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Research Interests for George E. Tauchen

Research Interests: Econometrics, Financial Economics

Professor Tauchen's research areas are financial economics and time series econometrics. He is a fellow of the Econometric Society, the American Statistical Association, and the Journal of Econometrics. He has published numerous articles in the areas of econometrics and financial economics. Professor Tauchen presents his research findings internationally in such cities as Buenos Aires, Taipei, Helsinki, Sydney, Paris, Madrid, Vienna, Tokyo, Chile, and London. He regularly gives research seminars at major research universities and institutions world-wide.

Areas of Interest:

Financial Economics

Recent Publications
  1. Zhang, C; Li, J; Todorov, V; Tauchen, G, Variation and efficiency of high-frequency betas, Journal of Econometrics (January, 2020) [doi[abs]
  2. 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]
  3. 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]
  4. Ronald Gallant, A; Tauchen, G, Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale, Journal of Econometrics, vol. 205 no. 1 (July, 2018), pp. 140-155, Elsevier BV [doi[abs]
  5. Davies, R; Tauchen, G, Data-driven jump detection thresholds for application in jump regressions, Econometrics, vol. 6 no. 2 (June, 2018), pp. 16-16, MDPI AG [doi[abs]

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