George Tauchen's Posted Working Papers
(pdf are Acrobat PDF files and .ps files are straight postscript,)
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“Volatility in
Equilibrium: Asymmetries and Dynamic
Dependencies” 2009 |
with Tim Bollerslev and
Natalia Sizova |
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2009 |
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"Volatility Jumps" 2009 |
with Viktor Todorov |
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2009 |
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"Activity Signature Functions with Application for High-Frequency Data Analysis" 2009 |
with Viktor Todorov |
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Forthcoming Journal of
Econometrics |
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“ Expected
Stock Returns and Variance Risk Premia”* 2008 |
with Tim Bollerslev
and Hao Zhou |
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See note below |
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Published: Review of Financial Studies |
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*Note: Some of the material
in this paper is based directly on the 2005 unpublished paper
"Stochastic Volatility in General Equilibrium," by George
Tauchen. A link to the 2005
unpublished paper is immediately to the left, and a link to earlier 2004
notes is below that link. |
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June 2004 Draft: se-2004-06-15.pdf se-2004-06-15.ps |
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Risk, Jumps, and Diversification |
with Tim Bollerslev
and Tzuo Hann Law |
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Published: Journal of
Econometrics |
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"A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects" 2009 |
with Tim Bollerslev, Uta
Kretschmer, and Christian Pigorsch |
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Forthcoming: Journal of
Econometrics |
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"Rational Pessimism, Rational Exuberance" 2008 |
with |
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Published: Review of
Economic Studies |
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"Pricing Time Deformation Risk, Volatility Risk, and Levy Jump-Type Risk " This Draft: 2006 |
with Ivan Shaliastovich |
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"Identifying Realized Jumps on Financial Markets" This Draft: 2005 |
with Hao Zhou |
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Forthcoming: Journal of Econometrics |
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"Simulation Methods for Levy-Driven CARMA Stochastic Volatility Models" |
with Viktor Todorov |
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Published in JBES, 2006. |
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"Volatility Asymmetry in High Frequency Data” |
with Tim Bollerslev and Julia Litvinova |
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Published in the Journal of
Financial Econometrics, 2006.
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"The Relative Contribution of Jumps to Total Price Variance" |
with Xin Huang |
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Published
in Journal of Financial Econometrics,
2005. |
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"Efficient Method of Moments: A User's Guide" |
with Ron Gallant |
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The Basic Handbook for our EMM Software |
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"SNP: A Program for
Nonparametric Time Series Analysis" |
with Ron Gallant |
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The Basic Handbook for our SNP Software |
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"Recent Developments in Stochastic Volatility: Statistical Modelling and General Equilibrium Analysis" 2004 |
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"Simulated Score Methods and Indirect Inference for Continuous-time Models" 2002 |
with Ron Gallant |
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Prepared for the Handbook of Financial Econometrics. |
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"Efficient Method of Moments" 2001 |
with Ron Gallant |
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A general survey of EMM |
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“A New Class of
Stochastic Volatility Models with Jumps: Theory and Estimation” |
with Mike Chernov, Eric Ghysels, and Ron Gallant |
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