George Tauchen

Duke University - Economics Group

Professor

Box 90097

221 Social Sciences

Durham, NC 27708-0097

United States

SCHOLARLY PAPERS

31

DOWNLOADS
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Top 1,638

in Total Papers Downloads

15,833

CITATIONS
Rank 609

SSRN RANKINGS

Top 609

in Total Papers Citations

820

Scholarly Papers (31)

1.
Downloads 2,769 ( 2,775)
Citation 128

Expected Stock Returns and Variance Risk Premia

AFA 2008 New Orleans Meetings Paper, Review of Financial Studies, Forthcoming, Duke Department of Economics Research Paper No. 5, CREATES Research Paper No. 2008-48
Number of pages: 41 Posted: 21 Sep 2006 Last Revised: 14 Dec 2008
Tim Bollerslev, George Tauchen and Hao Zhou
Duke University - Finance, Duke University - Economics Group and Tsinghua University - PBC School of Finance
Downloads 2,769 (3,212)
Citation 129

Abstract:

Equilibrium asset pricing, stochastic volatility, risk neutral expectation, return predictability, option implied volatility, realized volatility, variance risk premium

2.

A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation

Number of pages: 37 Posted: 07 Nov 1999
UCLA Anderson, Duke University - Fuqua School of Business, Economics Group, University of North Carolina Kenan-Flagler Business School and Duke University - Economics Group
Downloads 2,206 (4,497)
Citation 15

Abstract:

3.

Which Moments to Match?

Number of pages: 33 Posted: 13 Mar 1998
A. Ronald Gallant and George Tauchen
Duke University - Fuqua School of Business, Economics Group and Duke University - Economics Group
Downloads 984 (17,406)
Citation 129

Abstract:

4.

Volume, Volatility, and Leverage: A Dynamic Analysis

Number of pages: 46 Posted: 12 May 1997
George Tauchen, Ming Liu and Harold H. Zhang
Duke University - Economics Group, Duke University and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 908 (19,606)
Citation 15

Abstract:

5.

Alternative Models of Stock Prices Dynamics

Number of pages: 38 Posted: 31 Jan 2001
UCLA Anderson, Duke University - Fuqua School of Business, Economics Group, University of North Carolina Kenan-Flagler Business School and Duke University - Economics Group
Downloads 858 (21,552)
Citation 12

Abstract:

6.

Realized Jumps on Financial Markets and Predicting Credit Spreads

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: 44 Posted: 23 Mar 2007 Last Revised: 25 Sep 2008
George Tauchen and Hao Zhou
Duke University - Economics Group and Tsinghua University - PBC School of Finance
Downloads 832 (22,259)
Citation 26

Abstract:

Jump-Diffusion Process, Realized Variance, Bi-Power Variation, Realized Jumps, Jump Volatility, Credit Risk Premium.

Leverage and Volatility Feedback Effects in High-Frequency Data

Number of pages: 34 Posted: 18 Aug 2005
Tim Bollerslev, Julia Litvinova and George Tauchen
Duke University - Finance, Brattle Group and Duke University - Economics Group
Downloads 699 (29,140)
Citation 30

Abstract:

Volatility asymmetry, leverage effect, volatility feedback effect

Leverage and Volatility Feedback Effects in High-Frequency Data

Journal of Financial Econometrics, Vol. 4, Issue 3, pp. 353-384, 2006
Posted: 29 Feb 2008
Tim Bollerslev, Julia Litvinova and George Tauchen
Duke University - Finance, Brattle Group and Duke University - Economics Group

Abstract:

high-frequency data, leverage effect, stochastic volatility models, temporal aggregation, volatility asymmetry, volatility feedback effect

8.

