Author pages are created from data sourced from our academic publisher partnerships and public sources.
- Publications
- Influence
Share This Author
The Relative Contribution of Jumps to Total Price Variance
- Xin 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…
Finite state markov-chain approximations to univariate and vector autoregressions
- George Tauchen
- Mathematics, Economics
- 1986
Expected Stock Returns and Variance Risk Premia
- T. 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…
Which Moments to Match?
- A. Gallant, George Tauchen
- Economics
- 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…
Expected Stock Returns and Variance Risk Premia
- T. 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…
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…
Alternative models for stock price dynamics
- M. Chernov, A. Gallant, E. Ghysels, George Tauchen
- Economics
- 1 September 2003
Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models
- George Tauchen, R. Hussey
- Economics
- 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…
Leverage and Volatility Feedback Effects in High-Frequency Data
- T. 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…
...
1
2
3
4
5
...