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

Gallant, AR, and Tauchen, G. "Estimation of continuous-time models for stock returns and interest rates." Macroeconomic Dynamics 1, no. 1 (December 1, 1997): 135-168. Open Access Copy

Gallant, AR, Hsiehb, D, and Tauchen, G. "Estimation of stochastic volatility models with diagnostics." Journal of Econometrics 81, no. 1 (January 1, 1997): 159-192. Full Text Open Access Copy

Ronald Gallant, A, and Tauchen, G. "Which moments to match?." Econometric Theory 12, no. 4 (December 1, 1996): 657-681. Open Access Copy

Tauchen, G, Zhang, H, and Liu, M. "Volume, volatility, and leverage: A dynamic analysis." Journal of Econometrics 74, no. 1 (January 1, 1996): 177-208. Full Text Open Access Copy

Bansal, R, Gallant, AR, Hussey, R, and Tauchen, G. "Nonparametric estimation of structural models for high-frequency currency market data." Journal of Econometrics 66, no. 1-2 (January 1, 1995): 251-287. Full Text

Bansal, GTWR, Hussey, R, Gallant, AR, and Tauchen G, . ""Nonparametric Estimation of Structural Models for High Frequency Currency Market Data"." Journal of Econometrics 66, no. 1/2 (1995). Open Access Copy

Tauchen, G. "News Notes." Econometric Reviews 13, no. 3 (January 1, 1994): V-vI. Full Text

Tauchen, G. "Editor’s report." Journal of Business and Economic Statistics 12, no. 4 (January 1, 1994): 369-null. Full Text

Gallant, AR, Rossi, PE, and Tauchen, G. "Nonlinear Dynamic Structures." Econometrica 61, no. 4 (July 1993): 871-871. Full Text Open Access Copy

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-null. Full Text

Pages