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Tauchen, George E.

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Author ID: tauchen.george-e Recent zbMATH articles by "Tauchen, George E."
Published as: Tauchen, George; Tauchen, George E.
Documents Indexed: 46 Publications since 1983, including 3 Books

Publications by Year

Citations contained in zbMATH Open

41 Publications have been cited 865 times in 627 Documents Cited by Year
Alternative models for stock price dynamics. Zbl 1043.62087
Chernov, Mikhail; Gallant, A. Ronald; Ghysels, Eric; Tauchen, George
120
2003
Diagnostic testing and evaluation of maximum likelihood models. Zbl 0591.62094
Tauchen, George
68
1985
The price variability-volume relationship on speculative markets. Zbl 0495.90026
Tauchen, George E.; Pitts, Mark
66
1983
Quadrature-based methods for obtaining approximate solutions to nonlinear asset pricing models. Zbl 0735.90012
Tauchen, George; Hussey, Robert
56
1991
Seminonparametric estimation of conditionally constrained heterogeneous processes: Asset pricing applications. Zbl 0679.62096
Gallant, A. Ronald; Tauchen, George
53
1989
Estimation of stochastic volatility models with diagnostics. Zbl 0904.62134
Gallant, A. Ronald; Hsieh, David; Tauchen, George
45
1997
Nonlinear dynamic structures. Zbl 0780.62100
Gallant, A. Ronald; Rossi, Peter E.; Tauchen, George
42
1993
Volatility jumps. Zbl 1219.91156
Todorov, Viktor; Tauchen, George
39
2011
Activity signature functions for high-frequency data analysis. Zbl 1431.62483
Todorov, Viktor; Tauchen, George
32
2010
Reprojecting partially observed systems with application to interest rate diffusions. Zbl 0920.62132
Gallant, A. Ronald; Tauchen, George
30
1998
The realized Laplace transform of volatility. Zbl 1274.91344
Todorov, Viktor; Tauchen, George
25
2012
On fitting a recalcitrant series: The pound/dollar exchange rate, 1974-1983. Zbl 0850.62894
Gallant, A. Ronald; Hsieh, David A.; Tauchen, George E.
24
1991
Limit theorems for power variations of pure-jump processes with application to activity estimation. Zbl 1215.62088
Todorov, Viktor; Tauchen, George
21
2011
Risk, jumps, and diversification. Zbl 1418.62374
Bollerslev, Tim; Law, Tzuo Hann; Tauchen, George
21
2008
The relative efficiency of method of moments estimators. Zbl 0956.62030
Gallant, A. Ronald; Tauchen, George
19
1999
Estimation of continuous-time models for stock returns and interest rates. Zbl 0915.90056
Gallant, A. Ronald; Tauchen, George
17
1997
Nonparametric estimation of structural models for high-frequency currency market data. Zbl 0813.62095
Bansal, Ravi; Gallant, A. Ronald; Hussey, Robert; Tauchen, George
17
1995
Volatility in equilibrium: asymmetries and dynamic dependencies. Zbl 1250.91105
Bollerslev, Tim; Sizova, Natalia; Tauchen, George
16
2012
A discrete-time model for daily S&P500 returns and realized variations: jumps and leverage effects. Zbl 1429.62461
Bollerslev, Tim; Kretschmer, Uta; Pigorsch, Christian; Tauchen, George
14
2009
Realized jumps on financial markets and predicting credit spreads. Zbl 1441.62884
Tauchen, George; Zhou, Hao
13
2011
Volume, volatility, and leverage: A dynamic analysis. Zbl 0862.90045
Tauchen, George; Zhang, Harold; Liu, Ming
12
1996
Realized Laplace transforms for pure-jump semimartingales. Zbl 1274.62191
Todorov, Viktor; Tauchen, George
11
2012
Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution. Zbl 0709.62103
Gallant, A. Ronald; Hansen, Lars Peter; Tauchen, George
11
1990
Limit theorems for the empirical distribution function of scaled increments of Itô semimartingales at high frequencies. Zbl 1429.62371
Todorov, Viktor; Tauchen, George
9
2014
Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data. Zbl 1362.62106
Reiß, Markus; Todorov, Viktor; Tauchen, George
8
2015
Volatility activity: specification and estimation. Zbl 1293.91200
