George E. Tauchen

George E. Tauchen

William Henry Glasson Distinguished Professor of Economics

External Address: 
224 Social Sciences, Durham, NC 27708
Internal Office Address: 
Box 90097, Durham, NC 27708-0097
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

Li, J., V. Todorov, and G. Tauchen. “Jump factor models in large cross-sections.” Quantitative Economics 10, no. 2 (May 1, 2019): 419–56. https://doi.org/10.3982/QE1060. Full Text

Li, J., V. Todorov, G. Tauchen, and H. Lin. “Rank Tests at Jump Events.” Journal of Business and Economic Statistics 37, no. 2 (April 3, 2019): 312–21. https://doi.org/10.1080/07350015.2017.1328362. Full Text

Li, J., V. Todorov, G. Tauchen, and R. Chen. “Mixed-scale jump regressions with bootstrap inference.” Journal of Econometrics 201, no. 2 (December 1, 2017): 417–32. https://doi.org/10.1016/j.jeconom.2017.08.017. Full Text

Li, J., V. Todorov, and G. Tauchen. “Adaptive estimation of continuous-time regression models using high-frequency data.” Journal of Econometrics 200, no. 1 (September 1, 2017): 36–47. https://doi.org/10.1016/j.jeconom.2017.01.010. Full Text

Li, J., V. Todorov, and G. Tauchen. “Robust Jump Regressions.” Journal of the American Statistical Association 112, no. 517 (January 2, 2017): 332–41. https://doi.org/10.1080/01621459.2016.1138866. Full Text Open Access Copy

Li, J., V. Todorov, and G. Tauchen. “Jump Regressions.” Econometrica 85, no. 1 (January 1, 2017): 173–95. https://doi.org/10.3982/ECTA12962. Full Text Open Access Copy

Li, J., V. Todorov, and G. Tauchen. “ESTIMATING THE VOLATILITY OCCUPATION TIME VIA REGULARIZED LAPLACE INVERSION.” Econometric Theory 32, no. 5 (October 1, 2016): 1253–88. https://doi.org/10.1017/S0266466615000171. Full Text

Li, J., V. Todorov, and G. Tauchen. “Inference theory for volatility functional dependencies.” Journal of Econometrics 193, no. 1 (July 1, 2016): 17–34. https://doi.org/10.1016/j.jeconom.2016.01.004. Full Text

Pages

Barnett, William A., James Powell, and George E. Tauchen, eds. Nonparametric and Semiparametric Methods in Econometrics and Statistics, 1991.

Hsieh, D. A., A. R. Gallant, and G. Tauchen. “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 W. A. Barnett, J. Powell, and G. Tauchen, 199–240. Cambridge: Cambridge University Press, 1991.

Bollerslev, Tim, George Tauchen, and Natalia Sizova. “Volatility in Equilibrium: Asymmetries and Dynamic Dependencies,” August 1, 2009.

Bollerslev, Tim, Natalia Sizova, and George Tauchen. “Volatility in Equilibrium: Asymmetries and Dynamic Dependencies,” 2009.

Gallant, A Ronald, and George Tauchen. “Specification Analysis of Continuous Time Models in Finance,” October 1995. Open Access Copy

Bansal, Ravi, A Ronald Gallant, and George Tauchen. “Rational Pessimism, Rational Exuberance, and Asset Pricing Models,” n.d.

Bollerslev, Tim, Daniela Osterrieder, Natalia Sizova, and George Tauchen. “Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability,” n.d.