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Tauchen, George


 SSRN Author Rank: 1,254 by Downloads
 Professor
 

Duke University - Economics Group


 Box 90097
 221 Social Sciences
 Durham, NC 27708-0097
 United States
 919-660-1812 (Phone)
 919-684-8974 (Fax)
 email address

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. Tauchen, George's Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
14,900
Total
Citations
848
Authors Date Downloads
 (Rank)
Citations
ACTIONS:    Email Selected Abstracts    Export Selected Bibliographic Info    VIEW: Selected      Original List     All Versions       All Abstracts       Legend
1.   Incl. Electronic Paper
Bollerslev, Tim
Duke University - Finance
Tauchen, George
Duke University - Economics Group
Zhou, Hao
Tsinghua University - PBC School of Finance
Posted:
21 Sep 06
Last Revised:
14 Dec 08
2,577
(2,160)
140

2.  
Chernov, Mikhail
UCLA Anderson
Gallant, A. Ronald
Duke University - Fuqua School of Business, Economics Group
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Tauchen, George
Duke University - Economics Group
Posted:
07 Nov 99
2,200
(3,365)
15

3.  
Gallant, A. Ronald
Duke University - Fuqua School of Business, Economics Group
Tauchen, George
Duke University - Economics Group
Posted:
13 Mar 98
981
(13,070)
128

4.  
Tauchen, George
Duke University - Economics Group
Liu, Ming
Duke University
Zhang, Harold H.
University of Texas at Dallas - Naveen Jindal School of Management
Posted:
12 May 97
906
(14,741)
17

5.  
Chernov, Mikhail
UCLA Anderson
Gallant, A. Ronald
Duke University - Fuqua School of Business, Economics Group
Ghysels, Eric
University of North Carolina Kenan-Flagler Business School
Tauchen, George
Duke University - Economics Group
Posted:
31 Jan 01
855
(16,187)
12

6.  
Realized Jumps on Financial Markets and Predicting Credit Spreads | Show Abstract | Download This Paper | Open PDF in Browser |
FEDS Working Paper No. 2006-35, Journal of Econometrics, Forthcoming, Economic Research Initiatives at Duke (ERID) Working Paper No. 7, AFA 2008 New Orleans Meetings Paper
Number of Pages in PDF File: 44
Tauchen, George
Duke University - Economics Group
Zhou, Hao
Tsinghua University - PBC School of Finance
Posted:
23 Mar 07
Last Revised:
25 Sep 08
829
(16,953)
30

7.   Incl. Electronic Paper
Bollerslev, Tim
Duke University - Finance
Litvinova, Julia
Brattle Group
Tauchen, George
Duke University - Economics Group
Posted:
18 Aug 05
Last Revised:
29 Jul 10
674
(22,800)
30

8.  
Gallant, A. Ronald
Duke University - Fuqua School of Business, Economics Group
Tauchen, George
Duke University - Economics Group
Posted:
12 May 97
629
(25,096)
14

9.   Incl. Electronic Paper
Bollerslev, Tim
Duke University - Finance
Sizova, Natalia
Rice University
Tauchen, George
Duke University - Economics Group
Posted:
22 Feb 09
Last Revised:
07 Oct 10
460
(38,108)
14

10.  
Gallant, A. Ronald
Duke University - Fuqua School of Business, Economics Group
Hsieh, David A.
Duke University - Fuqua School of Business
Tauchen, George
Duke University - Economics Group
Posted:
27 Nov 97
447
(39,493)
42

11.  
Gallant, A. Ronald
Duke University - Fuqua School of Business, Economics Group
Tauchen, George
Duke University - Economics Group
Posted:
18 Nov 97
419
(42,828)
2

12.  
Bollerslev, Tim
Duke University - Finance
Kretschmer, Uta
University of Bonn, Department of Economics
Pigorsch, Christian
Ludwig-Maximilians-Universität München - Department of Statistics
Tauchen, George
Duke University - Economics Group
Posted:
24 Aug 05
418
(42,961)
31

13.   Incl. Electronic Paper
Bansal, Ravi
Duke University and NBER
Tauchen, George
Duke University - Economics Group
Zhou, Hao
Tsinghua University - PBC School of Finance
Posted:
26 Jun 03
Last Revised:
18 Jul 08
412
(43,757)
28

14.   Incl. Electronic Paper
Huang, Xin
University of Oklahoma
Tauchen, George
Duke University - Economics Group
Posted:
24 Aug 05
Last Revised:
29 Jul 10
379
(48,433)
107

15.  
Tauchen, George
Duke University - Economics Group
Posted:
13 Mar 98
348
(53,745)
21

16.  
Gallant, A. Ronald
Duke University - Fuqua School of Business, Economics Group
Hsu, Chien-Te
Credit Suisse Asset Management
Tauchen, George
Duke University - Economics Group
Posted:
06 Nov 00
346
(54,117)
52

