Publications of George Tauchen     :chronological  combined  bibtex listing:

Books

  1. Nonparametric and Semiparametric Methods in Econometrics and Statistics,  edited by George Tauchen with William A. Barnett and James Powell Cambridge University Press, 1991.

Papers Accepted

  1. G. Tauchen and A. R. Gallant. "Simulated Score Methods and Indirect Inference for Continuous Time Models," Handbook of Financial Econometrics (Forthcoming)  (2008).
  2. G. Tauchen, with T. Bollerslev and T. Tzou. "Risk, Jumps, and Diversification," Forthcoming in the Journal of Econometrics  (2008).
  3. G. Tauchen with Tim Bollerslev, Uta Kretschmer, and Christian Pigorsch. "A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects," Forthcoming in the Journal of Econometrics  (2008). [pdf]

Journal Articles

  1. "Rational Pessimism, Rational Exuberance, and Asset Pricing Models," G. Tauchen with A. R. Gallant and R. Bansal, Review of Economic Studies 74.4 (Fall, 2007).
  2. "Simulation Methods for Levy-Driven CARMA Stochastic Volatility Models," G. Tauchen with V. Todorov, Journal of Business and Economic Statistics 24.4 (October, 2006): 455-469. [htm]
  3. "Leverage and Volatility Feedback Effects in High-Frequency Data," G. Tauchen with T. Bollerslev and J. Litvinova, Journal of Financial Econometrics 4.3 (2006): 353-384.
  4. "The Relative Contribution of Jumps to Total Price Variance," G. Tauchen with X. Huang, Journal of Financial Econometrics 3.4 (Fall, 2005): 456-499. [htm]
  5. "Regime-Shifts in Term Structure, Expectations Hypothesis Puzzle, and the Real Business Cycle," G. Tauchen with Ravi Bansal and Hao Zhou, Journal of Business and Economic Statistics  (October, 2004).
  6. "Frontiers of Financial Econometrics and Financial Engineering," G. Tauchen and E. Ghysels, Journal of Econometrics 116.1-2 (2003): 1-7.
  7. "Alternative Models for Stock Price Dynamics," G. Tauchen with M. Chernov, A. R. Gallant, and E. Ghysels, Journal of Econometrics 116.1 (2003): 225-258.
  8. "The Bias of Tests for a Risk Premium in Forward Exchange Rates," G. Tauchen, Journal of Empirical Finance  (2002).
  9. "Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment," G. Tauchen, Journal of Business and Economic Statistics 20.3 (2002): 331-32.
  10. "Notes on Financial Econometrics," G. Tauchen, Journal of Econometrics 100.1 (2001): 57-64.
  11. "Testing Target-Zone Models Using Efficient Method of Moments," G. Tauchen with C. S. Chung, Journal of Business and Economic Statistics 19.3 (2001): 255-69. 2000 Invited Address of the Journal of Business and Economic Statistics, delivered at the Annual Meeting of the Amercian Statistical Association
  12. "The Relative Efficiency of Method of Moments Estimators," G. Tauchen with A. R. Gallant, Journal of Econometrics 92.1 (1999): 149-172.
  13. ""Using Daily Range Data to Calibrate Volatility Diffusions and Extract the Forward Integrated Variance"," G. Tauchen with Chiente Hsu and A. R. Gallant, Review of Economics and Statistics 81.3 (November 1999).
  14. ""The Objective Function of Simulation Estimators Near the Boundary of the Parameter Space"," G. Tauchen, Review of Economics and Statistics 80.3 (November, 1998): 389-298.
  15. "Reprojecting Partially Observed Systems with Applications to Interest Rate Diffusions," G. Tauchen with A.R. Gallant, Journal of the American Statistical Association 93 (March, 1998): 10-24.
  16. ""Estimation of Stochastic Volatility Models with Diagnostics"," G. Tauchen with A.R. Gallant and D. Hsieh, Journal of Econometrics 81 (1997): 159-192.
