George Tauchen

Publications140
h-index47
Citations18,452
Highly Influential Citations1,566
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The Relative Contribution of Jumps to Total Price Variance
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
Expected Stock Returns and Variance Risk Premia
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?
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
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
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
Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models
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
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…
Risk, Jumps, and Diversification
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