• Main
• People
• Seminar
• Courses

George Tauchen, William Henry Glasson Professor of Economics

Contact Info:

Office Location:	221 Social Sciences
Office Phone:	+1 919 660 1812, +1 919 660 1800
Email Address:
Web Page:	http://www.econ.duke.edu/~get/

Teaching (Fall 2008):

• ECON 202FS.01, HONORS SENIOR WORKSHOP:FINANCE Synopsis

  Social Sciences 327, M 11:40 AM-12:55 PM; Perkins 2-079, W 11:40 AM-12:55 PM

• ECON 385F.01, FINANCIAL ECONOMETRICS

  Social Sciences 327, M 11:40 AM-12:55 PM

• ECON 395E.01, TOPICS IN ECONOMETRICS

  Social Sciences 327, M 06:00 PM-09:00 PM

• ECON 395E.03, TOPICS IN ECONOMETRICS

  Social Sciences 327, F 06:00 PM-09:00 PM

Education:

PhD	University of Minnesota	1978
BA	University of Minnesota	1971

Specialties:

Econometrics

Research Interests: Econometrics, Finance

George Tauchen is the William Henry Glasson Professor of Economics and Professor of Finance, 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. Tauchen is a fellow of the Econometric Society and a fellow of the American Statistical Association. He is also the 2003 Duke University Scholar/Teacher of the Year. His fields are time series econometrics and financial econometrics. Professor Tauchen regularly gives research seminars at major U.S. research universities and at international meetings, conferences, and research institutes. He was Visiting Fellow at the Australian National University, and he gave one of the major invited addresses at the Seventh World Congress of the Econometric Society in Tokyo, Japan. He has lectured in such diverse places as Taipei, Santiago de Chile, London, Paris, Vienna, Helsinki, and Tokyo. He is currently Co-Editor of the Journal of Financial Econometrics, and he is former Editor of the Journal of Business and Economic Statistics (JBES) and former Associate Editor of Econometrica, Econometric Theory, Journal of Econometrics, The Journal of the American Statistical Association, and JBES.

Areas of Interest:

Econometrics
Financial Economics

Curriculum Vitae

Current Ph.D. Students   (Former Students)

• Ivan Shaliastovich  
• Viktor Todorov  
• Christian Lundblad  

Recent Publications   (More Publications)

1. G. Tauchen and A. R. Gallant, Simulated Score Methods and Indirect Inference for Continuous Time Models, in Handbook of Financial Econometrics (Forthcoming) (Accepted, 2008)
2. G. Tauchen and V. Todorov, Activity Signature Plots and the Generalized Blumenthal-Getoor Index (2008) [pdf]
3. G. Tauchen with Ivan Shaliastovich, Pricing Time Deformation Risk, Volatility Risk, and Levy Jump-Type Risk (2008) [pdf]
4. G. Tauchen, with T. Bollerslev and T. Tzou, Risk, Jumps, and Diversification, Forthcoming in the Journal of Econometrics (Accepted, 2008)
5. 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 (Accepted, 2008) [pdf]