  17. "Estimation of Continuous Time Models for Stock Returns and Interest Rates," G. Tauchen with A.R. Gallant, Macroeconomic Dynamics 1.1 (1997): 135-168.
  18. ""Which Moments to Match"," G. Tauchen wiht A. Ronald Gallant, Econometric Theory 12.4 (October, 1996): 657-681.
  19. ""Volume, Volatility, and Leverage: A Dynamic Analysis"," G. Tauchen with Harold Zhang and Ming Liu, Journal of Econometrics 74.1 (September, 1996): 177-208.
  20. ""Nonparametric Estimation of Structural Models for High Frequency Currency Market Data"," G. Tauchen with R. Bansal, Robert Hussey, and A.R. Gallant, Journal of Econometrics 66.1/2 (March/April 1995).
  21. ""Nonlinear Dynamic Structures"," G. Tauchen with A.R. Gallant and Peter Rossi, Econometrica 61.4 (July, 1993): 871-907.
  22. ""A Nonparametric Simulation Estimator for Nonlinear Structural Models"," G. Tauchen with R. Bansal, Robert Hussey, and A.R. Gallant, Computational Economics and Econometrics  (1993).
  23. "Stock Prices and Volume," G. Tauchen with A. R. Gallant and P. E. Rossi, Review of Financial Studies 5.2 (1992): 199-242.
  24. "Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models," G. Tauchen with R. Hussey, Econometrica 59.2 (March, 1991): 371-396.
  25. "Solving the Stochastic Growth Model by Using Quadrature Methods and Value Function Iterations," G. Tauchen, Journal of Business and Economic Statistics 8.1 (January, 1990).
  26. ""Using Conditional Moments of Asset Returns to Infer the Volatility of Intertemporal Marginal Rates of Substitution"," G. Tauchen with A.R. Gallant and L. P. Hansen, Journal of Econometrics 45.112 (July/August 1990): 141-180.
  27. ""Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications"," G. Tauchen with A.R. Gallant, Econometrica 57.5 (September, 1989): 1091-1120.
  28. ""Statistical Properties of GMM Estimates of Structural Parameters Using Financial Market Data"," G. Tauchen, Journal of Business and Economic Statistics 4 (October, 1986). Given as the Invited Address for the Business and Economics Section of the 1986 Meeting of the American Statistical Association, Chicago; published with commentary
  29. "Finite State Markov Chain Approximations to Univariate and Vector Autoregressions," G. Tauchen, Economic Letters 20.2 (March, 1986): 177-181.
  30. ""A Note on the Asymptotic Lower Bound for the Covariance Matrix of the GMM Estimator of the Parameters of Agents' Utility Functions"," G. Tauchen, Economics Letters 20.2 (March, 1986): 151-155.
  31. "Comment on Wood, McInish, and Ord," G. Tauchen, Journal of Finance  (July, 1985).
  32. "Diagnostic Testing and Evaluation of Maximum Likelihood Models," G. Tauchen, Journal of Econometrics 30 (1985): 415-443. Presented at the Conference on New Methods in Econometrics, Austin Texas, May 1984
  33. "The Effect of Minimum Drinking Age Legislation on Youthful Auto Fatalities, 1970-77," G. Tauchen with Philip Cook, Journal of Legal Studies XIII (January, 1984): 169-190.
  34. ""The Price-Variability Relationship on Speculative Markets"," G. Tauchen with Mark Pitts, Econometrica 51.2 (March, 1983): 485-506.
  35. ""Estimation of Nonlinear Learning Models"," G. Tauchen with Michael K. Salemi, The Journal of the American Statistical Association 77.380 (December, 1982): 725-731.
  36. "The Effect of Liquor Taxes on Heavy Drinking," G. Tauchen with Philip Cook, The Bell Journal of Economics 13.2 (Autumn 1982): 379-390.
  37. "Some Evidence on Cross-Sector Effects of the Minimum Wage," G. Tauchen, Journal of Political Economy 89.3 (June, 1981): 529-547.
  38. "Guessing and the Error Structure of Learning Models," G. Tauchen with Michael K. Salemi, American Economic Review 70.3 (May, 1980): 41-46.

