Duke Probability Theory and Applications
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George Tauchen, William Henry Glasson Professor of Economics

George Tauchen
Contact Info:
Office Location:  221 Social Sciences
Office Phone:  (919) 660-1812, (919) 660-1800
Email Address: send me a message
Web Page:  http://www.econ.duke.edu/~get/

Teaching (Fall 2015):

    Perkins 088, MW 04:40 PM-05:55 PM

PhDUniversity of Minnesota1978
BAUniversity of Minnesota1971

Financial Economics
Mathematical and Quantitative Methods
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:

Financial Economics

Curriculum Vitae
Current Ph.D. Students   (Former Students)

    Working Papers   (More Publications)

    1. G. Tauchen and V. Todorov, Realized Laplace Transforms for Pure-Jump Semimartingales, (revision resubmitted Annals of Statistics ) (2011)
    2. G. Tauchen and V. Todorov, Inverse Realized Laplace Transforms for Nonparametric Volatility Density Estimation in Jump-Diffusions, (submitted) (2011)
    3. G. Tauchen , T. Bolerslev, N. Sizova, and D. Osterrieder, Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability, (submitted) (2011)
    4. G. Tauchen, Stochastic Volatility in General Equilibrium (Summer, 2005)
    5. G. Tauchen with A. R. Gallant, SNP: A Program for Nonparametric Time Series Analysis (Summer, 2004) [htm]
    6. G. Tauchen, Recent Developments in Stochastic Volatility: Statistical Modelling and General Equilibrium Analysis (Summer, 2004)
    7. G. Tauchen, M. Chernov, A. R. Gallant, and E. Ghysels, A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation (1999) (under revision.)
    Recent Publications   (More 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)