Access Statistics for George Tauchen

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects 0 0 0 223 0 1 1 562
A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects 0 0 0 132 0 2 2 431
A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation 0 0 0 1,293 0 1 6 3,229
Activity Signature Functions for High-Frequency Data Analysis 0 0 0 10 0 0 0 83
Alternative Models for Stock Price Dynamic 0 0 0 441 0 2 4 1,398
Alternative Models for Stock Price Dynamics 0 0 1 909 0 2 8 2,713
EMM: A Program for Efficient Method of Moments Estimation. Version 1.1. User's Guide 0 0 0 285 0 0 2 1,002
Efficient Method of Moments 0 1 5 669 0 3 13 1,778
Estimation of Continuous Time Models for Stock Returns and Interest Rates 0 0 0 40 0 1 2 771
Estimation of Stochastic Volatility Models with Diagnostics 0 0 0 38 0 2 2 670
Expected Stock Returns and Variance Risk Premia 0 0 0 354 0 0 0 860
Inverse Realized Laplace Transforms for Nonparametric Volatility Estimation in Jump-Diffusions 0 0 0 27 0 0 2 96
Levy Process Models for High Frequency Financial Data 0 1 3 114 0 2 5 320
Limit Theorems for Power Variations of Pure-Jump Processes with Application to Activity Estimation 0 0 0 12 0 1 1 58
New Minimum Chi-Square Methods in Empirical Finance 0 0 0 9 0 0 1 1,085
ON FITTING A RECALCITRANT SERIES: THE POUND/DOLLAR EXCHANGE RATE, 1974- 83 0 0 0 2 0 1 3 2,848
Pricing of the Time-Change Risks 0 0 0 2 0 0 0 36
Pricing of the Time-Change Risks 0 0 0 7 0 0 1 65
Rational Pessimism, Rational Exuberance, and Asset Pricing Models 0 0 0 108 0 1 2 429
Realized Laplace Transforms for Estimation of Jump Diffusive Volatility Models 0 0 0 9 0 1 1 67
Realized jumps on financial markets and predicting credit spreads 0 0 0 140 0 0 2 449
Regime-shifts, risk premiums in the term structure, and the business cycle 0 0 0 176 0 0 0 509
Reproducing Partial Observed Systems with Application to Interest Rate Diffusions 0 0 0 20 0 0 0 89
Reprojecting Partially Observed Systems with Application to Interest Rate Diffusions 0 0 0 0 0 0 1 320
Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability 0 0 0 179 0 0 2 484
Risk, Jumps, and Diversification 0 0 0 107 0 0 1 267
SEMINONPARAMETRIC ESTIMATION OF CONDITIONALLY CONSTRAINED HETEROGENEOUS PROCESSES: ASSET PRICING APPLICATIONS 0 0 0 0 1 1 3 457
SNP: A Program for Nonparametric Time Series Analysis. Version 8.4. User's Guide 0 0 0 262 0 0 1 1,094
Simulated Score Methods and Indirect Inference for Continuous-time Models 0 0 1 403 0 0 3 852
Specification Analysis of Continuous Time Models in Finance 0 0 0 17 1 1 1 388
The Fine Structure of Equity-Index Option Dynamics 0 0 0 45 0 0 1 114
The Objective Function of Simulation Estimators Near the Boundary of the Unstable Region of the Parameter Space 0 0 0 1 0 0 0 449
The Realized Laplace Transform of Volatility 0 0 0 19 0 0 1 76
Using Daily Range Data to Calibrate Volatility Diffusions and Extract the Forward Integrated Variance 0 0 0 266 0 2 2 911
Volatility Activity: Specification and Estimation 0 0 0 34 0 0 0 111
Volatility Jumps 1 1 1 46 1 3 4 191
Volatility in Equilibrium: Asymmetries and Dynamic Dependencies 0 0 0 21 0 0 0 150
Volatility in Equilibrium: Asymmetries and Dynamic Dependencies 0 0 0 203 0 0 1 405
Volatility in Equilibrium: Asymmetries and Dynamic Dependencies 0 0 0 7 0 0 0 115
Volume, Volatility and Leverage: A Dynamic Analysis 0 0 0 26 0 0 0 668
Which Moments to Match 0 0 0 10 0 1 2 1,216
Total Working Papers 1 3 11 6,666 3 28 81 27,816

