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George Tauchen

Global rank #809 99%

Institution: Duke University

Primary Field: Econometrics (weighted toward more recent publications)

Homepage: http://www.econ.duke.edu/~get

First Publication: 1980

Most Recent: 2017

RePEc ID: pta61 ↗

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.01: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period S (4x) A (2x) B (1x) C (½x) Total
Last 5 Years 0.00 0.00 0.00 0.00 0.00
Last 10 Years 0.67 1.84 1.34 0.00 7.71
All Time 4.36 23.46 5.03 0.00 71.39

Publication Statistics

Raw Publications 38
Coauthorship-Adjusted Count 37.02

Publications (38)

Year Article Journal Tier Authors
2017 Robust Jump Regressions Journal of the American Statistical Association B 3
2017 Adaptive estimation of continuous-time regression models using high-frequency data Journal of Econometrics A 3
2017 Jump Regressions Econometrica S 3
2017 Mixed-scale jump regressions with bootstrap inference Journal of Econometrics A 4
2016 Inference theory for volatility functional dependencies Journal of Econometrics A 3
2016 ESTIMATING THE VOLATILITY OCCUPATION TIME VIA REGULARIZED LAPLACE INVERSION Econometric Theory B 3
2015 The fine structure of equity-index option dynamics Journal of Econometrics A 4
2014 Volatility activity: Specification and estimation Journal of Econometrics A 3
2013 Risk and return: Long-run relations, fractional cointegration, and return predictability Journal of Financial Economics A 4
2012 Inverse Realized Laplace Transforms for Nonparametric Volatility Density Estimation in Jump-Diffusions Journal of the American Statistical Association B 2
2011 Volatility in Equilibrium: Asymmetries and Dynamic Dependencies Review of Finance B 3
2011 Realized jumps on financial markets and predicting credit spreads Journal of Econometrics A 2
2011 Volatility Jumps Journal of Business & Economic Statistics A 2
2011 Realized Laplace transforms for estimation of jump diffusive volatility models Journal of Econometrics A 3
2011 Pricing of the time-change risks Journal of Economic Dynamics and Control B 2
2010 Activity signature functions for high-frequency data analysis Journal of Econometrics A 2
2009 A discrete-time model for daily S & P500 returns and realized variations: Jumps and leverage effects Journal of Econometrics A 4
2009 Expected Stock Returns and Variance Risk Premia The Review of Financial Studies A 3
2008 Risk, jumps, and diversification Journal of Econometrics A 3
2007 Rational Pessimism, Rational Exuberance, and Asset Pricing Models Review of Economic Studies S 3
2003 Alternative models for stock price dynamics Journal of Econometrics A 4
2003 Frontiers of financial econometrics and financial engineering Journal of Econometrics A 2
2001 Notes on financial econometrics Journal of Econometrics A 1
1999 Using Daily Range Data To Calibrate Volatility Diffusions And Extract The Forward Integrated Variance Review of Economics and Statistics A 3
1999 The relative efficiency of method of moments estimators1 Journal of Econometrics A 2
1998 The Objective Function Of Simulation Estimators Near The Boundary Of The Unstable Region Of The Parameter Space Review of Economics and Statistics A 1
1997 Estimation of stochastic volatility models with diagnostics Journal of Econometrics A 3
1996 Which Moments to Match? Econometric Theory B 2
1996 Volume, volatility, and leverage: A dynamic analysis Journal of Econometrics A 3
1995 Nonparametric estimation of structural models for high-frequency currency market data Journal of Econometrics A 4
1992 Stock Prices and Volume. The Review of Financial Studies A 3
1990 Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution Journal of Econometrics A 3
1986 Finite state markov-chain approximations to univariate and vector autoregressions Economics Letters C 1
1986 A note on the asymptotic lower bound for the covariance matrix of the GMM estimator of the parameters of agents' utility functions Economics Letters C 1
1985 Diagnostic testing and evaluation of maximum likelihood models Journal of Econometrics A 1
1985 An Investigation of Transactions Data for NYSE Stocks: Discussion. Journal of Finance A 1
1981 Some Evidence on Cross-Sector Effects of the Minimum Wage. Journal of Political Economy S 1
1980 Guessing and the Error Structure of Learning Models. American Economic Review S 2