Todorov, Viktor; Tauchen, George; Grynkiv, Iaryna
8
2014
Jump regressions. Zbl 1410.62205
Li, Jia; Todorov, Viktor; Tauchen, George
7
2017
The fine structure of equity-index option dynamics. Zbl 1337.91135
Andersen, Torben G.; Bondarenko, Oleg; Todorov, Viktor; Tauchen, George
7
2015
Inverse realized Laplace transforms for nonparametric volatility density estimation in jump-diffusions. Zbl 1261.62032
Todorov, Viktor; Tauchen, George
7
2012
Realized Laplace transforms for estimation of jump diffusive volatility models. Zbl 1441.62889
Todorov, Viktor; Tauchen, George; Grynkiv, Iaryna
7
2011
Rational pessimism, rational exuberance, and asset pricing models. Zbl 1186.91188
Bansal, Ravi; Gallant, A. Ronald; Tauchen, George
7
2007
Adaptive estimation of continuous-time regression models using high-frequency data. Zbl 1388.62050
Li, Jia; Todorov, Viktor; Tauchen, George
6
2017
Volatility occupation times. Zbl 1277.62196
Li, Jia; Todorov, Viktor; Tauchen, George
6
2013
Inference theory for volatility functional dependencies. Zbl 1420.62494
Li, Jia; Todorov, Viktor; Tauchen, George
5
2016
Estimation of stochastic volatility models with diagnostics. Zbl 1082.62102
Gallant, A. Ronald; Hsieh, David; Tauchen, George
5
2005
Mixed-scale jump regressions with bootstrap inference. Zbl 1377.62198
Li, Jia; Todorov, Viktor; Tauchen, George; Chen, Rui
3
2017
Estimating the volatility occupation time via regularized Laplace inversion. Zbl 1441.62796
Li, Jia; Todorov, Viktor; Tauchen, George
3
2016
Notes on financial econometrics. Zbl 0961.62094
Tauchen, George
2
2001
Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale. Zbl 1452.62605
Ronald Gallant, A.; Tauchen, George
1
2018
Pricing of the time-change risks. Zbl 1231.91111
Shaliastovich, Ivan; Tauchen, George
1
2011
Nonparametric and semiparametric methods in econometrics and statistics. Proceedings of the fifth international symposium in economic theory and econometrics, held at the Duke University, Durham, NC (USA), on May 18- 20, 1988. Zbl 0745.00029
Barnett, William A. (ed.); Powell, James (ed.); Tauchen, George E. (ed.)
1
1991
Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale. Zbl 1452.62605
Ronald Gallant, A.; Tauchen, George
1
2018
Jump regressions. Zbl 1410.62205
Li, Jia; Todorov, Viktor; Tauchen, George
7
2017
Adaptive estimation of continuous-time regression models using high-frequency data. Zbl 1388.62050
Li, Jia; Todorov, Viktor; Tauchen, George
6
2017
Mixed-scale jump regressions with bootstrap inference. Zbl 1377.62198
Li, Jia; Todorov, Viktor; Tauchen, George; Chen, Rui
3
2017
Inference theory for volatility functional dependencies. Zbl 1420.62494
Li, Jia; Todorov, Viktor; Tauchen, George
5
2016
Estimating the volatility occupation time via regularized Laplace inversion. Zbl 1441.62796
Li, Jia; Todorov, Viktor; Tauchen, George
3
2016
Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data. Zbl 1362.62106
Reiß, Markus; Todorov, Viktor; Tauchen, George
8
2015
The fine structure of equity-index option dynamics. Zbl 1337.91135
Andersen, Torben G.; Bondarenko, Oleg; Todorov, Viktor; Tauchen, George
7
2015
Limit theorems for the empirical distribution function of scaled increments of Itô semimartingales at high frequencies. Zbl 1429.62371
Todorov, Viktor; Tauchen, George
9
2014
Volatility activity: specification and estimation. Zbl 1293.91200
Todorov, Viktor; Tauchen, George; Grynkiv, Iaryna
8
2014
Volatility occupation times. Zbl 1277.62196
Li, Jia; Todorov, Viktor; Tauchen, George
6
2013
The realized Laplace transform of volatility. Zbl 1274.91344
Todorov, Viktor; Tauchen, George
25
2012
Volatility in equilibrium: asymmetries and dynamic dependencies. Zbl 1250.91105
Bollerslev, Tim; Sizova, Natalia; Tauchen, George
16
2012
Realized Laplace transforms for pure-jump semimartingales. Zbl 1274.62191
