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Books
- Nonparametric and Semiparametric Methods in Econometrics and Statistics,
in Proceedings of the Fifth International Symposium in Economic Theory and Econometrics, edited by Barnett, WA; Powell, J; Tauchen, GE
(1991), Cambridge University Press [abs]
Journal Articles
- Salemi, MK; Tauchen, GE, Guessing and the Error Structure of Learning Models.,
American Economic Review, vol. 70 no. 2
(May, 1980),
pp. 41-46, ISSN 0002-8282 [Gateway.cgi]
- Tauchen, GE, Some Evidence on Cross-Sector Effects of the Minimum Wage,
Journal of Political Economy, vol. 89 no. 3
(June, 1981),
pp. 529-547, University of Chicago Press, ISSN 0022-3808 [Gateway.cgi], [doi]
- Cook, PJ; Tauchen, G, The Effect of Liquor Taxes on Heavy Drinking,
The Bell Journal of Economics, vol. 13 no. 2
(1982),
pp. 379-379, JSTOR, ISSN 0361-915X [Gateway.cgi], [doi]
- Salemi, MK; Tauchen, GE, Estimation of nonlinear learning models,
Journal of the American Statistical Association, vol. 77 no. 380
(January, 1982),
pp. 725-731, Informa UK Limited, ISSN 0162-1459 [Gateway.cgi], [doi] [abs]
- Tauchen, GE; Pitts, M, The Price Variability-Volume Relationship on Speculative Markets,
Econometrica, vol. 51 no. 2
(March, 1983),
pp. 485-485, JSTOR, ISSN 0012-9682 [Gateway.cgi], [doi]
- Cook, PJ; Tauchen, G, The Effect of Minimum Drinking Age Legislation on Youthful Auto Fatalities, 1970-1977,
The Journal of Legal Studies, vol. 13 no. 1
(January, 1984),
pp. 169-190, University of Chicago Press, ISSN 0047-2530 [Gateway.cgi], [doi]
- Tauchen, G, Diagnostic testing and evaluation of maximum likelihood models,
Journal of Econometrics, vol. 30 no. 1-2
(January, 1985),
pp. 415-443, Elsevier BV, ISSN 0304-4076 (Presented at the Conference on New Methods
in Econometrics, Austin Texas, May 1984.) [repository], [doi] [abs]
- TAUCHEN, G, DISCUSSION,
The Journal of Finance, vol. 40 no. 3
(January, 1985),
pp. 739-741, WILEY, ISSN 0022-1082 [doi]
- Tauchen, G, Comment on Wood, McInish, and Ord,
Journal of Finance
(July, 1985)
- Tauchen, GE, Statistical Properties of Generalized Method-of-Moments Estimators of Structural Parameters Obtained from Financial Market Data
(1986), Journal of Business & Economic Statistics [abs]
- Tauchen, G, Finite state markov-chain approximations to univariate and vector autoregressions,
Economics Letters, vol. 20 no. 2
(January, 1986),
pp. 177-181, Elsevier BV, ISSN 0165-1765 [doi] [abs]
- Tauchen, G, 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
(January, 1986),
pp. 151-155, Elsevier BV, ISSN 0165-1765 [doi] [abs]
- Tauchen, G, Reply,
Journal of Business & Economic Statistics, vol. 4 no. 4
(January, 1986),
pp. 423-425, Informa UK Limited [doi]
- Tauchen, G, "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.)