Estimation of Continuous Time Models for Stock Returns and Interest Rates

Number of pages: 43 Posted: 12 May 1997
A. Ronald Gallant and George Tauchen
Duke University - Fuqua School of Business, Economics Group and Duke University - Economics Group
Downloads 629 (33,277)
Citation 13

Abstract:

Volatility in Equilibrium: Asymmetries and Dynamic Dependencies

Economic Research Initiatives at Duke (ERID) Working Paper No. 35
Number of pages: 52 Posted: 14 Apr 2010 Last Revised: 06 May 2010
Tim Bollerslev, Natalia Sizova and George Tauchen
Duke University - Finance, Rice University and Duke University - Economics Group
Downloads 196 (130,709)
Citation 14

Abstract:

Equilibrium asset pricing, stochastic volatility, leverage effect, volatility feedback, option implied volatility, realized volatility, variance risk premium

Volatility in Equilibrium: Asymmetries and Dynamic Dependencies

Number of pages: 51 Posted: 22 Feb 2009
Tim Bollerslev, Natalia Sizova and George Tauchen
Duke University - Finance, Rice University and Duke University - Economics Group
Downloads 172 (147,623)
Citation 14

Abstract:

Equilibrium asset pricing, stochastic volatility, leverage effect, volatility feed-back, option implied volatility, realized volatility, variance risk premium

Volatility in Equilibrium: Asymmetries and Dynamic Dependencies

Economic Research Initiatives at Duke (ERID) Working Paper No. 73
Number of pages: 47 Posted: 07 Oct 2010
Tim Bollerslev, George Tauchen and Natalia Sizova
Duke University - Finance, Duke University - Economics Group and Rice University
Downloads 121 (198,042)
Citation 14

Abstract:

Equilibrium asset pricing, stochastic volatility, leverage effect, volatility feedback, option implied volatility, realized volatility, variance risk premium

10.

Estimation of Stochastic Volatility Models with Diagnostics

Number of pages: 42 Posted: 27 Nov 1997
A. Ronald Gallant, David A. Hsieh and George Tauchen
Duke University - Fuqua School of Business, Economics Group, Duke University - Fuqua School of Business and Duke University - Economics Group
Downloads 447 (51,496)
Citation 43

Abstract:

11.

Regime-Shifts, Risk Premiums in the Term Structure, and the Business Cycle

Duke University, Economics Working Paper
Number of pages: 33 Posted: 26 Jun 2003
Ravi Bansal, George Tauchen and Hao Zhou
Duke University and NBER, Duke University - Economics Group and Tsinghua University - PBC School of Finance
Downloads 425 (56,293)
Citation 25

Abstract:

Term Structure of Interest Rates, Yield Curve, Regime Switching, Risk Premium, Expectation Hypothesis, Business Cycle, Efficient Method of Moments, EMM

12.

A Discrete-Time Model for Daily S&P 500 Returns and Realized Variations: Jumps and Leverage Effects

Number of pages: 43 Posted: 24 Aug 2005
Duke University - Finance, University of Bonn, Department of Economics, Ludwig Maximilian University of Munich - Department of Statistics and Duke University - Economics Group
Downloads 420 (52,262)
Citation 28

Abstract:

Stochastic volatility, Realized volatility, Bipower variation, Jumps, Leverage effect, Return distributions, Simultaneous equation model

13.

Specification Analysis of Continuous Time Models in Finance

Duke Economics Working Paper #95-49
Number of pages: 31 Posted: 18 Nov 1997
A. Ronald Gallant and George Tauchen
Duke University - Fuqua School of Business, Economics Group and Duke University - Economics Group
Downloads 419 (55,639)
Citation 2

Abstract:

The Relative Contribution of Jumps to Total Price Variance

Number of pages: 60 Posted: 24 Aug 2005
Xin Huang and George Tauchen
Board of Governors of the Federal Reserve System and Duke University - Economics Group
Downloads 397 (60,615)
Citation 105

Abstract:

Realized variance, quadratic variation, bipower variation, stochastic volatility

The Relative Contribution of Jumps to Total Price Variance

Journal of Financial Econometrics, Vol. , pp. -,
Posted: 29 Feb 2008
Xin Huang and George Tauchen
Board of Governors of the Federal Reserve System and Duke University - Economics Group

Abstract:

bipower variation, quadratic variation, realized variance, stochastic volatility

15.

