George Tauchen

Available identifiers

zbMath Open tauchen.george-eMaRDI QIDQ284293

List of research outcomes

Publication	Date of Publication	Type
Variation and efficiency of high-frequency betas	2022-03-16	Paper
Jump factor models in large cross‐sections	2020-01-08	Paper
Jump Regressions	2019-01-31	Paper
Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale	2018-05-31	Paper
Mixed-scale jump regressions with bootstrap inference	2017-11-07	Paper
Adaptive estimation of continuous-time regression models using high-frequency data	2017-08-21	Paper
ESTIMATING THE VOLATILITY OCCUPATION TIME VIA REGULARIZED LAPLACE INVERSION	2017-04-28	Paper
Realized Laplace transforms for estimation of jump diffusive volatility models	2016-08-12	Paper
Realized jumps on financial markets and predicting credit spreads	2016-08-10	Paper
Activity signature functions for high-frequency data analysis	2016-07-25	Paper
A discrete-time model for daily S\&P500 returns and realized variations: jumps and leverage effects	2016-07-04	Paper
Risk, jumps, and diversification	2016-06-10	Paper
Inference theory for volatility functional dependencies	2016-05-18	Paper
A note on the asymptotic lower bound for the covariance matrix of the GMM estimator of the parameters of agents' utility functions	2016-01-01	Paper
The fine structure of equity-index option dynamics	2015-06-08	Paper
Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data	2015-05-27	Paper
Limit theorems for the empirical distribution function of scaled increments of Itô semimartingales at high frequencies	2014-09-25	Paper
Volatility activity: specification and estimation	2014-08-07	Paper
Volatility occupation times	2013-12-11	Paper
The Realized Laplace Transform of Volatility	2013-11-06	Paper
Inverse Realized Laplace Transforms for Nonparametric Volatility Density Estimation in Jump-Diffusions	2013-04-22	Paper
Volatility in Equilibrium: Asymmetries and Dynamic Dependencies*	2012-10-23	Paper
Realized Laplace transforms for pure-jump semimartingales	2012-08-29	Paper
Volatility Jumps	2011-08-24	Paper
Pricing of the time-change risks	2011-06-17	Paper
Limit theorems for power variations of pure-jump processes with application to activity estima\-tion	2011-05-11	Paper
Rational Pessimism, Rational Exuberance, and Asset Pricing Models	2007-11-21	Paper
https://portal.mardi4nfdi.de/entity/Q3374317	2006-03-09	Paper
Alternative models for stock price dynamics.	2003-08-07	Paper
Notes on financial econometrics	2001-06-05	Paper
The relative efficiency of method of moments estimators	2001-03-11	Paper
Reprojecting Partially Observed Systems with Application to Interest Rate Diffusions	1999-09-05	Paper
ESTIMATION OF CONTINUOUS-TIME MODELS FOR STOCK RETURNS AND INTEREST RATES	1999-07-05	Paper
Estimation of stochastic volatility models with diagnostics	1999-01-25	Paper
Nonparametric estimation of structural models for high-frequency currency market data	1995-06-06	Paper
Nonlinear Dynamic Structures	1994-02-02	Paper
https://portal.mardi4nfdi.de/entity/Q4015733	1993-01-16	Paper
Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models	1992-06-25	Paper
Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution	1990-01-01	Paper
Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications	1989-01-01	Paper
Diagnostic testing and evaluation of maximum likelihood models	1985-10-01	Paper
Diagnostic testing and evaluation of maximum likelihood models	1985-01-01	Paper
The Price Variability-Volume Relationship on Speculative Markets	1983-01-01	Paper

Research outcomes over time

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