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 3 5 19 585
A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects 0 0 0 132 2 2 10 442
A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation 0 0 1 1,294 0 1 14 3,244
Activity Signature Functions for High-Frequency Data Analysis 0 0 0 10 2 2 13 97
Alternative Models for Stock Price Dynamic 0 0 0 441 1 3 25 1,424
Alternative Models for Stock Price Dynamics 0 0 0 909 2 2 23 2,738
EMM: A Program for Efficient Method of Moments Estimation. Version 1.1. User's Guide 0 0 0 285 0 0 5 1,007
Efficient Method of Moments 0 0 6 676 0 0 16 1,796
Estimation of Continuous Time Models for Stock Returns and Interest Rates 0 0 0 40 2 2 8 781
Estimation of Stochastic Volatility Models with Diagnostics 0 0 0 38 0 1 16 687
Expected Stock Returns and Variance Risk Premia 1 1 3 357 8 13 52 915
Inverse Realized Laplace Transforms for Nonparametric Volatility Estimation in Jump-Diffusions 0 0 0 27 0 1 13 109
Levy Process Models for High Frequency Financial Data 0 0 1 115 1 1 20 341
Limit Theorems for Power Variations of Pure-Jump Processes with Application to Activity Estimation 0 0 0 12 0 0 5 64
New Minimum Chi-Square Methods in Empirical Finance 0 0 0 9 0 0 9 1,094
ON FITTING A RECALCITRANT SERIES: THE POUND/DOLLAR EXCHANGE RATE, 1974- 83 0 0 0 2 0 0 6 2,854
Pricing of the Time-Change Risks 0 0 0 2 1 1 10 46
Pricing of the Time-Change Risks 0 0 0 7 0 0 10 77
Rational Pessimism, Rational Exuberance, and Asset Pricing Models 0 0 0 108 2 2 21 450
Realized Laplace Transforms for Estimation of Jump Diffusive Volatility Models 0 0 0 9 0 0 6 73
Realized jumps on financial markets and predicting credit spreads 0 0 0 140 1 1 10 460
Regime-shifts, risk premiums in the term structure, and the business cycle 0 0 0 176 0 1 15 524
Reproducing Partial Observed Systems with Application to Interest Rate Diffusions 0 0 0 20 0 1 13 103
Reprojecting Partially Observed Systems with Application to Interest Rate Diffusions 0 0 0 0 3 3 12 332
Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability 0 0 0 179 1 1 6 492
Risk, Jumps, and Diversification 0 0 0 107 1 1 12 279
SEMINONPARAMETRIC ESTIMATION OF CONDITIONALLY CONSTRAINED HETEROGENEOUS PROCESSES: ASSET PRICING APPLICATIONS 0 0 0 0 1 2 11 469
SNP: A Program for Nonparametric Time Series Analysis. Version 8.4. User's Guide 0 0 0 263 0 0 7 1,102
Simulated Score Methods and Indirect Inference for Continuous-time Models 0 0 0 403 0 1 11 864
Specification Analysis of Continuous Time Models in Finance 0 0 0 17 0 0 7 395
The Fine Structure of Equity-Index Option Dynamics 0 0 0 45 2 4 10 124
The Objective Function of Simulation Estimators Near the Boundary of the Unstable Region of the Parameter Space 0 0 0 1 2 2 7 456
The Realized Laplace Transform of Volatility 0 0 0 19 0 1 11 87
Using Daily Range Data to Calibrate Volatility Diffusions and Extract the Forward Integrated Variance 0 0 0 266 44 44 56 968
Volatility Activity: Specification and Estimation 0 0 0 34 2 2 12 123
Volatility Jumps 0 1 2 48 0 3 27 219
Volatility in Equilibrium: Asymmetries and Dynamic Dependencies 0 0 0 203 2 3 7 412
Volatility in Equilibrium: Asymmetries and Dynamic Dependencies 0 0 0 21 0 1 17 169
Volatility in Equilibrium: Asymmetries and Dynamic Dependencies 0 0 0 7 0 0 11 127
Volume, Volatility and Leverage: A Dynamic Analysis 0 0 0 26 1 1 5 673
Which Moments to Match 0 0 0 10 0 3 29 1,246
Total Working Papers 1 2 13 6,681 84 111 597 28,448

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 0 157 1 3 30 507
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 0 4 66
Activity signature functions for high-frequency data analysis 0 0 0 40 0 1 9 176
Adaptive estimation of continuous-time regression models using high-frequency data 0 0 1 11 0 1 7 62
Alternative models for stock price dynamics 0 0 2 341 0 1 36 919
An Investigation of Transactions Data for NYSE Stocks: Discussion 0 0 0 47 0 0 3 129
Diagnostic testing and evaluation of maximum likelihood models 0 0 1 306 0 2 12 663
ESTIMATING THE VOLATILITY OCCUPATION TIME VIA REGULARIZED LAPLACE INVERSION 0 0 0 3 0 1 6 35
ESTIMATION OF CONTINUOUS-TIME MODELS FOR STOCK RETURNS AND INTEREST RATES 0 0 2 28 0 0 10 101
Estimation of stochastic volatility models with diagnostics 0 0 0 229 0 0 13 501
Expected Stock Returns and Variance Risk Premia 2 3 14 239 29 61 170 961
