George Tauchen is an American economist, academic and researcher specializing in econometrics, time series analysis, financial econometrics, and macroeconomics. He is Glasson Professor Emeritus of Economics and Finance, Duke University.
Education and career Tauchen received a B.A. from the University of Wisconsin–Madison in 1971. After earning his Ph.D. from the University of Minnesota, he joined the faculty at Duke University in 1977. He is recognized for his contributions to the development of computational and statistical methods in economics, particularly in the approximation of stochastic processes used in dynamic economic models. Tauchen has served as editor of the Journal of Business and Economic Statistics and as co-editor or associate editor of Econometrica, Econometric Theory and Journal of the American Statistical Association.
Awards and honors
1993: Fellow, American Statistical Association 1994: Fellow, Econometric Society 2003: Scholar/Teacher of the Year, Duke University 2004: Fellow, Journal of Econometrics 2012: Fellow, Society for Financial Econometrics
Selected publications Tauchen, George E.; Pitts, Mark (1983). "The Price Variability-Volume Relationship on Speculative Markets". Econometrica. 51 (2): 485–505. . . Tauchen, George; Hussey, Robert (1991). "Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models". Econometrica. 59 (2): 371–396. . . Tim, Bollerslev,; George, Tauchen,; Hao, Zhou, (2009). "Expected Stock Returns and Variance Risk Premia". The Review of Financial Studies. 22 (11). . . Tauchen, George (2011). "Stochastic Volatility in General Equilibrium". The Quarterly Journal of Finance. 01 (04): 707–731. . . Todorov, Viktor; Tauchen, George (2014). "Limit theorems for the empirical distribution function of scaled increments of Itô semimartingales at high frequencies". The Annals of Applied Probability. 24 (5). . . Li, Jia; Todorov, Viktor; Tauchen, George (2013). "Volatility occupation times". The Annals of Statistics. 41 (4). . . Li, Jia; Todorov, Viktor; Tauchen, George (2017). "Jump Regressions". Econometrica. 85 (1): 173–195. . . Li, Jia; Todorov, Viktor; Tauchen, George (2017). "Robust Jump Regressions". Journal of the American Statistical Association. 112 (517): 332–341. . . References
External links
Profile at Duke University