George Tauchen

14 catalog papers. Identity-linked publications and additional name matches are distinguished below.

ORCID: 0000-0003-0518-3611

Department of Statistics, Duke University, Durham, NC

Publications

• Jump Regressions — Econometrica 2017
• Robust Jump Regressions — Journal of the American Statistical Association 2017
• Volatility occupation times — The Annals of Statistics 2013 (name-matched, not ORCID-linked)
• The Realized Laplace Transform of Volatility — Econometrica 2012
• Volatility in Equilibrium: Asymmetries and Dynamic Dependencies — Review of Finance 2012
• Realized Laplace transforms for pure-jump semimartingales — The Annals of Statistics 2012
• Inverse Realized Laplace Transforms for Nonparametric Volatility Density Estimation in Jump-Diffusions — Journal of the American Statistical Association 2012
• Expected Stock Returns and Variance Risk Premia — The Review of Financial Studies 2009
• Rational Pessimism, Rational Exuberance, and Asset Pricing Models — The Review of Economic Studies 2007
• Reprojecting Partially Observed Systems with Application to Interest Rate Diffusions — Journal of the American Statistical Association 1998
• Stock Prices and Volume — The Review of Financial Studies 1992
• DISCUSSION — The Journal of Finance 1985
• Estimation of Nonlinear Learning Models — Journal of the American Statistical Association 1982
• Some Evidence on Cross-Sector Effects of the Minimum Wage — Journal of Political Economy 1981