George E. Tauchen
William Henry Glasson Professor of Economics
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
Todorov, V., G. Tauchen, and I. Grynkiv. “Realized Laplace transforms for estimation of jump diffusive volatility models.” Journal of Econometrics 164, no. 2 (October 1, 2011): 367–81. https://doi.org/10.1016/j.jeconom.2011.06.016. Full Text
Todorov, V., and G. Tauchen. “Limit theorems for power variations of pure-jump processes with application to activity estimation.” Annals of Applied Probability 21, no. 2 (2011): 546–88. https://doi.org/10.1214/10-AAP700. Full Text
Tauchen, G., and H. Zhou. “Realized jumps on financial markets and predicting credit spreads.” Journal of Econometrics 160, no. 1 (January 1, 2011): 102–18. https://doi.org/10.1016/j.jeconom.2010.03.023. Full Text
Tauchen, G., and I. Shaliastovich. “Pricing Time Deformation Risk, Volatility Risk, and Levy Jump-Type Risk.” Journal of Economic Dynamics and Control 35, no. 6 (2011).
Gallant, A. R., and G. Tauchen. “Simulated Score Methods and Indirect Inference for Continuous-time Models,” December 1, 2010, 427–77. https://doi.org/10.1016/B978-0-444-50897-3.50011-0. Full Text
Todorov, V., and G. Tauchen. “Activity signature functions for high-frequency data analysis.” Journal of Econometrics 154, no. 2 (February 1, 2010): 125–38. https://doi.org/10.1016/j.jeconom.2009.06.009. Full Text
Bollerslev, T., G. Tauchen, and H. Zhou. “Expected stock returns and variance risk premia.” Review of Financial Studies 22, no. 11 (November 1, 2009): 4463–92. https://doi.org/10.1093/rfs/hhp008. Full Text
Bollerslev, T., U. Kretschmer, C. Pigorsch, and G. Tauchen. “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): 151–66. https://doi.org/10.1016/j.jeconom.2008.12.001. Full Text Open Access Copy