Curriculum Vitae

George E. Tauchen

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Box 90097, Durham, NC 27708-0097

(919) 660-1812 (office)

(email)

Personal: Date of this CV: January 2012

Birth date: November 26, 1949

Education

Ph.D. University of Minnesota, Twin Cities 1978

B.A. University of Wisconsin, Madison 1971

Areas of Research: Econometrics, Finance

Areas of Interest: Econometrics
Financial Economics

Professional Experience / Employment History

Duke University: Professor of Finance (Joint Appointment), Fuqua School of Business, 1998 - present; William Henry Glasson Professor of Economics, Duke University, 1997 - present; Professor, Department of Economics, Duke University, 1987 - present; Associate Professor with tenure, Department of Economics, Duke University, 1983-1987; Assistant Professor, Department of Economics, Duke University, 1977-1982

Visiting Positions: Visitor, University of Chicago, January 1995-March 1995; Visiting Fellow, The Australian National University, April 1995-June 1995; Visiting Associate Professor, University of Chicago, January 1987-June 1987

Awards, Honors, and Distinctions: Fellow, Society for Financial Econometrics
Founding member of the Society for Financial Econometrics, September, 2007
Founding Member, Society for Financial Econometrics
Fellow, Journal of Econometrics
Fellow of the Journal of Econometrics, 2004
Duke University Scholar/Teacher of the Year, 2003, Duke University
Scholar/Teacher of the Year, Duke University
William Henry Glasson Professor of Economics, Duke University, 1997
Fellow, Econometric Society
Fellow of the Econometric Society, 1994
ASA Fellows, American Statistical Association
Fellow of the American Statisticial Association, 1993

Selected Recent Invited Talks: Realized Laplace Transforms for Estimation of Jump Diffusive Volatility Models, St. Gallen, Switzerland, November 2011; Realized Laplace Transforms for Estimation of Jump Diffusive Volatility Models, Toulouse May 2011, May 2011; Realized Laplace Transforms for Estimation of Jump Diffusive Volatility Models, Toulouse School of Economics, Toulouse, France, May 2011; Limit Theorems for Power Variations of Pure-Jump Processes with Application to Activity Estimation, University of HK, Hong Kong, November 2010; Realized Laplace Transforms for Estimation of Jump Diffusive Volatility Models, CEMFI, Madrid, November 2010; Realized Laplace Transforms for Estimation of Jump Diffusive Volatility Models, Oxford-Man Institute, Oxford, UK, October 2010; The Realized Laplace Transform, Conference on 20 Years of Specification Testing in Econometrics, Xiamen, China, June 2010; The Realized Laplace Transform, Financial Engineering and Risk Management, Annual Meeting, Taipei, Taiwan, June 2010; 2009 Meeting of the Latin American Econometric Society Region, Buenos Aires, October 01, 2009; Conference in Honor of Life Work of Adrian Pagan, Sydney, Australia, July 10, 2009; SITE Workshop on High Frequency Data Analysis, Stanford University, 7 January 2009; Financial Econometrics Seminar, Stern School, New York University, November, 2008; Vast Data Conference, London, England, September, 2008; Symposium on High Frequency Financial Econometrics, Aarhus, Denmakr, August, 2008; Probablity and Finance Conference, Munich, Germany, July, 2008; SITE Workshop on High Frequency Data Analysis, Stanford University, June, 2008; Symposium on Nonlinear and Nonparametric Time Series, Xiamen China, May 12, 2008; Visitor, Federal Reserve Bank of Atlanta, October 2-5, 2007; NSF-NBER Time Series Conference, Iowa City, Iowa, October, 2007; Conference on Financial Econometrics, London, England, May, 2007; Leverage and Volatility, Federal Reserve Bank of Atlanta, April 15, 2006; Asian Symposium on Econometric Theory and Applications (ASETA), Taipei, Taiwan, May 19, 2005; Invited Lecture, Joint Meeting of the European Econometric Society and the European Economics Association, Madrid, Spain, September 2004; Lectures on Financial Econometrics, Uppsala, Sweden, October 2003; Models for Stock Price Dynamics, Nuffield College, Oxford University, October 2001; Lectures on Financial Econometrics: 2001 CIDE, Italian Centre for Econometrics, Econometrics Summer School, Bertinoro Italy, June 2001; Invited Address, American Statistical Association, B&E Section, Indianapolis, August 2000; Lectures on Financial Econometrics, University of Zurich, Switzerland, May 1997; Lectures on Financial Econometrics, Institute for Advanced Studies (IAS), Vienna, Austria, May 1996; Invited Address for the Seventh World Congress of the Econometric Society, August 1995; Invited Address for Business and Economics Section of the 1986 Meetings of the American Statistical Association, 1986; Realized Laplace Transforms for Estimation of Jump Diffusive Volatility Models, Oxford-Man Institute, Oxford, UK, Fall 2010, 2010

Doctoral Theses Directed: Viktor Todorov, High Frequency Finanical Econometrics, (2007); Jon Tang, Essays on Volatility Transmission, (2002); Bin Zhang, Essays on Specification Analysis, (2001); Hao Zhou, Properties of the Efficient Method of Moments, (1996 - 2000); Christian Lundblad, (2000); Chaeshick Chung, "Specification and Estimation of Target Zone Models for Foreign Exchange Markets", (1998); Adrian Austin, Interest Rates and Regime Shifts, (1998); Waping Wang, Essays on Financial Volatility, (1998); Scott Mixon, Estimation of Diffusions, (1997); Ming Liu, Essays in Financial Volatility, (April 1996); Romulo Chumacero, Intertemporal Asset Pricing without Consumption Data: An Application of the Efficient Method of Moments Estimation Technique, (1995); Paige Wellensiek, Modeling the Term Structure of Interest Rates, (1995); Harold Zhang, Estimation and Calibration of Heterogeneous-Agent Models, (1994); Shigeyuki Hamori, Tests of the Asset Pricing Model in a Monetary Economy: Some Evidence from the U.S.A. and Japan, (1991); George Mokrzan, Aggregate Shocks and the Test of the Sectoral Employment Demand Hypothesis, (1990); Joo-Ha Nam, Habit-Persistence/Durability, Taxation and Seasonality in Consumption-Based Asset Pricing Model, (1990); Robert Hussey, Seminonparametric Modeling of Aggregate Employment Dynamics, (1989); Marilyn Dutton, International Real Interest Equality Based on Price Indexes for Traded Goods, (1989); Allan Brunner, Nonlinearities in U.S. Business Cycles, (1989); Peter Muoio, Empirical Tests of the Utility-Based Asset Pricing Model Using Temporally Aggregated Twentieth Century Data, (1988); Anthony Becker, An Econometric Analysis of the Nuclear Arms Race, (1986); Charles Gilbert, A Panel Data Approach to Testing the Natural Rate Hypothesis, (September 1984); Mark Kumm, Comparison of the Generalized Box-Cox and Fourier Functional Forms for Analysis of Time-of-Use Electricity Pricing Experiments, (1981); Augusto Lopez, Inflation and Exchange Rates in Latin America, (December 1981); Mark Pitts, The Relationship of Trading Volume to the Probability Distribution of Speculative Price Changes, (1980); Javier Salas, A Rational Expectations Macroeconomic Model of the Mexican Economy, (1979)

Conference Invitations and Seminar Invitations:

3-5 major national and international conferences per year

Seminars given at every major research university

Publications (listed separately)
Last modified: 2024/04/18