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. “"Statistical Properties of GMM Estimates of Structural Parameters Using Financial Market Data".” Journal of Business and Economic Statistics 4 (October 1986).

Tauchen, G. “Reply.” Journal of Business and Economic Statistics 4, no. 4 (January 1, 1986): 423–25. https://doi.org/10.1080/07350015.1986.10509541. Full Text

Tauchen, G. “Finite state markov-chain approximations to univariate and vector autoregressions.” Economics Letters 20, no. 2 (January 1, 1986): 177–81. https://doi.org/10.1016/0165-1765(86)90168-0. Full Text

Tauchen, G. “Comment on Wood, McInish, and Ord.” Journal of Finance, July 1985.

TAUCHEN, G. “DISCUSSION.” The Journal of Finance 40, no. 3 (January 1, 1985): 739–41. https://doi.org/10.1111/j.1540-6261.1985.tb04997.x. Full Text

Tauchen, G. “Diagnostic testing and evaluation of maximum likelihood models.” Journal of Econometrics 30, no. 1–2 (January 1, 1985): 415–43. https://doi.org/10.1016/0304-4076(85)90149-6. Full Text Open Access Copy

Cook, Philip J., and George Tauchen. “The Effect of Minimum Drinking Age Legislation on Youthful Auto Fatalities, 1970-1977.” The Journal of Legal Studies 13, no. 1 (January 1984): 169–90. https://doi.org/10.1086/467738. Full Text

Tauchen, George E., and Mark Pitts. “The Price Variability-Volume Relationship on Speculative Markets.” Econometrica 51, no. 2 (March 1983): 485–485. https://doi.org/10.2307/1912002. Full Text Open Access Copy

Pages