Todorov, Viktor; Tauchen, George
11
2012
Inverse realized Laplace transforms for nonparametric volatility density estimation in jump-diffusions. Zbl 1261.62032
Todorov, Viktor; Tauchen, George
7
2012
Volatility jumps. Zbl 1219.91156
Todorov, Viktor; Tauchen, George
39
2011
Limit theorems for power variations of pure-jump processes with application to activity estimation. Zbl 1215.62088
Todorov, Viktor; Tauchen, George
21
2011
Realized jumps on financial markets and predicting credit spreads. Zbl 1441.62884
Tauchen, George; Zhou, Hao
13
2011
Realized Laplace transforms for estimation of jump diffusive volatility models. Zbl 1441.62889
Todorov, Viktor; Tauchen, George; Grynkiv, Iaryna
7
2011
Pricing of the time-change risks. Zbl 1231.91111
Shaliastovich, Ivan; Tauchen, George
1
2011
Activity signature functions for high-frequency data analysis. Zbl 1431.62483
Todorov, Viktor; Tauchen, George
32
2010
A discrete-time model for daily S&P500 returns and realized variations: jumps and leverage effects. Zbl 1429.62461
Bollerslev, Tim; Kretschmer, Uta; Pigorsch, Christian; Tauchen, George
14
2009
Risk, jumps, and diversification. Zbl 1418.62374
Bollerslev, Tim; Law, Tzuo Hann; Tauchen, George
21
2008
Rational pessimism, rational exuberance, and asset pricing models. Zbl 1186.91188
Bansal, Ravi; Gallant, A. Ronald; Tauchen, George
7
2007
Estimation of stochastic volatility models with diagnostics. Zbl 1082.62102
Gallant, A. Ronald; Hsieh, David; Tauchen, George
5
2005
Alternative models for stock price dynamics. Zbl 1043.62087
Chernov, Mikhail; Gallant, A. Ronald; Ghysels, Eric; Tauchen, George
120
2003
Notes on financial econometrics. Zbl 0961.62094
Tauchen, George
2
2001
The relative efficiency of method of moments estimators. Zbl 0956.62030
Gallant, A. Ronald; Tauchen, George
19
1999
Reprojecting partially observed systems with application to interest rate diffusions. Zbl 0920.62132
Gallant, A. Ronald; Tauchen, George
30
1998
Estimation of stochastic volatility models with diagnostics. Zbl 0904.62134
Gallant, A. Ronald; Hsieh, David; Tauchen, George
45
1997
Estimation of continuous-time models for stock returns and interest rates. Zbl 0915.90056
Gallant, A. Ronald; Tauchen, George
17
1997
Volume, volatility, and leverage: A dynamic analysis. Zbl 0862.90045
Tauchen, George; Zhang, Harold; Liu, Ming
12
1996
Nonparametric estimation of structural models for high-frequency currency market data. Zbl 0813.62095
Bansal, Ravi; Gallant, A. Ronald; Hussey, Robert; Tauchen, George
17
1995
Nonlinear dynamic structures. Zbl 0780.62100
Gallant, A. Ronald; Rossi, Peter E.; Tauchen, George
42
1993
Quadrature-based methods for obtaining approximate solutions to nonlinear asset pricing models. Zbl 0735.90012
Tauchen, George; Hussey, Robert
56
1991
On fitting a recalcitrant series: The pound/dollar exchange rate, 1974-1983. Zbl 0850.62894
Gallant, A. Ronald; Hsieh, David A.; Tauchen, George E.
24
1991
Nonparametric and semiparametric methods in econometrics and statistics. Proceedings of the fifth international symposium in economic theory and econometrics, held at the Duke University, Durham, NC (USA), on May 18- 20, 1988. Zbl 0745.00029
Barnett, William A. (ed.); Powell, James (ed.); Tauchen, George E. (ed.)
1
1991
Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution. Zbl 0709.62103
Gallant, A. Ronald; Hansen, Lars Peter; Tauchen, George
11
1990
Seminonparametric estimation of conditionally constrained heterogeneous processes: Asset pricing applications. Zbl 0679.62096
Gallant, A. Ronald; Tauchen, George
53
1989
Diagnostic testing and evaluation of maximum likelihood models. Zbl 0591.62094
Tauchen, George
68
1985
The price variability-volume relationship on speculative markets. Zbl 0495.90026
Tauchen, George E.; Pitts, Mark
66
1983
all top 5

