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Publications of George Tauchen     :chronological  combined  bibtex listing:

Books

  1. Nonparametric and Semiparametric Methods in Econometrics and Statistics, in Proceedings of the Fifth International Symposium in Economic Theory and Econometrics, edited by George Tauchen with William A. Barnett and James Powell (1991), Cambridge University Press

Papers Accepted

  1. G. Tauchen and A. R. Gallant, Simulated Score Methods and Indirect Inference for Continuous Time Models, in Handbook of Financial Econometrics (Forthcoming) (2008)
  2. G. Tauchen, with T. Bollerslev and T. Tzou, Risk, Jumps, and Diversification, Forthcoming in the Journal of Econometrics (2008)
  3. 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 (2008) [pdf]

Other

  1. G. Tauchen, "An Appraisal of the Precision of Box-Jenkins Intervention Analysis" (October, 1982) (Working Paper.)

Journal Articles

  1. G. Tauchen with A. R. Gallant and R. Bansal, Rational Pessimism, Rational Exuberance, and Asset Pricing Models, Review of Economic Studies, vol. 74 no. 4 (Fall, 2007)
  2. G. Tauchen with V. Todorov, Simulation Methods for Levy-Driven CARMA Stochastic Volatility Models, Journal of Business and Economic Statistics, vol. 24 no. 4 (October, 2006), pp. 455-469 [htm]
  3. G. Tauchen with T. Bollerslev and J. Litvinova, Leverage and Volatility Feedback Effects in High-Frequency Data, Journal of Financial Econometrics, vol. 4 no. 3 (2006), pp. 353-384
  4. G. Tauchen with X. Huang, The Relative Contribution of Jumps to Total Price Variance, Journal of Financial Econometrics, vol. 3 no. 4 (Fall, 2005), pp. 456-499, Oxford University Press [htm]
  5. G. Tauchen with Ravi Bansal and Hao Zhou, Regime-Shifts in Term Structure, Expectations Hypothesis Puzzle, and the Real Business Cycle, Journal of Business and Economic Statistics (October, 2004)
  6. G. Tauchen and E. Ghysels, Frontiers of Financial Econometrics and Financial Engineering, Journal of Econometrics, vol. 116 no. 1-2 (2003), pp. 1-7
  7. G. Tauchen with M. Chernov, A. R. Gallant, and E. Ghysels, Alternative Models for Stock Price Dynamics, Journal of Econometrics, vol. 116 no. 1 (2003), pp. 225-258
  8. G. Tauchen, The Bias of Tests for a Risk Premium in Forward Exchange Rates, Journal of Empirical Finance (2002)
  9. G. Tauchen, Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment, Journal of Business and Economic Statistics, vol. 20 no. 3 (2002), pp. 331-32
  10. G. Tauchen, Notes on Financial Econometrics, Journal of Econometrics, vol. 100 no. 1 (2001), pp. 57-64
  11. G. Tauchen with C. S. Chung, Testing Target-Zone Models Using Efficient Method of Moments, Journal of Business and Economic Statistics, vol. 19 no. 3 (2001), pp. 255-69 (2000 Invited Address of the Journal of Business and Economic Statistics, delivered at the Annual Meeting of the Amercian Statistical Association.)
  12. G. Tauchen with A. R. Gallant, The Relative Efficiency of Method of Moments Estimators, Journal of Econometrics, vol. 92 no. 1 (1999), pp. 149-172
  13. G. Tauchen with Chiente Hsu and A. R. Gallant, "Using Daily Range Data to Calibrate Volatility Diffusions and Extract the Forward Integrated Variance", Review of Economics and Statistics, vol. 81 no. 3 (November 1999)
  14. G. Tauchen, "The Objective Function of Simulation Estimators Near the Boundary of the Parameter Space", Review of Economics and Statistics, vol. 80 no. 3 (November, 1998), pp. 389-298
  15. G. Tauchen with A.R. Gallant, Reprojecting Partially Observed Systems with Applications to Interest Rate Diffusions, Journal of the American Statistical Association, vol. 93 (March, 1998), pp. 10-24
  16. G. Tauchen with A.R. Gallant and D. Hsieh, "Estimation of Stochastic Volatility Models with Diagnostics", Journal of Econometrics, vol. 81 (1997), pp. 159-192
