Publications [#238971] of George E. Tauchen

Journal Articles

1. Gallant, AR; Tauchen, G, Estimation of continuous-time models for stock returns and interest rates, Macroeconomic Dynamics, vol. 1 no. 1 (December, 1997), pp. 135-168, ISSN 1365-1005 [repository]
   (last updated on 2024/01/01)

   Abstract:
   Efficient Method of Moments is used to estimate and test continuous-time diffusion models for stock returns and interest rates. For stock returns, a four-state, two-factor diffusion with one state observed can account for the dynamics of the daily return on the S&P Composite Index, 1927-1987. This contrasts with results indicating that discrete-time, stochastic volatility models cannot explain these dynamics. For interest rates, a trivariate Yield-Factor Model is estimated from weekly, 1962-1995, Treasury rates. The Yield-Factor Model is sharply rejected, although extensions permitting convexities in the local variance come closer to fitting the data.