- Gallant, AR; Tauchen, G, Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications,
Econometrica, vol. 57 no. 5
(September, 1989),
pp. 1091-1091, JSTOR, ISSN 0012-9682 [Gateway.cgi], [doi]
- Tauchen, G; Gallant, AR; Hansen, LP, "Using Conditional Moments of Asset Returns to Infer the Volatility of Intertemporal Marginal Rates of Substitution",
Journal of Econometrics, vol. 45 no. 112
(1990),
pp. 141-180
- Gallant, AR; Hansen, LP; Tauchen, G, Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution,
Journal of Econometrics, vol. 45 no. 1-2
(January, 1990),
pp. 141-179, Elsevier BV, ISSN 0304-4076 [doi] [abs]
- Tauchen, G, 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),
pp. 49-51, Informa UK Limited [repository], [doi] [abs]
- Tauchen, G; Hussey, R, Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models,
Econometrica, vol. 59 no. 2
(March, 1991),
pp. 371-396 [repository]
- Gallant, AR; Rossi, PE; Tauchen, G, Stock Prices and Volume,
Review of Financial Studies, vol. 5 no. 2
(April, 1992),
pp. 199-242, Oxford University Press (OUP), ISSN 0893-9454 [Gateway.cgi], [doi]
- Bansal, GTWR; Hussey, R; Gallant, AR; Tauchen G,, "A Nonparametric Simulation Estimator for Nonlinear Structural Models",
Computational Economics and Econometrics
(1993)
- Tauchen, G, Editor’s report,
Journal of Business & Economic Statistics, vol. 11 no. 4
(January, 1993),
pp. 367, Informa UK Limited [doi]
- Tauchen, G, Remarks on my term at JBES,
Journal of Business & Economic Statistics, vol. 11 no. 4
(January, 1993),
pp. 428-431, Informa UK Limited [doi]
- Tauchen, G, The journal of business & economic statistics: The first 10 years and a look ahead,
Journal of Business & Economic Statistics, vol. 11 no. 4
(January, 1993),
pp. 425, Informa UK Limited [doi]
- Gallant, AR; Rossi, PE; Tauchen, G, Nonlinear Dynamic Structures,
Econometrica, vol. 61 no. 4
(July, 1993),
pp. 871-871, JSTOR, ISSN 0012-9682 [Gateway.cgi], [doi]
- Tauchen, G, Editor’s report,
Journal of Business & Economic Statistics, vol. 12 no. 4
(January, 1994),
pp. 369, Informa UK Limited [doi]
- Tauchen, G, News Notes,
Econometric Reviews, vol. 13 no. 3
(January, 1994),
pp. V-vI, Informa UK Limited [doi]
- Bansal, R; Gallant, AR; Hussey, R; Tauchen, G, Nonparametric estimation of structural models for high-frequency currency market data,
Journal of Econometrics, vol. 66 no. 1-2
(January, 1995),
pp. 251-287, Elsevier BV, ISSN 0304-4076 [repository], [doi] [abs]
- Tauchen, G; Zhang, H; Liu, M, Volume, volatility, and leverage: A dynamic analysis,
Journal of Econometrics, vol. 74 no. 1
(January, 1996),
pp. 177-208, Elsevier BV [repository], [doi] [abs]
- Ronald Gallant, A; Tauchen, G, Which moments to match?,
Econometric Theory, vol. 12 no. 4
(January, 1996),
pp. 657-681, Cambridge University Press (CUP) [repository], [doi] [abs]
- Gallant, AR; Hsiehb, D; Tauchen, G, Estimation of stochastic volatility models with diagnostics,
Journal of Econometrics, vol. 81 no. 1
(January, 1997),
pp. 159-192, Elsevier BV [repository], [doi] [abs]
- 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] [abs]
- Tauchen, G, The objective function of simulation estimators near the boundary of the unstable region of the parameter space,
Review of Economics and Statistics, vol. 80 no. 3
(1998),
pp. 389-398 [repository] [abs]
- Gallant, AR; Tauchen, G, Reprojecting partially observed systems with application to interest rate diffusions,
Journal of the American Statistical Association, vol. 93 no. 441
(March, 1998),
pp. 10-24, Informa UK Limited [doi] [abs]
- Tauchen, G, "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. 389-398, MIT Press - Journals [DukeSpace], [doi] [abs]
- G. Tauchen, Efficient Estimation of Multivariate Diffusions with Applications from Finance,
in Bulletin of the International Statistical Association, 1999
(1999)
- Gallant, AR; Tauchen, G, The relative efficiency of method of moments estimators,
Journal of Econometrics, vol. 92 no. 1
(January, 1999),
pp. 149-172, Elsevier BV [repository], [doi] [abs]
- Gallant, AR; Hsu, CT; Tauchen, G, Using daily range data to calibrate volatility diffusions and extract the forward integrated variance,
The Review of Economics and Statistics, vol. 81 no. 4
(January, 1999),
pp. 617-631, MIT Press - Journals [repository], [doi] [abs]
- Chernov, M; Gallant, AR; Ghysels, E; Tauchen, G, A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation
(October, 1999) (under revision.)