  17. G. Tauchen with A.R. Gallant, Estimation of Continuous Time Models for Stock Returns and Interest Rates, Macroeconomic Dynamics, vol. 1 no. 1 (1997), pp. 135-168
  18. G. Tauchen wiht A. Ronald Gallant, "Which Moments to Match", Econometric Theory, vol. 12 no. 4 (October, 1996), pp. 657-681
  19. G. Tauchen with Harold Zhang and Ming Liu, "Volume, Volatility, and Leverage: A Dynamic Analysis", Journal of Econometrics, vol. 74 no. 1 (September, 1996), pp. 177-208
  20. G. Tauchen with R. Bansal, Robert Hussey, and A.R. Gallant, "Nonparametric Estimation of Structural Models for High Frequency Currency Market Data", Journal of Econometrics, vol. 66 no. 1/2 (March/April 1995)
  21. G. Tauchen with A.R. Gallant and Peter Rossi, "Nonlinear Dynamic Structures", Econometrica, vol. 61 no. 4 (July, 1993), pp. 871-907
  22. G. Tauchen with R. Bansal, Robert Hussey, and A.R. Gallant, "A Nonparametric Simulation Estimator for Nonlinear Structural Models", Computational Economics and Econometrics (1993)
  23. G. Tauchen with A. R. Gallant and P. E. Rossi, Stock Prices and Volume, Review of Financial Studies, vol. 5 no. 2 (1992), pp. 199-242
  24. G. Tauchen with R. Hussey, Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models, Econometrica, vol. 59 no. 2 (March, 1991), pp. 371-396
  25. G. Tauchen, Solving the Stochastic Growth Model by Using Quadrature Methods and Value Function Iterations, Journal of Business and Economic Statistics, vol. 8 no. 1 (January, 1990)
  26. G. Tauchen with A.R. Gallant and L. P. Hansen, "Using Conditional Moments of Asset Returns to Infer the Volatility of Intertemporal Marginal Rates of Substitution", Journal of Econometrics, vol. 45 no. 112 (July/August 1990), pp. 141-180
  27. G. Tauchen with A.R. Gallant, "Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications", Econometrica, vol. 57 no. 5 (September, 1989), pp. 1091-1120
  28. G. Tauchen, "Statistical Properties of GMM Estimates of Structural Parameters Using Financial Market Data", Journal of Business and Economic Statistics, vol. 4 (October, 1986) (Given as the Invited Address for the Business and Economics Section of the 1986 Meeting of the American Statistical Association, Chicago; published with commentary.)
  29. G. Tauchen, Finite State Markov Chain Approximations to Univariate and Vector Autoregressions, Economic Letters, vol. 20 no. 2 (March, 1986), pp. 177-181
  30. G. Tauchen, "A Note on the Asymptotic Lower Bound for the Covariance Matrix of the GMM Estimator of the Parameters of Agents' Utility Functions", Economics Letters, vol. 20 no. 2 (March, 1986), pp. 151-155
  31. G. Tauchen, Comment on Wood, McInish, and Ord, Journal of Finance (July, 1985)
  32. G. Tauchen, Diagnostic Testing and Evaluation of Maximum Likelihood Models, Journal of Econometrics, vol. 30 (1985), pp. 415-443 (Presented at the Conference on New Methods in Econometrics, Austin Texas, May 1984.)
  33. G. Tauchen with Philip Cook, The Effect of Minimum Drinking Age Legislation on Youthful Auto Fatalities, 1970-77, Journal of Legal Studies, vol. XIII (January, 1984), pp. 169-190
  34. G. Tauchen with Mark Pitts, "The Price-Variability Relationship on Speculative Markets", Econometrica, vol. 51 no. 2 (March, 1983), pp. 485-506
  35. G. Tauchen with Michael K. Salemi, "Estimation of Nonlinear Learning Models", The Journal of the American Statistical Association, vol. 77 no. 380 (December, 1982), pp. 725-731
  36. G. Tauchen with Philip Cook, The Effect of Liquor Taxes on Heavy Drinking, The Bell Journal of Economics, vol. 13 no. 2 (Autumn 1982), pp. 379-390
  37. G. Tauchen, Some Evidence on Cross-Sector Effects of the Minimum Wage, Journal of Political Economy, vol. 89 no. 3 (June, 1981), pp. 529-547
  38. G. Tauchen with Michael K. Salemi, Guessing and the Error Structure of Learning Models, American Economic Review, vol. 70 no. 3 (May, 1980), pp. 41-46

