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George E. Tauchen, William Henry Glasson Professor of Economics

George E. Tauchen

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.

Contact Info:
Office Location:  221 Social Sciences, Durham, NC 27708
Office Phone:  (919) 660-1812
Email Address: send me a message
Web Page:  http://www.econ.duke.edu/~get/

Teaching (Spring 2016):

  • ECON 883.07, TOPICS IN ECONOMETRICS Synopsis
    Social Sciences 111, Tu 06:30 PM-08:30 PM
  • ECON 957S.01, RSRCH SEM: FINANL ECONOMETRICS Synopsis
    Social Sciences 111, M 11:45 AM-01:00 PM
Teaching (Fall 2016):

  • ECON 690.01, SELECTED TOPICS IN ECONOMICS Synopsis
    Languages 211, MW 04:40 PM-05:55 PM
Education:

Ph.D.University of Minnesota, Twin Cities1978
B.A.University of Wisconsin at Madison1971
Specialties:

Econometrics
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:

Econometrics
Financial Economics

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

    Working Papers   (More Publications)

    1. V Todorov and G Tauchen, Realized laplace transforms for pure-jump semimartingales, Annals of Statistics, vol. 40 no. 2 (2012), pp. 1233-1262, ISSN 0090-5364 [doi]  [abs]
    2. V Todorov and G Tauchen, Inverse realized laplace transforms for nonparametric volatility density estimation in jump-diffusions, Journal of the American Statistical Association, vol. 107 no. 498 (2012), pp. 622-635, ISSN 0162-1459 [doi]  [abs]
    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. GE Tauchen, Robust Jump Regressions, Journal of the American Statistical Association (January, 2016) [DukeSpace]
    2. TG Andersen, O Bondarenko, V Todorov and G Tauchen, The fine structure of equity-index option dynamics, Journal of Econometrics, vol. 187 no. 2 (August, 2015), pp. 532-546, ISSN 0304-4076 [doi]
    3. M Reiß, V Todorov and G Tauchen, Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data, Stochastic Processes and their Applications, vol. 125 no. 8 (August, 2015), pp. 2955-2988, ISSN 0304-4149 [doi]
    4. V Todorov and G Tauchen, Limit theorems for the empirical distribution function of scaled increments of Itô semimartingales at high frequencies, The Annals of Applied Probability, vol. 24 no. 5 (October, 2014), pp. 1850-1888, ISSN 1050-5164 [doi]
    5. V Todorov, G Tauchen and I Grynkiv, Volatility activity: Specification and estimation, Journal of Econometrics, vol. 178 no. PART 1 (2014), pp. 180-193, ISSN 0304-4076 [doi]  [abs]