George E. Tauchen, William Henry Glasson Distinguished Professor Emeritus

George E. Tauchen

Please note: George has left the "Probability: Theory and Applications" group at Duke University; some info here might not be up to date.

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.

Office Location:  210A Social Sciences, Durham, NC 27708
Office Phone:  (919) 660-1812
Email Address: send me a message
Web Pages:  https://sites.google.com/view/george-tauchen/home
http://www.econ.duke.edu/~get/

Education:

Ph.D.University of Minnesota, Twin Cities1978
B.A.University of Wisconsin, 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

Current Ph.D. Students  

    Working Papers

    1. G. Tauchen , T. Bolerslev, N. Sizova, and D. Osterrieder, Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability, (submitted) (2011)
    2. G. Tauchen, Stochastic Volatility in General Equilibrium (Summer, 2005)
    3. G. Tauchen with A. R. Gallant, SNP: A Program for Nonparametric Time Series Analysis (Summer, 2004) [htm]
    4. G. Tauchen, Recent Developments in Stochastic Volatility: Statistical Modelling and General Equilibrium Analysis (Summer, 2004)
    Recent Publications

    1. Tauchen, G, New directions in nonlinear structural estimation: Bayes and Frequentist, Journal of Econometrics, vol. 228 no. 1 (May, 2022), pp. 1-3 [doi]
    2. Zhang, C; Li, J; Todorov, V; Tauchen, G, Variation and efficiency of high-frequency betas, Journal of Econometrics, vol. 228 no. 1 (May, 2022), pp. 156-175 [doi]  [abs]
    3. Gallant, AR; Tauchen, G, Cash Flows Discounted Using a Model-Free SDF Extracted under a Yield Curve Prior, Journal of Risk and Financial Management, vol. 14 no. 3 (March, 2021) [doi]  [abs]
    4. Li, J; Todorov, V; Tauchen, G, Jump factor models in large cross-sections, Quantitative Economics, vol. 10 no. 2 (May, 2019), pp. 419-456 [doi]  [abs]
    5. Li, J; Todorov, V; Tauchen, G; Lin, H, Rank Tests at Jump Events, Journal of Business & Economic Statistics, vol. 37 no. 2 (April, 2019), pp. 312-321, Informa UK Limited [doi]  [abs]