- Tauchen, G, Notes on financial econometrics,
Journal of Econometrics, vol. 100 no. 1
(January, 2001),
pp. 57-64, Elsevier BV [repository], [doi] [abs]
- Chung, CS; Tauchen, G, Testing target-zone models using efficient method of moments,
Journal of Business & Economic Statistics, vol. 19 no. 3
(January, 2001),
pp. 255-277, Informa UK Limited (2000 Invited Address of the Journal of
Business and Economic Statistics, delivered
at the Annual Meeting of the Amercian
Statistical Association.) [doi] [abs]
- Tauchen, G, The bias of tests for a risk premium in forward exchange rates,
Journal of Empirical Finance, vol. 8 no. 5
(December, 2001),
pp. 695-704, Elsevier BV [doi] [abs]
- Tauchen, G, Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment,
Journal of Business and Economic Statistics, vol. 20 no. 3
(2002),
pp. 331-332
- Tauchen, G; Durham, GB; Gallant, AR, Comment [6] (multiple letters),
Journal of Business & Economic Statistics, vol. 20 no. 3
(January, 2002),
pp. 331-332+335+337
- Ghysels, E; Tauchen, G, Frontiers of financial econometrics and financial engineering,
Journal of Econometrics, vol. 116 no. 1-2
(January, 2003),
pp. 1-7, Elsevier BV [repository], [doi] [abs]
- Chernov, M; Gallant, AR; Ghysels, E; Tauchen, G, Alternative models for stock price dynamics,
Journal of Econometrics, vol. 116 no. 1-2
(September, 2003),
pp. 225-257, Elsevier BV [repository], [doi] [abs]
- Bansal, R; Tauchen, G; Zhou, H, Regime shifts, risk premiums in the term structure, and the business cycle,
Journal of Business & Economic Statistics, vol. 22 no. 4
(October, 2004),
pp. 396-409, Informa UK Limited [doi] [abs]
- Huang, X; Tauchen, G, 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], [doi] [abs]
- Bollerslev, T; Litvinova, J; Tauchen, G, Leverage and volatility feedback effects in high-frequency data,
Journal of Financial Econometrics, vol. 4 no. 3
(June, 2006),
pp. 353-384, Oxford University Press (OUP), ISSN 1479-8409 [doi] [abs]
- Todorov, V; Tauchen, G, Simulation methods for Lévy-driven continuous-time autoregressive moving average (CARMA) stochastic volatility models,
Journal of Business & Economic Statistics, vol. 24 no. 4
(October, 2006),
pp. 455-469, Informa UK Limited, ISSN 0735-0015 [doi] [abs]
- Bansal, R; Gallant, AR; Tauchen, G, Rational pessimism, rational exuberance, and asset pricing models,
Review of Economic Studies, vol. 74 no. 4
(Fall, 2007),
pp. 1005-1033, Oxford University Press (OUP), ISSN 0034-6527 [doi] [abs]
- Bollerslev, T; Law, TH; Tauchen, G, Risk, jumps, and diversification,
Journal of Econometrics, vol. 144 no. 1
(May, 2008),
pp. 234-256, Elsevier BV, ISSN 0304-4076 [doi] [abs]
- Bollerslev, T; Kretschmer, U; Pigorsch, C; Tauchen, G, A discrete-time model for daily S & P500 returns and realized variations: Jumps and leverage effects,
Journal of Econometrics, vol. 150 no. 2
(June, 2009),
pp. 151-166, Elsevier BV, ISSN 0304-4076 [pdf], [doi] [abs]
- Bollerslev, T; Tauchen, G; Zhou, H, Expected stock returns and variance risk premia,
Review of Financial Studies, vol. 22 no. 11
(November, 2009),
pp. 4463-4492, Oxford University Press (OUP), ISSN 0893-9454 [doi] [abs]
- Todorov, V; Tauchen, G, Activity signature functions for high-frequency data analysis,
Journal of Econometrics, vol. 154 no. 2
(February, 2010),
pp. 125-138, Elsevier BV, ISSN 0304-4076 [pdf], [doi] [abs]
- Gallant, AR; Tauchen, G, Simulated Score Methods and Indirect Inference for Continuous-time Models,
in Handbook of Financial Econometrics, vol. 1 no. 1
(December, 2010),
pp. 427-477, Elsevier [doi] [abs]
- Todorov, V; Tauchen, G, Limit theorems for power variations of pure-jump processes with application to activity estimation,
The Annals of Applied Probability, vol. 21 no. 2
(2011),
pp. 546-588, Institute of Mathematical Statistics, ISSN 1050-5164 [doi] [abs]
- Todorov, V; Tauchen, G, Volatility jumps,