Chapters in Books

  1. "Efficient Estimation of Multivariate Diffusions with Applications from Finance," Bulletin of the International Statistical Association, G. Tauchen 19991999.
  2. "New Minimum Chi-Square Methods in Empirical Finance," Advances in Economics and Econometrics: Theory and Applications, G. Tauchen. Edited by Kenneth F. Wallis and David M. Kreps. Econometric Society Monographs vol. III no. 28 1997: 279-317. Invited Address for the Seventh World Congress of the Econometric Society, Tokyo, 1995
  3. ""Specification Analysis of Continuous Time Models in Finance"," Modeling Stock Market Volatility: Bridging the Gap to Continuous Time, G. Tauchen with A. Ronald Gallant. Edited by Peter E. Rossi. 1996: 357-383.
  4. ""A Nonparametric Approach to Nonlinear Time Series: Estimation and Simulation"," New Directions in Time Series Analyses, Part II, G. Tauchen 1992.
  5. ""On Fitting a Recalcitrant Series: The Pound/Dollar Exchange Rate, 1974-1983"," Nonparametric and Semiparametric Methods in Econometrics and Statistics, G. Tauchen with A.R. Gallant and D. Hsieh. Edited by W. Barnett, J. Powell, and G. Tauchen. 1991.
  6. ""Simultaneous Nonlinear Learning Models"," Econometric Modeling in Economic Education Research, G. Tauchen with M.K. Salemi. Edited by W. Becker and W. Walstead. 1987: 207-221.
  7. ""Comments on Cinar, Abowd and Zellner, and Nestel"," G. Tauchen 1983.
  8. ""A Dynamic Rational Expectations Macroeconomic Model of Mexico"," Applied Time Series Analysis, G. Tauchen with Javier Salas. Edited by M.R. Perryman. 1982: 349-358.
  9. ""Temporal Aggregation and Testing for Econometric Exogeneity"," Time Series Analysis, G. Tauchen. Edited by O.D. Anderson and M.R. Perryman. 1981: 569-574.

Working Papers

  1. "Activity Signature Plots and the Generalized Blumenthal-Getoor Index," G. Tauchen and V. Todorov,   (2008). [pdf]
  2. "Pricing Time Deformation Risk, Volatility Risk, and Levy Jump-Type Risk," G. Tauchen with Ivan Shaliastovich,   (2008). [pdf]
  3. "Expected Stock Returns and Variance Risk Premia," G. Tauchen, T. Bollerslev, and H. Zhou,   (2008).
  4. "Volatility Jumps," G. Tauchen and V. Todorov,   (2008).
  5. "Identifying Realized Jumps on Financial Markets," G. Tauchen with Hao Zhou,   (Fall, 2006).
  6. "EMM: A Program for Efficient Method of Moments," G. Tauchen with A. R. Gallant,   (Summer, 2005). [htm]
  7. "Stochastic Volatility in General Equilibrium," G. Tauchen,   (Summer, 2005).
  8. "SNP: A Program for Nonparametric Time Series Analysis," G. Tauchen with A. R. Gallant,   (Summer, 2004). [htm]
  9. "Recent Developments in Stochastic Volatility: Statistical Modelling and General Equilibrium Analysis," G. Tauchen,   (Summer, 2004).
  10. "A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation," G. Tauchen, M. Chernov, A. R. Gallant, and E. Ghysels,   (1999). under revision

Other

  1. ""An Appraisal of the Precision of Box-Jenkins Intervention Analysis"," G. Tauchen, (October, 1982). Working Paper