Cited by 963 Authors

25 Todorov, Viktor
22 Tauchen, George E.
15 Bollerslev, Tim
12 Gallant, A. Ronald
11 Kong, Xinbing
10 Aït-Sahalia, Yacine
10 Ghysels, Eric
9 Hong, Yongmiao
9 Jacod, Jean
9 McAleer, Michael
8 Andersen, Torben G.
8 Liu, Zhi
8 Xiu, Dacheng
7 Asai, Manabu
6 Renault, Eric
6 Siu, Tak Kuen
5 Elliott, Robert James
5 Hansen, Lars Peter
5 Hounyo, Ulrich
5 Jing, Bingyi
5 Meddahi, Nour
5 Shephard, Neil
5 Zhou, Hao
4 Bibinger, Markus
4 Chen, Bin
4 Escanciano, Juan Carlos
4 Levendorskiĭ, Sergeĭ Zakharovich
4 Li, Jia
4 Li, Lingfei
4 Li, Qi
4 Mykland, Per Aslak
4 Stanley, H. Eugene
4 Vetter, Mathias
3 Arvanitis, Stelios
3 Boswijk, H. Peter
3 Boyarchenko, Svetlana I.
3 Chernov, Mikhail
3 Christensen, Kim
3 Dufour, Jean-Marie
3 Fong, Wai Mun
3 Fouque, Jean-Pierre
3 Gabaix, Xavier
3 Garcia, René
3 Gloter, Arnaud
3 Gopikrishnan, Parameswaran
3 Jacquier, Eric
3 Kristensen, Dennis
3 Li, Chenxu
3 Lillo, Fabrizio
3 Lütkepohl, Helmut
3 Monfort, Alain
3 Nakajima, Jouchi
3 Omori, Yasuhiro
3 Patton, Andrew J.
3 Plerou, Vasiliki
3 Podolskij, Mark
3 Polson, Nicholas G.
3 Ruge-Murcia, Francisco J.
3 Sentana, Enrique
3 Sircar, Ronnie
3 Smith, Richard J.
3 Varneskov, Rasmus T.
3 Winkelmann, Lars
3 Wong, Hoi Ying
3 Wright, Jonathan H.
3 Wu, Shu
3 Yang, Xiye
3 Yu, Jun
3 Zeng, Yong
2 Abanto-Valle, Carlos Antonio
2 Amengual, Dante
2 Andreou, Elena
2 Andrews, Donald Wilfrid Kao
2 Asea, Patrick K.
2 Baillie, Richard T.
2 Bera, Anil K.
2 Bidarkota, Prasad V.
2 Bormetti, Giacomo
2 Borovička, Jaroslav
2 Bravo, Francesco
2 Calcagnile, Lucio Maria
2 Canova, Fabio
2 Caporin, Massimiliano
2 Chan, Jennifer So Kuen
2 Chang, Chialin
2 Chen, Xiaohong
2 Chib, Siddhartha
2 Choy, S. T. Boris
2 Clement, Emmanuelle
2 Clinet, Simon
2 Corsi, Fulvio
2 Craine, Roger
2 Darolles, Serge
2 del Brio, Esther B.
2 Demos, Antonis
2 Deng, Guohe
2 Dungey, Mardi
2 El-Gamal, Mahmoud A.
2 Engle, Robert Fry
2 Fiorentini, Gabriele
...and 863 more Authors
all top 5