Journal of Business & Economic Statistics, vol. 29 no. 3
(2011),
pp. 356-371, Informa UK Limited, ISSN 0735-0015 [doi] [abs]
- Tauchen, G; Shaliastovich, I, Pricing Time Deformation Risk, Volatility Risk, and Levy Jump-Type Risk,
Journal of Economic Dynamics and Control, vol. 35 no. 6
(2011) [pdf]
- G. Tauchen and V. Todorov, Limit Theorems for Power Variations with Application to Activity Estimation,
Annals of Probability, vol. 21 no. 2
(2011)
- Tauchen, G; Zhou, H, Realized jumps on financial markets and predicting credit spreads,
Journal of Econometrics, vol. 160 no. 1
(January, 2011),
pp. 102-118, Elsevier BV, ISSN 0304-4076 [doi] [abs]
- Shaliastovich, I; Tauchen, G, Pricing of the time-change risks,
Journal of Economic Dynamics and Control, vol. 35 no. 6
(June, 2011),
pp. 843-858, Elsevier BV, ISSN 0165-1889 [doi] [abs]
- Todorov, V; Tauchen, G; Grynkiv, I, Realized Laplace transforms for estimation of jump diffusive volatility models,
Journal of Econometrics, vol. 164 no. 2
(October, 2011),
pp. 367-381, Elsevier BV, ISSN 0304-4076 [doi] [abs]
- Todorov, V; Tauchen, G, Realized laplace transforms for pure-jump semimartingales,
The Annals of Statistics, vol. 40 no. 2
(2012),
pp. 1233-1262, Institute of Mathematical Statistics, ISSN 0090-5364 [doi] [abs]
- Todorov, V; Tauchen, G, Inverse realized laplace transforms for nonparametric volatility density estimation in jump-diffusions,
Journal of the American Statistical Association, vol. 107 no. 498
(2012),
pp. 622-635, Informa UK Limited, ISSN 0162-1459 [doi] [abs]
- Tauchen, G, Stochastic Volatility in General Equilibrium,
Quarterly Journal of Finance, Forthcoming, vol. 1 no. 4
(2012),
pp. 707-731 [repository], [doi] [abs]
- Bollerslev, T; Sizova, N; Tauchen, G, Volatility in equilibrium: Asymmetries and dynamic dependencies,
Review of Finance, vol. 16 no. 1
(2012),
pp. 31-80, Oxford University Press (OUP), ISSN 1572-3097 [doi] [abs]
- Todorov, V; Tauchen, G, The Realized Laplace Transform of Volatility,
Econometrica, vol. 80 no. 3
(2012),
pp. 1105-1127, The Econometric Society, ISSN 0012-9682 [doi] [abs]
- Li, J; Todorov, V; Tauchen, G, Volatility occupation times,
The Annals of Statistics, vol. 41 no. 4
(2013),
pp. 1865-1891, Institute of Mathematical Statistics, ISSN 0090-5364 [doi] [abs]
- Todorov, V; Tauchen, G, Limit theorems for the empirical distribution function of scaled increments of itô semimartingales at high frequencies,
The Annals of Applied Probability, vol. 24 no. 5
(January, 2014),
pp. 1850-1888, Institute of Mathematical Statistics, ISSN 1050-5164 [doi] [abs]
- Todorov, V; Tauchen, G; Grynkiv, I, Volatility activity: Specification and estimation,
Journal of Econometrics, vol. 178 no. PART 1
(January, 2014),
pp. 180-193, ISSN 0304-4076 [doi] [abs]
- Andersen, TG; Bondarenko, O; Todorov, V; Tauchen, G, The fine structure of equity-index option dynamics,
Journal of Econometrics, vol. 187 no. 2
(August, 2015),
pp. 532-546, Elsevier BV, ISSN 0304-4076 [doi] [abs]
- Reiß, M; Todorov, V; Tauchen, G, Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data,
Stochastic Processes and Their Applications, vol. 125 no. 8
(August, 2015),
pp. 2955-2988, Elsevier BV, ISSN 0304-4149 [doi] [abs]
- Tauchen, GE; Davies, R, Data-Driven Jump Detection Thresholds for Application in Jump Regressions,
Economic Research Initiatives at Duke (ERID), vol. 6 no. 213
(September, 2015),
pp. 35 pages, MDPI AG [doi] [abs]
- Ghysels, E; Tauchen, G, Introduction to: Reflections on the probability space induced by moment conditions with implications for Bayesian inference,
Journal of Financial Econometrics, vol. 14 no. 2
(March, 2016),
pp. 227-228, Oxford University Press (OUP) [doi]
- Li, J; Todorov, V; Tauchen, G, Inference theory for volatility functional dependencies,
Journal of Econometrics, vol. 193 no. 1
(July, 2016),
pp. 17-34, Elsevier BV [doi] [abs]
