Author pages are created from data sourced from our academic publisher partnerships and public sources.

Publications Influence

The Relative Contribution of Jumps to Total Price Variance

- X. Huang, George Tauchen
- Economics
- 1 July 2005

We examine tests for jumps based on recent asymptotic results; we interpret the tests as Hausman-type tests. Monte Carlo evidence suggests that the daily ratio z-statistic has appropriate size, good… Expand

798 145- PDF

Which Moments to Match?

- A. Gallant, George Tauchen
- Mathematics
- 1 September 1995

We describe an intuitive, simple, and systematic approach to generating moment conditions for generalized method of moments (GMM) estimation of the parameters of a structural model. The idea is to… Expand

1,102 143- PDF

Finite state markov-chain approximations to univariate and vector autoregressions

- George Tauchen
- Mathematics
- 1986

The paper develops a procedure for finding a discrete-valued Markov chain whose sample paths approximate well those of a vector autoregression. The procedure has applications in those areas of… Expand

1,528 143- PDF

Expected Stock Returns and Variance Risk Premia

- Tim Bollerslev, George Tauchen, Hao Zhou
- Economics
- 1 July 2008

Motivated by the implications from a stylized self-contained general equilibrium model incorporating the effects of time-varying economic uncertainty, we show that the difference between implied and… Expand

538 117- PDF

Expected Stock Returns and Variance Risk Premia

- Tim Bollerslev, George Tauchen, Hao Zhou
- Economics
- 1 November 2009

Motivated by the implications from a stylized self-contained general equilibrium model incorporating the effects of time-varying economic uncertainty, we show that the difference between implied and… Expand

768 92

THE PRICE VARIABILITY-VOLUME RELATIONSHIP ON SPECULATIVE MARKETS

- George Tauchen, M. Pitts
- Economics
- 1 March 1983

This paper concerns the relationship between the variability of the daily price change and the daily volume of trading on the speculative markets. Our work extends the theory of speculative markets… Expand

1,473 85- PDF

Alternative models for stock price dynamics

- M. Chernov, A. Gallant, E. Ghysels, George Tauchen
- Mathematics
- 1 September 2003

This paper evaluates the role of various volatility specifications, such as multiple stochastic volatility (SV) factors and jump components, in appropriate modeling of equity return distributions. We… Expand

908 63- PDF

Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models

- George Tauchen, R. Hussey
- Mathematics
- 1 March 1991

This paper develops a discrete state space solution method for a class of nonlinear rational expectations models. The method works by using numerical quadrature rules to approximate the integral… Expand

948 54- PDF

Leverage and Volatility Feedback Effects in High-Frequency Data

- Tim Bollerslev, J. Litvinova, George Tauchen
- Economics
- 20 June 2006

We examine the relationship between volatility and past and future returns using high-frequency aggregate equity index data. Consistent with a prolonged "leverage" effect, we find the correlations… Expand

366 37- PDF

Risk, Jumps, and Diversification

- Tim Bollerslev, T. Law, George Tauchen
- Economics, Mathematics
- 1 May 2008

We test for price discontinuities, or jumps, in a panel of high-frequency intraday stock returns and an equiweighted index constructed from the same stocks. Using a new test for common jumps that… Expand

222 37- PDF

...

1

2

3

4

5

...