17.  
Volatility Jumps | Show Abstract | Download This Paper | Open PDF in Browser |
Economic Research Initiatives at Duke (ERID) Working Paper No. 3
Number of Pages in PDF File: 26
Todorov, Viktor
Northwestern University
Tauchen, George
Duke University - Economics Group
Posted:
31 Jul 08
296
(64,785)
26

18.  
Tauchen, George
Duke University - Economics Group
Todorov, Viktor
Duke University
Posted:
24 Aug 05
291
(66,037)
6

19.  
Tauchen, George
Duke University - Economics Group
Posted:
24 Aug 05
228
(85,828)
30

20.   Incl. Electronic Paper
Tauchen, George
Duke University - Economics Group
Shaliastovich, Ivan
University of Pennsylvania - Finance Department
Posted:
01 Aug 08
Last Revised:
13 Dec 11
170
(113,973)
2

21.  
A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects | Show Abstract | Download This Paper | Open PDF in Browser |
Economic Research Initiatives at Duke (ERID) Working Paper No. 6
Number of Pages in PDF File: 49
Bollerslev, Tim
Duke University - Finance
Kretschmer, Uta
University of Bonn, Department of Economics
Pigorsch, Christian
Ludwig-Maximilians-Universität München - Department of Statistics
Tauchen, George
Duke University - Economics Group
Posted:
23 Jun 08
157
(122,324)
29

22.  
Risk, Jumps, and Diversification | Show Abstract | Download This Paper | Open PDF in Browser |
CREATES Research Paper 2007-19
Number of Pages in PDF File: 48
Bollerslev, Tim
Duke University - Finance
Law, Tzuo Hann
affiliation not provided to SSRN
Tauchen, George
Duke University - Economics Group
Posted:
23 Jun 08
153
(125,064)
27

23.  
The Fine Structure of Equity-Index Option Dynamics | Show Abstract | Download This Paper | Open PDF in Browser |
Journal of Econometrics, Forthcoming
Number of Pages in PDF File: 33
Andersen, Torben G.
Northwestern University - Kellogg School of Management
Bondarenko, Oleg
University of Illinois at Chicago - Department of Finance
Todorov, Viktor
Northwestern University
Tauchen, George
Duke University - Economics Group
Posted:
08 Nov 13
Last Revised:
04 Aug 14
152
(125,758)
 

24.  
Volatility Activity: Specification and Estimation | Show Abstract | Download This Paper | Open PDF in Browser |
Economic Research Initiatives at Duke (ERID) Working Paper No. 114
Number of Pages in PDF File: 32
Todorov, Viktor
Northwestern University
Tauchen, George
Duke University - Economics Group
Grynkiv, Iaryna
Duke University
Posted:
13 Oct 11
144
(131,627)
 

25.  
Activity Signature Functions for High-Frequency Data Analysis | Show Abstract | Download This Paper | Open PDF in Browser |
Economic Research Initiatives at Duke (ERID) Working Paper No. 2
Number of Pages in PDF File: 30
Tauchen, George
Duke University - Economics Group
Todorov, Viktor
Northwestern University
Posted:
30 Jul 08
142
(133,206)
11

26.  
The Realized Laplace Transform of Volatility | Show Abstract | Download This Paper | Open PDF in Browser |
Economic Research Initiatives at Duke (ERID) Working Paper No. 72
Number of Pages in PDF File: 21
Tauchen, George
Duke University - Economics Group
Todorov, Viktor
Northwestern University
Posted:
09 Oct 10
Last Revised:
21 Jul 11
98
(176,487)
4

27.  
Inverse Realized Laplace Transforms for Nonparametric Volatility Estimation in Jump-Diffusions | Show Abstract | Download This Paper | Open PDF in Browser |
Economic Research Initiatives at Duke (ERID) Working Paper No. 112
Number of Pages in PDF File: 31
Todorov, Viktor
Northwestern University
Tauchen, George
Duke University - Economics Group
Posted:
12 Oct 11
70
(217,226)
 

28.  
Realized Laplace Transforms for Estimation of Jump Diffusive Volatility Models | Show Abstract | Download This Paper | Open PDF in Browser |
Economic Research Initiatives at Duke (ERID) Working Paper No. 75
Number of Pages in PDF File: 39
Todorov, Viktor
Northwestern University
Tauchen, George
Duke University - Economics Group
Grynkiv, Iaryna
Duke University
Posted:
06 Oct 10
55
(245,910)
5

29.  
Limit Theorems for Power Variations of Pure-Jump Processes with Application to Activity Estimation | Show Abstract | Download This Paper | Open PDF in Browser |
Economic Research Initiatives at Duke (ERID) Working Paper No. 74
Number of Pages in PDF File: 36
Todorov, Viktor
Northwestern University
Tauchen, George
Duke University - Economics Group
Posted:
06 Oct 10
37
(289,972)
1

30.  
Bansal, Ravi
Duke University and NBER
Gallant, A. Ronald
Duke University - Fuqua School of Business, Economics Group
Tauchen, George
Duke University - Economics Group
Posted:
27 Jun 07
27
(322,277)
23


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