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
Rational Pessimism, Rational Exuberance, and Asset Pricing Models
TL;DR: In this article, the authors examine the empirical plausibility of asset pricing models that attempt to explain features of financial markets such as the size of the equity premium and the volatility of the stock market.
Journal ArticleDOI
Volume, volatility, and leverage: A dynamic analysis
TL;DR: In this paper, the authors use dynamic impulse response analysis to investigate the interrelationships among stock price volatility, trading volume, and the leverage effect, and apply it to a long panel of daily observations on the price and trading volume of four stocks actively traded on the NYSE: Boeing, Coca-Cola, IBM and MMM.
Book ChapterDOI
A nonparametric approach to nonlinear time series analysis: estimation and simulation*
A. Ronald Gallant,George Tauchen +1 more
TL;DR: In this paper, the authors describe a method of nonlinear time series analysis suitable for nonlinear, stationary, multivariate processes whose one-step-ahead conditional density depends on a finite number of lags.
Posted Content
Alternative Models for Stock Price Dynamics
TL;DR: In this article, the role of various volatility specifications, such as multiple stochastic volatility (SV) factors and jump components, in appropriate modeling of equity return distributions is evaluated.
Journal ArticleDOI
Volatility in Equilibrium: Asymmetries and Dynamic Dependencies
TL;DR: In this article, the authors developed the first internally consistent equilibria-based explanation for stock market volatility clusters in time, appears fractionally integrated, carries a risk premium, and exhibits asymmetric leverage effects.