Research Interests for George Tauchen

Professor Tauchen's research areas are financial economics and time series econometrics. He is a fellow of the Econometric Society, the American Statistical Association, and the Journal of Econometrics. He has published numerous articles in the areas of econometrics and financial economics. Professor Tauchen presents his research findings internationally in such cities as Buenos Aires, Taipei, Helsinki, Sydney, Paris, Madrid, Vienna, Tokyo, Chile, and London. He regularly gives research seminars at major research universities and institutions world-wide.

Areas of Interest:

Econometrics
Financial Economics

Recent Publications

1. G. Tauchen, SNP: A Program for Seminonparametric Estimation (2012-1) (Software suite managed by Gallant and Tauchen, public domain..)
2. G. Tauchen with A. R. Gallant, EMM: A Program for Efficient Method of Moments (Summer, 2012) [htm]
3. G. Tauchen and V. Todorov, The Realized Laplace Transform of Volatility, Econometrica, Forthcoming (Accepted, 2012)
4. G. Tauchen , T. Bollerslev, and N. Sizova, Volatility in Equilibrium: Asymmetries and Dynamic Dependencies, Review of Finance, vol. 16 (2012), pp. 31–80
5. G. Tauchen, Stochastic Volatility in General Equilibrium, Quarterly Journal of Finance, Forthcoming (Accepted, 2012)