G
George Tauchen
Researcher at Duke University
Publications - 139
Citations - 19742
George Tauchen is an academic researcher from Duke University. The author has contributed to research in topics: Stochastic volatility & Volatility (finance). The author has an hindex of 51, co-authored 138 publications receiving 18952 citations. Previous affiliations of George Tauchen include Northwestern University.
Papers
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Journal ArticleDOI
Pricing of the time-change risks
TL;DR: In this paper, the authors develop an equilibrium endowment economy with Epstein-Zin recursive utility and a Levy time-change subordinator, which represents a clock that connects business and calendar time.
Kolmogorov-Smirnov type Tests for Local Gaussianity in High-Frequency Data
George Tauchen,Viktor Todorov +1 more
TL;DR: In this article, a nonparametric test for the class of It^o semimartingales with non-vanishing difiusion component using high-frequency record of the process on an interval with flxed span was derived.
Book ChapterDOI
Specification Analysis of Continuous Time Models in Finance
A. Ronald Gallant,George Tauchen +1 more
TL;DR: In this article, the use of the Gallant-Tauchen efficient method of moments (EMM) technique for diagnostic checking of stochastic differential equations (SDEs) estimated from financial market data is described.
Journal ArticleDOI
Specification Analysis of Continuous Time Models in Finance
TL;DR: In this article, the use of the Gallant-Tauchen efficient method of moments (EMM) technique for diagnostic checking of stochastic differential equations (SDEs) estimated from financial market data is described.