New Minimum Chi-Square Methods in Empirical Finance

Number of pages: 47 Posted: 13 Mar 1998
George Tauchen
Duke University - Economics Group
Downloads 350 (61,405)
Citation 21

Abstract:

16.

Using Daily Range Data to Calibrate Volatility Diffusions and Extract the Forward Integrated Variance

Duke Economics Working Paper No. 00-04
Number of pages: 36 Posted: 06 Nov 2000
A. Ronald Gallant, Chien-Te Hsu and George Tauchen
Duke University - Fuqua School of Business, Economics Group, Credit Suisse Asset Management and Duke University - Economics Group
Downloads 349 (66,071)
Citation 52

Abstract:

17.

Volatility Jumps

Economic Research Initiatives at Duke (ERID) Working Paper No. 3
Number of pages: 26 Posted: 31 Jul 2008
Viktor Todorov and George Tauchen
Northwestern University and Duke University - Economics Group
Downloads 299 (79,139)
Citation 25

Abstract:

Stochastic volatility, activity index, Blumenthal-Getoor index, jumps, VIX index, jump risk premium

18.

Simulation Methods for Levy-Driven CARMA Stochastic Volatility Models

Number of pages: 41 Posted: 24 Aug 2005
George Tauchen and Viktor Todorov
Duke University - Economics Group and Independent
Downloads 294 (83,225)
Citation 6

Abstract:

Levy process, simulation, stochastic volatility, diffusions, realized variance, quadratic variation

19.

Stochastic Volatility in General Equilibrium

Number of pages: 33 Posted: 24 Aug 2005
George Tauchen
Duke University - Economics Group
Downloads 229 (107,503)
Citation 29

Abstract:

Stochastic volatility, risk aversion, leverage effect, volatility asymmetry

20.
Downloads 176 (144,549)
Citation 2

Pricing of the Time-Change Risks

Economic Research Initiatives at Duke (ERID) Working Paper No. 4
Number of pages: 41 Posted: 01 Aug 2008 Last Revised: 13 Dec 2011
Ivan Shaliastovich and George Tauchen
University of Wisconsin - Madison and Duke University - Economics Group
Downloads 102 (224,689)
Citation 2

Abstract:

Risk premium, time change, Levy processes, recursive preferences

Pricing of the Time-Change Risks

Economic Research Initiatives at Duke (ERID) Working Paper No. 71
Number of pages: 32 Posted: 09 Oct 2010
George Tauchen and Ivan Shaliastovich
Duke University - Economics Group and University of Wisconsin - Madison
Downloads 74 (276,200)
Citation 2

Abstract:

Risk premium, time change, Levy processes, recursive preferences

21.

The Fine Structure of Equity-Index Option Dynamics

Journal of Econometrics, Vol. 187, pp. 532-546, 2015
Number of pages: 33 Posted: 08 Nov 2013 Last Revised: 10 Oct 2015
Northwestern University - Kellogg School of Management, University of Illinois at Chicago - Department of Finance, Northwestern University and Duke University - Economics Group
Downloads 165 (110,278)
Citation 1

Abstract:

high-frequency data, implied volatility, jump activity, Kolmogorov-Smirnov test, stable process, stochastic volatility, VIX index

22.

A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects

Economic Research Initiatives at Duke (ERID) Working Paper No. 6
Number of pages: 49 Posted: 23 Jun 2008
Duke University - Finance, University of Bonn, Department of Economics, Ludwig Maximilian University of Munich - Department of Statistics and Duke University - Economics Group
Downloads 159 (146,833)
Citation 26

Abstract:

Realized volatility, Bipower variation, Jumps, Leverage effect, Simultaneous equation model

23.

Risk, Jumps, and Diversification

CREATES Research Paper 2007-19
Number of pages: 48 Posted: 23 Jun 2008
Tim Bollerslev, Tzuo Hann Law and George Tauchen
Duke University - Finance, affiliation not provided to SSRN and Duke University - Economics Group
Downloads 154 (153,067)
Citation 29

Abstract:

risk, diversification

24.