Finite state markov-chain approximations to univariate and vector autoregressions 0 0 6 1,552 0 3 49 2,998
Frontiers of financial econometrics and financial engineering 0 0 0 106 0 0 5 282
Guessing and the Error Structure of Learning Models 0 0 0 18 0 0 4 118
Inference theory for volatility functional dependencies 0 0 0 4 0 0 10 69
Introduction to: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference 0 0 0 5 0 1 7 31
Inverse Realized Laplace Transforms for Nonparametric Volatility Density Estimation in Jump-Diffusions 0 0 0 5 0 0 7 34
Jump Regressions 0 0 0 8 0 2 11 85
Leverage and Volatility Feedback Effects in High-Frequency Data 0 0 1 174 0 1 11 496
Mixed-scale jump regressions with bootstrap inference 0 0 0 11 0 3 9 96
Nonlinear Dynamic Structures 0 0 1 427 0 1 15 1,367
Nonparametric estimation of structural models for high-frequency currency market data 0 0 0 230 0 0 14 535
Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data 0 0 0 16 1 2 7 69
Notes on financial econometrics 0 0 1 157 0 0 7 371
Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment 0 0 0 0 0 0 8 197
Pricing of the time-change risks 0 0 0 10 0 1 13 70
Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models 0 0 0 1,097 0 1 41 2,377
Rational Pessimism, Rational Exuberance, and Asset Pricing Models 0 0 1 105 2 3 22 410
Realized Laplace transforms for estimation of jump diffusive volatility models 0 1 1 30 1 4 16 139
Realized jumps on financial markets and predicting credit spreads 0 0 0 114 1 3 27 386
Regime Shifts, Risk Premiums in the Term Structure, and the Business Cycle 0 0 0 76 1 2 13 243
Remarks on My Term at JBES 0 0 0 0 0 0 6 177
Risk and return: Long-run relations, fractional cointegration, and return predictability 0 0 0 58 0 0 7 273
Risk, jumps, and diversification 0 0 3 207 1 4 15 572
Robust Jump Regressions 0 0 0 2 0 0 5 33
Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications 0 0 1 217 0 1 15 529
Simulation Methods for Levy-Driven Continuous-Time Autoregressive Moving Average (CARMA) Stochastic Volatility Models 0 0 0 76 0 0 7 203
Solving the Stochastic Growth Model by Using Quadrature Methods and Value-Function Iterations 0 0 0 0 0 0 8 429
Some Evidence on Cross-Sector Effects of the Minimum Wage 0 0 0 19 0 0 9 114
Statistical Properties of Generalized Method-of-Moments Estimators of Structural Parameters Obtained from Financial Market Data 0 0 0 0 0 1 14 709
Statistical Properties of Generalized Method-of-Moments Estimators of Structural Parameters Obtained from Financial Market Data: Reply 0 0 0 0 0 1 6 360
Stochastic Volatility in General Equilibrium 0 0 0 7 0 0 2 37
Stock Prices and Volume 0 0 2 1,001 5 6 24 3,536
Testing Target-Zone Models Using Efficient Method of Moments 0 0 0 0 0 1 7 277
Testing Target-Zone Models Using Efficient Method of Moments: Reply 0 0 0 0 0 2 7 211
The Effect of Liquor Taxes on Heavy Drinking 0 0 1 510 0 0 18 2,618
The Effect of Minimum Drinking Age Legislation on Youthful Auto Fatalities, 1970-1977 0 0 1 99 0 1 10 264
The Objective Function Of Simulation Estimators Near The Boundary Of The Unstable Region Of The Parameter Space 0 0 0 25 0 2 8 293
The Price Variability-Volume Relationship on Speculative Markets 0 0 1 1,012 8 10 36 2,835
The Realized Laplace Transform of Volatility 0 0 0 13 1 2 10 152
The Relative Contribution of Jumps to Total Price Variance 0 1 2 203 2 6 24 603
The bias of tests for a risk premium in forward exchange rates 0 0 0 58 0 0 7 170
The fine structure of equity-index option dynamics 0 0 0 19 2 3 12 128
The relative efficiency of method of moments estimators1 0 0 0 16 0 1 10 95
Using Daily Range Data To Calibrate Volatility Diffusions And Extract The Forward Integrated Variance 0 0 0 169 0 1 9 637
Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution 0 0 0 169 0 0 3 404
Volatility Jumps 0 0 2 43 1 3 28 191
Volatility Jumps 0 0 2 24 1 1 17 146
Volatility activity: Specification and estimation 0 0 0 11 0 0 9 124
Volatility in Equilibrium: Asymmetries and Dynamic Dependencies 0 0 0 19 0 0 12 98
Volume, volatility, and leverage: A dynamic analysis 0 0 0 64 0 1 9 236
Which Moments to Match? 1 1 2 138 1 5 37 488
Total Journal Articles 3 6 48 9,739 58 149 987 31,435

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Statistics updated 2026-09-10