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

Tauchen, G, Durham, GB, and Gallant, AR. "Comment [6] (multiple letters)." Journal of Business and Economic Statistics 20, no. 3 (January 1, 2002): 331-332+335+337. (Letter)

Tauchen, G. "The bias of tests for a risk premium in forward exchange rates." Journal of Empirical Finance 8, no. 5 (December 1, 2001): 695-704. Full Text

Chung, CS, and Tauchen, G. "Testing target-zone models using efficient method of moments." Journal of Business and Economic Statistics 19, no. 3 (July 1, 2001): 255-269. Full Text

Tauchen, G. "Notes on financial econometrics." Journal of Econometrics 100, no. 1 (January 1, 2001): 57-64. Full Text Open Access Copy

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

Gallant, AR, and Tauchen, G. "The relative efficiency of method of moments estimators." Journal of Econometrics 92, no. 1 (September 1, 1999): 149-172. Open Access Copy

Gallant, AR, Hsu, CT, and Tauchen, G. "Using daily range data to calibrate volatility diffusions and extract the forward integrated variance." Review of Economics and Statistics 81, no. 4 (January 1, 1999): 617-631. Full Text

Gallant, AR, and Tauchen, G. "Reprojecting partially observed systems with application to interest rate diffusions." Journal of the American Statistical Association 93, no. 441 (March 1, 1998): 10-24. Full Text

Tauchen, G. "The objective function of simulation estimators near the boundary of the unstable region of the parameter space." Review of Economics and Statistics 80, no. 3 (1998): 389-398.

Pages