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A discrete-time model for daily S & P500 returns and realized variations: Jumps and leverage effects 0 0 0 156 0 1 1 471
A note on the asymptotic lower bound for the covariance matrix of the GMM estimator of the parameters of agents' utility functions 0 0 0 14 0 2 2 60
Activity signature functions for high-frequency data analysis 0 0 0 40 0 0 0 166
Adaptive estimation of continuous-time regression models using high-frequency data 0 0 0 10 0 0 1 53
Alternative models for stock price dynamics 0 1 6 338 1 4 15 882
An Investigation of Transactions Data for NYSE Stocks: Discussion 0 0 0 47 0 0 0 126
Diagnostic testing and evaluation of maximum likelihood models 0 1 2 303 1 3 9 647
ESTIMATING THE VOLATILITY OCCUPATION TIME VIA REGULARIZED LAPLACE INVERSION 0 0 0 3 0 0 0 29
ESTIMATION OF CONTINUOUS-TIME MODELS FOR STOCK RETURNS AND INTEREST RATES 0 0 1 25 0 0 2 90
Estimation of stochastic volatility models with diagnostics 0 0 2 228 3 4 8 484
Expected Stock Returns and Variance Risk Premia 0 0 4 223 4 6 21 777
Finite state markov-chain approximations to univariate and vector autoregressions 0 5 26 1,541 13 45 122 2,905
Frontiers of financial econometrics and financial engineering 0 0 1 106 1 1 2 277
Guessing and the Error Structure of Learning Models 0 0 0 18 0 0 0 114
Inference theory for volatility functional dependencies 0 0 0 4 0 0 1 56
Introduction to: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference 0 0 0 5 0 0 0 24
Inverse Realized Laplace Transforms for Nonparametric Volatility Density Estimation in Jump-Diffusions 1 1 1 5 1 1 1 27
Jump Regressions 0 0 0 7 0 0 0 71
Leverage and Volatility Feedback Effects in High-Frequency Data 0 1 1 171 0 1 5 480
Mixed-scale jump regressions with bootstrap inference 0 0 1 11 0 1 4 86
Nonlinear Dynamic Structures 0 1 2 426 0 1 6 1,351
Nonparametric estimation of structural models for high-frequency currency market data 0 0 0 230 0 0 1 519
Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data 0 0 0 16 1 1 2 62
Notes on financial econometrics 0 0 0 156 0 0 3 363
Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment 0 0 0 0 0 0 0 189
Pricing of the time-change risks 0 0 0 10 0 1 2 55
Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models 1 1 2 1,097 2 3 13 2,333
Rational Pessimism, Rational Exuberance, and Asset Pricing Models 0 0 1 104 1 9 13 386
Realized Laplace transforms for estimation of jump diffusive volatility models 0 0 0 28 0 0 1 121
Realized jumps on financial markets and predicting credit spreads 0 0 1 114 1 2 9 358
Regime Shifts, Risk Premiums in the Term Structure, and the Business Cycle 0 0 0 76 0 0 2 230
Remarks on My Term at JBES 0 0 0 0 0 0 1 170
Risk and return: Long-run relations, fractional cointegration, and return predictability 0 0 0 58 0 1 6 265
Risk, jumps, and diversification 0 1 2 204 1 2 5 556
Robust Jump Regressions 0 0 0 2 0 0 0 28
Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications 0 0 2 216 2 3 5 514
Simulation Methods for Levy-Driven Continuous-Time Autoregressive Moving Average (CARMA) Stochastic Volatility Models 0 0 0 76 0 1 2 196
Solving the Stochastic Growth Model by Using Quadrature Methods and Value-Function Iterations 0 0 0 0 0 0 0 421
Some Evidence on Cross-Sector Effects of the Minimum Wage 0 0 0 19 0 0 1 104
Statistical Properties of Generalized Method-of-Moments Estimators of Structural Parameters Obtained from Financial Market Data 0 0 0 0 0 0 0 693
Statistical Properties of Generalized Method-of-Moments Estimators of Structural Parameters Obtained from Financial Market Data: Reply 0 0 0 0 0 2 2 354
Stochastic Volatility in General Equilibrium 0 0 0 7 0 0 0 35
Stock Prices and Volume 1 1 4 998 1 3 11 3,507
Testing Target-Zone Models Using Efficient Method of Moments 0 0 0 0 0 0 0 269
Testing Target-Zone Models Using Efficient Method of Moments: Reply 0 0 0 0 0 0 0 203
The Effect of Liquor Taxes on Heavy Drinking 2 3 9 508 2 4 15 2,598
The Effect of Minimum Drinking Age Legislation on Youthful Auto Fatalities, 1970-1977 0 0 1 98 2 2 5 253
The Objective Function Of Simulation Estimators Near The Boundary Of The Unstable Region Of The Parameter Space 0 0 0 25 0 1 2 284
The Price Variability-Volume Relationship on Speculative Markets 0 2 3 1,011 1 6 13 2,792
The Realized Laplace Transform of Volatility 0 0 0 13 0 1 1 142
The Relative Contribution of Jumps to Total Price Variance 1 1 9 200 2 3 19 576
The bias of tests for a risk premium in forward exchange rates 0 0 0 58 0 0 1 163
The fine structure of equity-index option dynamics 0 0 0 19 0 0 3 113
The relative efficiency of method of moments estimators1 0 0 1 16 0 0 2 84
Using Daily Range Data To Calibrate Volatility Diffusions And Extract The Forward Integrated Variance 0 1 4 169 0 1 18 627
Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution 0 0 0 169 0 0 1 401
Volatility Jumps 1 1 4 40 1 2 7 158
Volatility Jumps 0 0 1 22 0 1 3 129
Volatility activity: Specification and estimation 0 0 0 11 0 1 1 115
Volatility in Equilibrium: Asymmetries and Dynamic Dependencies 0 0 0 19 0 2 3 85
Volume, volatility, and leverage: A dynamic analysis 0 0 0 62 0 0 5 224
Which Moments to Match? 0 0 0 136 1 3 9 448
Total Journal Articles 7 21 91 9,668 42 125 387 30,299

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Statistics updated 2025-05-12