Cited in 118 Serials

202 Journal of Econometrics
57 Journal of Economic Dynamics & Control
26 Quantitative Finance
21 Computational Statistics and Data Analysis
21 Econometric Theory
20 Econometric Reviews
17 The Annals of Statistics
13 Economics Letters
12 The Econometrics Journal
9 Stochastic Processes and their Applications
9 International Journal of Theoretical and Applied Finance
8 European Journal of Operational Research
7 Journal of the American Statistical Association
7 The Annals of Applied Probability
7 Communications in Statistics. Simulation and Computation
7 Asia-Pacific Financial Markets
6 Journal of Statistical Planning and Inference
6 Insurance Mathematics & Economics
5 Journal of Economic Theory
5 Statistics & Probability Letters
4 Journal of Forecasting
4 Annals of Finance
3 The Canadian Journal of Statistics
3 Physica A
3 Applied Mathematics and Computation
3 Journal of Time Series Analysis
3 Computational Statistics
3 Communications in Statistics. Theory and Methods
3 Journal of Statistical Computation and Simulation
3 Computational Economics
3 Applied Mathematical Finance
3 Bernoulli
3 Mathematical Problems in Engineering
3 Finance and Stochastics
3 Mathematical Finance
3 Macroeconomic Dynamics
3 Statistical Inference for Stochastic Processes
3 Review of Derivatives Research
3 Mathematics and Financial Economics
3 Electronic Journal of Statistics
2 Computers & Mathematics with Applications
2 Scandinavian Journal of Statistics
2 Journal of Multivariate Analysis
2 Journal of Optimization Theory and Applications
2 Complexity
2 Journal of Applied Statistics
2 Applied Stochastic Models in Business and Industry
2 Journal of Systems Science and Complexity
2 Statistical Methods and Applications
2 The European Physical Journal B. Condensed Matter and Complex Systems
2 AStA. Advances in Statistical Analysis
2 The Annals of Applied Statistics
2 SIAM Journal on Financial Mathematics
2 Journal of Econometric Methods
1 Advances in Applied Probability
1 International Journal of Systems Science
1 Lithuanian Mathematical Journal
1 Metrika
1 Psychometrika
1 Chaos, Solitons and Fractals
1 Annals of the Institute of Statistical Mathematics
1 The Annals of Probability
1 Biometrics
1 BIT
1 International Economic Review
1 International Statistical Review
1 Journal of Computational and Applied Mathematics
1 Journal of Mathematical Economics
1 Mathematics and Computers in Simulation
1 Opsearch
1 SIAM Journal on Numerical Analysis
1 Journal of the Japan Statistical Society
1 Operations Research Letters
1 Stochastic Analysis and Applications
1 Acta Applicandae Mathematicae
1 Statistics
1 Applied Stochastic Models and Data Analysis
1 Statistical Science
1 Mathematical and Computer Modelling
1 Proceedings of the National Academy of Sciences of the United States of America
1 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
1 Mathematical Programming. Series A. Series B
1 International Journal of Bifurcation and Chaos in Applied Sciences and Engineering
1 SIAM Journal on Scientific Computing
1 Open Economies Review
1 Statistical Papers
1 Journal of Mathematical Sciences (New York)
1 Economic Theory
1 Monte Carlo Methods and Applications
1 Journal of Nonparametric Statistics
1 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
1 Nonlinear Dynamics
1 Soft Computing
1 Studies in Nonlinear Dynamics and Econometrics
1 Journal of the Royal Statistical Society. Series B. Statistical Methodology
1 Discrete Dynamics in Nature and Society
1 Methodology and Computing in Applied Probability
1 International Journal of Modern Physics C
1 Discrete and Continuous Dynamical Systems. Series B
1 Decisions in Economics and Finance
...and 18 more Serials

Citations by Year