- Li, J; Todorov, V; Tauchen, G, ESTIMATING THE VOLATILITY OCCUPATION TIME VIA REGULARIZED LAPLACE INVERSION,
Econometric Theory, vol. 32 no. 5
(October, 2016),
pp. 1253-1288, Cambridge University Press (CUP), ISSN 0266-4666 [doi] [abs]
- Tauchen, GE; Li, J; Todorov, V, Jump Regressions,
Econometrica, vol. Forthcoming no. 1
(January, 2017),
pp. 173-195, Econometric Society: Econometrica [doi] [abs]
- Tauchen, GE, Robust Jump Regressions,
Journal of the American Statistical Association, vol. 112 no. 517
(January, 2017),
pp. 332-341, Informa UK Limited [repository], [doi] [abs]
- Li, J; Todorov, V; Tauchen, G, Adaptive estimation of continuous-time regression models using high-frequency data,
Journal of Econometrics, vol. 200 no. 1
(September, 2017),
pp. 36-47, Elsevier BV [doi] [abs]
- Li, J; Todorov, V; Tauchen, G; Chen, R, Mixed-scale jump regressions with bootstrap inference,
Journal of Econometrics, vol. 201 no. 2
(December, 2017),
pp. 417-432 [doi] [abs]
- 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]
- 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]
- 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]
- 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]
- Tauchen, G, New directions in nonlinear structural estimation: Bayes and Frequentist,
Journal of Econometrics, vol. 228 no. 1
(May, 2022),
pp. 1-3 [doi]
- 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]
Chapters in Books
- 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
- 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
- G. Tauchen, "Comments on Cinar, Abowd and Zellner, and Nestel",
Proceedings of the 1983 Meetings of the American Statistical Assocation: Business and Economics
(1983)
- 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
- Hsieh, DA; Gallant, AR; Tauchen, G, On Fitting a Recalcitrant Series: the Pound/Dollar Exchange Rate,
in Nonparametric and Semiparametric Methods in Econometrics and and Statistics, Proceedings of the Fifth International Symposium in Econmic Theory and Econometrics, edited by Barnett, WA; Powell, J; Tauchen, G
(1991),
pp. 199-240, Cambridge University Press, ISBN 0521370906
- 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
- Gallant, AR; Tauchen, G, Specification Analysis of Continuous Time Models in Finance,
in Modeling Stock Market Volatility: Bridging the Gap to Continuous Time, edited by Peter E. Rossi
(October, 1995),
pp. 357-383, Academic Press [repository] [abs]
- Tauchen, G, New Minimum Chi-Square Methods in Empirical Finance
(April, 1996) [repository] [abs]
- 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.)
- Continuous-Time Methods and Market Microstructure,
in International Library of Financial Econometrics, vol. 4
(2007),
pp. 95-97
- Bollerslev, T; Sizova, N; Tauchen, G, Volatility in Equilibrium: Asymmetries and Dynamic Dependencies
(2009) [abs]
- Bollerslev, T; Tauchen, G; Sizova, N, Volatility in Equilibrium: Asymmetries and Dynamic Dependencies
(August, 2009) [abs]
Working Papers
- G. Tauchen, Recent Developments in Stochastic Volatility: Statistical Modelling and General Equilibrium Analysis
(Summer, 2004)
- G. Tauchen with A. R. Gallant, SNP: A Program for Nonparametric Time Series Analysis
(Summer, 2004) [htm]
- G. Tauchen, Stochastic Volatility in General Equilibrium
(Summer, 2005)
- G. Tauchen , T. Bolerslev, N. Sizova, and D. Osterrieder, Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability,
(submitted)
(2011)
Other
- G. Tauchen, "An Appraisal of the Precision of Box-Jenkins Intervention Analysis"
(October, 1982) (Working Paper.)
- G. Tauchen with A. R. Gallant, EMM: A Program for Efficient Method of Moments
(Summer, 2012) [htm]
- G. Tauchen, SNP: A Program for Seminonparametric Estimation
(2012-1) (Software suite managed by Gallant and Tauchen, public domain..)
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