 1993
  • Recent Publications

      • G. Tauchen.
      • (2012-1).
      • SNP: A Program for Seminonparametric Estimation.
      • .
      • (Software suite managed by Gallant and Tauchen, public domain.)
      • G. Tauchen with A. R. Gallant.
      • (2012).
      • EMM: A Program for Efficient Method of Moments.
      • .
      • [web]
      • G. Tauchen and V. Todorov.
      • (Accepted, 2012).
      • The Realized Laplace Transform of Volatility.
      • Econometrica, Forthcoming
      • .
      • G. Tauchen , T. Bollerslev, and N. Sizova.
      • (2012).
      • Volatility in Equilibrium: Asymmetries and Dynamic Dependencies.
      • Review of Finance
      • ,
      • 16
      • ,
      • 31–80.
      • G. Tauchen.
      • (Accepted, 2012).
      • Stochastic Volatility in General Equilibrium.
      • Quarterly Journal of Finance, Forthcoming
      • .
  • View All Publications
  • PhD Students

    • Iaryna Grynkiv
      • May 2012, expected
  • Teaching

    • ECON 883.07
      • TOPICS IN ECONOMETRICS
      • Social Sciences 327
      • Tu 06:30 PM-09:00 PM
    • ECON 957S.01
      • RSRCH SEM: FINANL ECONOMETRICS
      • Social Sciences 111
      • M 11:45 AM-01:00 PM
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