George E. Tauchen

William Henry Glasson Professor of Economics

External Address: 
224 Social Sciences, Box 90097, Durham, NC 27708
Internal Office Address: 
Box 90097
Phone: 
(919) 660-1812

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.

Education

  • Ph.D., University of Minnesota, Twin Cities 1978
  • B.A., University of Wisconsin at Madison 1971

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

Chernov, M, Gallant, AR, Ghysels, E, and Tauchen, G. "A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation." (October 13, 1999).

Tauchen, G. "Editor's Report." Journal of Business & Economic Statistics 12, no. 4 (October 1994): 369-369. Full Text

"News note." Econometric Reviews 13, no. 3 (January 1994): v-vi. Full Text

Tauchen, G. "The Journal of Business & Economic Statistics: The First 10 Years and a Look Ahead." Journal of Business & Economic Statistics 11, no. 4 (October 1993): 425-425. Full Text

Tauchen, G. "Editor's Report." Journal of Business & Economic Statistics 11, no. 4 (October 1993): 367-367. Full Text

Tauchen, G. "Remarks on my Term at JBES." Journal of Business & Economic Statistics 11, no. 4 (October 1993): 428-431. Full Text

Tauchen, G. "The journal of business & economic statistics: The first 10 years and a look ahead." Journal of Business and Economic Statistics 11, no. 4 (January 1, 1993): 425-426. Full Text

Tauchen, G. "Reply." Journal of Business & Economic Statistics 4, no. 4 (October 1986): 423-425. Full Text

Salemi, MK, and Tauchen, GE. "Estimation of Nonlinear Learning Models." Journal of the American Statistical Association 77, no. 380 (December 1982): 725-731. Full Text