Chapters in Books

  1. G. Tauchen, Efficient Estimation of Multivariate Diffusions with Applications from Finance, in Bulletin of the International Statistical Association, 1999 (1999)
  2. G. Tauchen, New Minimum Chi-Square Methods in Empirical Finance, in Advances in Economics and Econometrics: Theory and Applications, Econometric Society Monographs, edited by Kenneth F. Wallis and David M. Kreps, vol. III no. 28 (1997), pp. 279-317, Cambridge University Press (Invited Address for the Seventh World Congress of the Econometric Society, Tokyo, 1995.)
  3. G. Tauchen with A. Ronald Gallant, "Specification Analysis of Continuous Time Models in Finance", in Modeling Stock Market Volatility: Bridging the Gap to Continuous Time, edited by Peter E. Rossi (1996), pp. 357-383, Academic Press
  4. G. Tauchen, "A Nonparametric Approach to Nonlinear Time Series: Estimation and Simulation", in New Directions in Time Series Analyses, Part II (1992), New York: Springer-Verlag
  5. G. Tauchen with A.R. Gallant and D. Hsieh, "On Fitting a Recalcitrant Series: The Pound/Dollar Exchange Rate, 1974-1983", in Nonparametric and Semiparametric Methods in Econometrics and Statistics, edited by W. Barnett, J. Powell, and G. Tauchen (1991), Cambridge University Press
  6. G. Tauchen with M.K. Salemi, "Simultaneous Nonlinear Learning Models", in Econometric Modeling in Economic Education Research, edited by W. Becker and W. Walstead (1987), pp. 207-221, Klumer-Nijhoff
  7. G. Tauchen, "Comments on Cinar, Abowd and Zellner, and Nestel", Proceedings of the 1983 Meetings of the American Statistical Assocation: Business and Economics (1983)
  8. G. Tauchen with Javier Salas, "A Dynamic Rational Expectations Macroeconomic Model of Mexico", in Applied Time Series Analysis, edited by M.R. Perryman (1982), pp. 349-358, North-Holland Publishing Company
  9. G. Tauchen, "Temporal Aggregation and Testing for Econometric Exogeneity", in Time Series Analysis, edited by O.D. Anderson and M.R. Perryman (1981), pp. 569-574, North Holland Publishing Company

Working Papers

  1. G. Tauchen and V. Todorov, Activity Signature Plots and the Generalized Blumenthal-Getoor Index (2008) [pdf]
  2. G. Tauchen with Ivan Shaliastovich, Pricing Time Deformation Risk, Volatility Risk, and Levy Jump-Type Risk (2008) [pdf]
  3. G. Tauchen, T. Bollerslev, and H. Zhou, Expected Stock Returns and Variance Risk Premia (2008)
  4. G. Tauchen and V. Todorov, Volatility Jumps (2008)
  5. G. Tauchen with Hao Zhou, Identifying Realized Jumps on Financial Markets (Fall, 2006)
  6. G. Tauchen with A. R. Gallant, EMM: A Program for Efficient Method of Moments (Summer, 2005) [htm]
  7. G. Tauchen, Stochastic Volatility in General Equilibrium (Summer, 2005)
  8. G. Tauchen with A. R. Gallant, SNP: A Program for Nonparametric Time Series Analysis (Summer, 2004) [htm]
  9. G. Tauchen, Recent Developments in Stochastic Volatility: Statistical Modelling and General Equilibrium Analysis (Summer, 2004)
  10. 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.)