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George E. Tauchen

Professor Emeritus of Economics
Economics
Box 90097, Durham, NC 27708-0097
210A Social Sciences, Durham, NC 27708

Overview


George Tauchen is the William Henry Glasson Professor of Economics and professor of finance at the Fuqua School of Business. He joined the Duke faculty in 1977 after receiving his Ph.D. from the University of Minnesota. He did his undergraduate work at the University of Wisconsin. Professor Tauchen is a fellow of the Econometric Society, the American Statistical Association, the Journal of Econometrics, and the Society for Financial Econometrics (SoFie). He is also the 2003 Duke University Scholar/Teacher of the Year. Professor Tauchen is an internationally known time series econometrician. He has developed several important new techniques for making statistical inference from financial time series data and for testing models of financial markets.  He has given invited lectures at many places around the world, including London, Paris, Beijing, Taipei, Hong Kong, and Sydney. His current research (with Professor Li of Duke) examines the impact of large jump-like moves in stock market returns on the returns of various portfolios and individual securities.  He is a former editor of the Journal of Business and Economic Statistics (JBES) and former associate editor of Econometrica, Econometric Theory, The Journal of the American StatisticalAssociation (JASA), and JBES.   He is currently Co-Editor of the Journal of Financial Econometrics.

Current Appointments & Affiliations


Professor Emeritus of Economics · 2022 - Present Economics, Trinity College of Arts & Sciences

Recent Publications


Disagreement in Market Index Options

Journal Article Journal of Financial Econometrics · January 1, 2024 We generate new evidence on disagreement among traders in the S&P 500 options market from high-frequency intraday price and volume data. Inference on disagreement is based on a model where investors observe public information but agree to disagree on its i ... Full text Cite

Variation and efficiency of high-frequency betas

Journal Article Journal of Econometrics · May 1, 2022 This paper studies the efficient estimation of betas from high-frequency return data on a fixed time interval. Under an assumption of equal diffusive and jump betas, we derive the semiparametric efficiency bound for estimating the common beta and develop a ... Full text Cite

New directions in nonlinear structural estimation: Bayes and Frequentist

Journal Article Journal of Econometrics · May 1, 2022 Full text Cite
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