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
(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.


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

Bollerslev, T, Kretschmer, U, Pigorsch, C, and Tauchen, G. "A discrete-time model for daily S & P500 returns and realized variations: Jumps and leverage effects." Journal of Econometrics 150, no. 2 (June 1, 2009): 151-166. Full Text Open Access Copy

Bollerslev, T, Law, TH, and Tauchen, G. "Risk, jumps, and diversification." Journal of Econometrics 144, no. 1 (May 1, 2008): 234-256. Full Text Open Access Copy

Bansal, R, Gallant, AR, and Tauchen, G. "Rational pessimism, rational exuberance, and asset pricing models." Review of Economic Studies 74, no. 4 (2007): 1005-1033. Full Text Open Access Copy

Todorov, V, and Tauchen, G. "Simulation methods for Lévy-driven continuous-time autoregressive moving average (CARMA) stochastic volatility models." Journal of Business and Economic Statistics 24, no. 4 (October 1, 2006): 455-469. Full Text

Bollerslev, T, Litvinova, J, and Tauchen, G. "Leverage and volatility feedback effects in high-frequency data." Journal of Financial Econometrics 4, no. 3 (June 1, 2006): 353-384. Full Text

Huang, X, and Tauchen, G. "The Relative Contribution of Jumps to Total Price Variance." Journal of Financial Econometrics 3, no. 4 (2005): 456-499.

Bansal, R, Tauchen, G, and Zhou, H. "Regime shifts, risk premiums in the term structure, and the business cycle." Journal of Business and Economic Statistics 22, no. 4 (October 1, 2004): 396-409. Full Text

Ghysels, E, and Tauchen, G. "Frontiers of financial econometrics and financial engineering." Journal of Econometrics 116, no. 1-2 (September 1, 2003): 1-7. (Review) Full Text Open Access Copy

Chernov, M, Gallant, AR, Ghysels, E, and Tauchen, G. "Alternative models for stock price dynamics." Journal of Econometrics 116, no. 1-2 (September 1, 2003): 225-257. Full Text

Tauchen, G. "Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment." Journal of Business and Economic Statistics 20, no. 3 (2002): 331-332. (Academic Article)