George E. Tauchen

George E. Tauchen

William Henry Glasson 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

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 1, 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 1, 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." Annals of Applied Probability 24, no. 5 (January 1, 2014): 1850-1888. Full Text

Todorov, V, Tauchen, G, and Grynkiv, I. "Volatility activity: Specification and estimation." Journal of Econometrics 178, no. PART 1 (2014): 180-193. Full Text

Li, J, Todorov, V, and Tauchen, G. "Volatility occupation times." The Annals of Statistics 41, no. 4 (August 2013): 1865-1891. Full Text

Bollerslev, T, Osterrieder, D, Sizova, N, and Tauchen, G. "Risk and return: Long-run relations, fractional cointegration, and return predictability." Journal of Financial Economics 108, no. 2 (2013): 409-424. Full Text

Todorov, V, and Tauchen, G. "The Realized Laplace Transform of Volatility." Econometrica 80, no. 3 (2012): 1105-1127. Full Text

Bollerslev, T, Sizova, N, and Tauchen, G. "Volatility in equilibrium: Asymmetries and dynamic dependencies." Review of Finance 16, no. 1 (2012): 31-80. Full Text

Tauchen, G. "Stochastic Volatility in General Equilibrium (Accepted)." Quarterly Journal of Finance, Forthcoming (2012). (Academic Article) Open Access Copy

Todorov, V, and Tauchen, G. "Inverse realized laplace transforms for nonparametric volatility density estimation in jump-diffusions." Journal of the American Statistical Association 107, no. 498 (2012): 622-635. Full Text

Pages