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George Tauchen
George Tauchen
Professor of Economics
Verified email at duke.edu - Homepage
Title
Cited by
Cited by
Year
Finite state markov-chain approximations to univariate and vector autoregressions
G Tauchen
Economics letters 20 (2), 177-181, 1986
24351986
The price variability-volume relationship on speculative markets
GE Tauchen, M Pitts
Econometrica: Journal of the Econometric Society, 485-505, 1983
23231983
Stock prices and volume
AR Gallant, PE Rossi, G Tauchen
The Review of Financial Studies 5 (2), 199-242, 1992
21281992
Expected stock returns and variance risk premia
T Bollerslev, G Tauchen, H Zhou
The Review of Financial Studies 22 (11), 4463-4492, 2009
19642009
Which moments to match?
AR Gallant, G Tauchen
Econometric theory 12 (4), 657-681, 1996
16141996
Quadrature-based methods for obtaining approximate solutions to nonlinear asset pricing models
G Tauchen, R Hussey
Econometrica: Journal of the Econometric Society, 371-396, 1991
13151991
Alternative models for stock price dynamics
M Chernov, AR Gallant, E Ghysels, G Tauchen
Journal of Econometrics 116 (1-2), 225-257, 2003
11652003
The relative contribution of jumps to total price variance
X Huang, G Tauchen
Journal of financial econometrics 3 (4), 456-499, 2005
11602005
Seminonparametric estimation of conditionally constrained heterogeneous processes: Asset pricing applications
AR Gallant, G Tauchen
Econometrica: Journal of the Econometric Society, 1091-1120, 1989
6081989
Leverage and volatility feedback effects in high-frequency data
T Bollerslev, J Litvinova, G Tauchen
Journal of Financial Econometrics 4 (3), 353-384, 2006
6002006
Nonlinear dynamic structures
AR Gallant, PE Rossi, G Tauchen
Econometrica: Journal of the Econometric Society, 871-907, 1993
5871993
The effect of liquor taxes on heavy drinking
PJ Cook, G Tauchen
The Bell Journal of Economics, 379-390, 1982
5671982
Diagnostic testing and evaluation of maximum likelihood models
G Tauchen
Journal of Econometrics 30 (1-2), 415-443, 1985
5381985
Statistical properties of generalized method-of-moments estimators of structural parameters obtained from financial market data
G Tauchen
Journal of Business & Economic Statistics 4 (4), 397-416, 1986
5051986
Estimation of stochastic volatility models with diagnostics
AR Gallant, D Hsieh, G Tauchen
Journal of econometrics 81 (1), 159-192, 1997
4671997
Risk, jumps, and diversification
T Bollerslev, TH Law, G Tauchen
Journal of Econometrics 144 (1), 234-256, 2008
3672008
Using daily range data to calibrate volatility diffusions and extract the forward integrated variance
AR Gallant, CT Hsu, G Tauchen
Review of Economics and Statistics 81 (4), 617-631, 1999
3291999
Reprojecting partially observed systems with application to interest rate diffusions
AR Gallant, G Tauchen
Journal of the American Statistical Association 93 (441), 10-24, 1998
3051998
Volatility jumps
V Todorov, G Tauchen
Journal of Business & Economic Statistics 29 (3), 356-371, 2011
3002011
0n Fitting a Recalci trant Series: The Pound/Doll ar Exchange Rate, 1974-83
AR Gallant, DA Hsieh, GE Tauchen
3001988
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