Volatility Activity: Specification and Estimation

Economic Research Initiatives at Duke (ERID) Working Paper No. 114
Number of pages: 32 Posted: 13 Oct 2011
Viktor Todorov, George Tauchen and Iaryna Grynkiv
Northwestern University, Duke University - Economics Group and Duke University
Downloads 145 (157,175)

Abstract:

Asymmetric Volatility Activity, High-Frequency Data, Laplace Transform, Signed Power Variation, Specification Testing, Stochastic Volatility, Volatility Jumps

25.

Activity Signature Functions for High-Frequency Data Analysis

Economic Research Initiatives at Duke (ERID) Working Paper No. 2
Number of pages: 30 Posted: 30 Jul 2008
George Tauchen and Viktor Todorov
Duke University - Economics Group and Northwestern University
Downloads 143 (153,913)
Citation 12

Abstract:

activity index, Blumenthal-Getoor index, jumps, Levy process, realized power variation

26.

The Realized Laplace Transform of Volatility

Economic Research Initiatives at Duke (ERID) Working Paper No. 72
Number of pages: 21 Posted: 09 Oct 2010 Last Revised: 21 Jul 2011
George Tauchen and Viktor Todorov
Duke University - Economics Group and Northwestern University
Downloads 99 (206,286)
Citation 4

Abstract:

Laplace transform, stochastic volatility, Central Limit Theorem, activity index, jumps, high-frequency data

27.

Inverse Realized Laplace Transforms for Nonparametric Volatility Estimation in Jump-Diffusions

Economic Research Initiatives at Duke (ERID) Working Paper No. 112
Number of pages: 31 Posted: 12 Oct 2011
Viktor Todorov and George Tauchen
Northwestern University and Duke University - Economics Group
Downloads 72 (251,619)

Abstract:

Laplace transform, stochastic volatility, ill-posed problems, regularization, nonparametric density estimation, high-frequency data

28.

Realized Laplace Transforms for Estimation of Jump Diffusive Volatility Models

Economic Research Initiatives at Duke (ERID) Working Paper No. 75
Number of pages: 39 Posted: 06 Oct 2010
Viktor Todorov, George Tauchen and Iaryna Grynkiv
Northwestern University, Duke University - Economics Group and Duke University
Downloads 55 (295,897)
Citation 5

Abstract:

Jumps, High-Frequency Data, Laplace Transform, Stochastic Volatility

29.

Limit Theorems for Power Variations of Pure-Jump Processes with Application to Activity Estimation

Economic Research Initiatives at Duke (ERID) Working Paper No. 74
Number of pages: 36 Posted: 06 Oct 2010
Viktor Todorov and George Tauchen
Northwestern University and Duke University - Economics Group
Downloads 40 (333,636)
Citation 1

Abstract:

Activity Index, Blumenthal-Getoor Index, Central Limit Theorem, Ito Semimartingale, High-Frequency Data, Jumps, Realized Power Variation

30.

Rational Pessimism, Rational Exuberance, and Asset Pricing Models

NBER Working Paper No. w13107
Number of pages: 45 Posted: 27 Jun 2007
Ravi Bansal, A. Ronald Gallant and George Tauchen
Duke University and NBER, Duke University - Fuqua School of Business, Economics Group and Duke University - Economics Group
Downloads 36 (379,585)
Citation 23

Abstract:

31.

Data-Driven Jump Detection Thresholds for Application in Jump Regressions

Economic Research Initiatives at Duke (ERID) Working Paper No. 213
Number of pages: 35 Posted: 25 Apr 2016
Robert Davies and George Tauchen
Duke University, Department of Economics, Students and Duke University - Economics Group
Downloads 0 (305,841)

Abstract:

efficient estimation, high-frequency data, jumps, semimartingale, specification test, stochastic volatility