George E. Tauchen
George Tauchen is the William Henry Glasson Professor of Economics and professor of finance at the 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. Professor Tauchen is a fellow of the Econometric Society, the American Statistical Association, the Journal of Econometrics, and the Society for Financial Econometrics (SoFie). He is also the 2003 Duke University Scholar/Teacher of the Year. Professor Tauchen is an internationally known time series econometrician. He has developed several important new techniques for making statistical inference from financial time series data and for testing models of financial markets. He has given invited lectures at many places around the world, including London, Paris, Beijing, Taipei, Hong Kong, and Sydney. His current research (with Professor Li of Duke) examines the impact of large jump-like moves in stock market returns on the returns of various portfolios and individual securities. He is a 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 (JASA), and JBES. He is currently Co-Editor of the Journal of Financial Econometrics.
- Ph.D., University of Minnesota, Twin Cities 1978
- B.A., University of Wisconsin at Madison 1971
Li, J, Todorov, V, and Tauchen, G. "Adaptive estimation of continuous-time regression models using high-frequency data." Journal of Econometrics 200, no. 1 (September 2017): 36-47. Full Text
Li, J, Todorov, V, and Tauchen, G. "ESTIMATING THE VOLATILITY OCCUPATION TIME VIA REGULARIZED LAPLACE INVERSION." Econometric Theory 32, no. 05 (October 2016): 1253-1288. Full Text
Li, J, Todorov, V, and Tauchen, G. "Inference theory for volatility functional dependencies." Journal of Econometrics 193, no. 1 (July 2016): 17-34. Full Text
Ghysels, E, and Tauchen, G. "Introduction to: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference." Journal of Financial Econometrics 14, no. 2 (March 2016): 227-228. Full Text
Tauchen, GE, and Davies, R. "Data-Driven Jump Detection Thresholds for Application in Jump Regressions." Economic Research Initiatives at Duke (ERID), no. 213 (September 17, 2015). (Working Paper) Open Access Copy
Reiß, M, Todorov, V, and Tauchen, G. "Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data." Stochastic Processes and their Applications 125, no. 8 (August 2015): 2955-2988. Full Text
Andersen, TG, Bondarenko, O, Todorov, V, and Tauchen, G. "The fine structure of equity-index option dynamics." Journal of Econometrics 187, no. 2 (August 2015): 532-546. Full Text
Todorov, V, and Tauchen, G. "Limit theorems for the empirical distribution function of scaled increments of Itô semimartingales at high frequencies." The Annals of Applied Probability 24, no. 5 (October 2014): 1850-1888. Full Text
Hsieh, DA, Gallant, AR, and Tauchen, G. "On Fitting a Recalcitrant Series: the Pound/Dollar Exchange Rate." In Nonparametric and Semiparametric Methods in Econometrics and and Statistics, Proceedings of the Fifth International Symposium in Econmic Theory and Econometrics,edited by WA Barnett, J Powell, and G Tauchen, 199-240. Cambridge: Cambridge University Press, 1991. (Chapter)
Bollerslev, T, Tauchen, G, and Sizova, N. Volatility in Equilibrium: Asymmetries and Dynamic Dependencies. August 1, 2009.
Bollerslev, T, Sizova, N, and Tauchen, G. Volatility in Equilibrium: Asymmetries and Dynamic Dependencies. 2009.
Gallant, AR, and Tauchen, GE. Specification Analysis of Continuous Time Models in Finance. 1995. Open Access Copy
Tauchen, GE. New Minimum Chi-Square Methods in Empirical Finance. 1995. Open Access Copy
Bansal, R, Gallant, AR, and Tauchen, G. Rational Pessimism, Rational Exuberance, and Asset Pricing Models.. Open Access Copy