George E. Tauchen
William Henry Glasson Distinguished Professor of Economics
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 Statistical Association (JASA), and JBES. He is currently Co-Editor of the Journal of Financial Econometrics.
Current Appointments & Affiliations
- William Henry Glasson Distinguished Professor of Economics, Economics, Trinity College of Arts & Sciences 1997 - 2022
- Professor of Economics, Economics, Trinity College of Arts & Sciences 1988
Contact Information
- 224 Social Sciences, Durham, NC 27708
- Box 90097, Durham, NC 27708-0097
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george.tauchen@duke.edu
(919) 660-1812
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Personal Website
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http://www.econ.duke.edu/~get/
- Background
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Education, Training, & Certifications
- Ph.D., University of Minnesota, Twin Cities 1978
- B.A., University of Wisconsin - Madison 1971
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Duke Appointment History
- Associate Professor with Tenure, Economics, Trinity College of Arts & Sciences 1983 - 1988
- Assistant Professor, Economics, Trinity College of Arts & Sciences 1977 - 1983
- Recognition
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Awards & Honors
- Publications & Artistic Works
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Selected Publications
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Books
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Barnett, William A., James Powell, and George E. Tauchen, eds. Nonparametric and Semiparametric Methods in Econometrics and Statistics, 1991.
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Academic Articles
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Zhang, C., J. Li, V. Todorov, and G. Tauchen. “Variation and efficiency of high-frequency betas.” Journal of Econometrics, January 1, 2020. https://doi.org/10.1016/j.jeconom.2020.05.022.Full Text
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Li, J., V. Todorov, and G. Tauchen. “Jump factor models in large cross-sections.” Quantitative Economics 10, no. 2 (May 1, 2019): 419–56. https://doi.org/10.3982/QE1060.Full Text
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Li, J., V. Todorov, G. Tauchen, and H. Lin. “Rank Tests at Jump Events.” Journal of Business and Economic Statistics 37, no. 2 (April 3, 2019): 312–21. https://doi.org/10.1080/07350015.2017.1328362.Full Text
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Ronald Gallant, A., and G. Tauchen. “Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale.” Journal of Econometrics 205, no. 1 (July 1, 2018): 140–55. https://doi.org/10.1016/j.jeconom.2018.03.008.Full Text
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Davies, R., and G. Tauchen. “Data-driven jump detection thresholds for application in jump regressions.” Econometrics 6, no. 2 (June 1, 2018). https://doi.org/10.3390/econometrics6020016.Full Text Open Access Copy
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Li, J., V. Todorov, G. Tauchen, and R. Chen. “Mixed-scale jump regressions with bootstrap inference.” Journal of Econometrics 201, no. 2 (December 1, 2017): 417–32. https://doi.org/10.1016/j.jeconom.2017.08.017.Full Text
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Li, J., V. Todorov, and G. Tauchen. “Adaptive estimation of continuous-time regression models using high-frequency data.” Journal of Econometrics 200, no. 1 (September 1, 2017): 36–47. https://doi.org/10.1016/j.jeconom.2017.01.010.Full Text
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Li, J., V. Todorov, and G. Tauchen. “Robust Jump Regressions.” Journal of the American Statistical Association 112, no. 517 (January 2, 2017): 332–41. https://doi.org/10.1080/01621459.2016.1138866.Full Text Open Access Copy
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Li, J., V. Todorov, and G. Tauchen. “Jump Regressions.” Econometrica 85, no. 1 (January 1, 2017): 173–95. https://doi.org/10.3982/ECTA12962.Full Text Open Access Copy
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Li, J., V. Todorov, and G. Tauchen. “ESTIMATING THE VOLATILITY OCCUPATION TIME VIA REGULARIZED LAPLACE INVERSION.” Econometric Theory 32, no. 5 (October 1, 2016): 1253–88. https://doi.org/10.1017/S0266466615000171.Full Text
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Li, J., V. Todorov, and G. Tauchen. “Inference theory for volatility functional dependencies.” Journal of Econometrics 193, no. 1 (July 1, 2016): 17–34. https://doi.org/10.1016/j.jeconom.2016.01.004.Full Text
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Ghysels, E., and G. Tauchen. “Introduction to: Reflections on the probability space induced by moment conditions with implications for Bayesian inference.” Journal of Financial Econometrics 14, no. 2 (March 1, 2016): 227–28. https://doi.org/10.1093/jjfinec/nbv009.Full Text
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Andersen, T. G., O. Bondarenko, V. Todorov, and G. Tauchen. “The fine structure of equity-index option dynamics.” Journal of Econometrics 187, no. 2 (August 1, 2015): 532–46. https://doi.org/10.1016/j.jeconom.2015.02.037.Full Text
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Reiß, M., V. Todorov, and G. Tauchen. “Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data.” Stochastic Processes and Their Applications 125, no. 8 (August 1, 2015): 2955–88. https://doi.org/10.1016/j.spa.2015.02.008.Full Text
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Todorov, V., G. Tauchen, and I. Grynkiv. “Volatility activity: Specification and estimation.” Journal of Econometrics 178, no. PART 1 (January 1, 2014): 180–93. https://doi.org/10.1016/j.jeconom.2013.08.015.Full Text
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Todorov, V., and G. Tauchen. “Limit theorems for the empirical distribution function of scaled increments of itô semimartingales at high frequencies.” Annals of Applied Probability 24, no. 5 (January 1, 2014): 1850–88. https://doi.org/10.1214/13-AAP965.Full Text
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Li, J., V. Todorov, and G. Tauchen. “Volatility occupation times.” Annals of Statistics 41, no. 4 (2013): 1865–91. https://doi.org/10.1214/13-AOS1135.Full Text
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Bollerslev, T., N. Sizova, and G. Tauchen. “Volatility in equilibrium: Asymmetries and dynamic dependencies.” Review of Finance 16, no. 1 (2012): 31–80. https://doi.org/10.1093/rof/rfr005.Full Text
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Todorov, V., and G. Tauchen. “The Realized Laplace Transform of Volatility.” Econometrica 80, no. 3 (2012): 1105–27. https://doi.org/10.3982/ECTA9133.Full Text
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Todorov, V., and G. Tauchen. “Inverse realized laplace transforms for nonparametric volatility density estimation in jump-diffusions.” Journal of the American Statistical Association 107, no. 498 (2012): 622–35. https://doi.org/10.1080/01621459.2012.682854.Full Text
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Todorov, V., and G. Tauchen. “Realized laplace transforms for pure-jump semimartingales.” Annals of Statistics 40, no. 2 (2012): 1233–62. https://doi.org/10.1214/12-AOS1006.Full Text
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Tauchen, G. “Stochastic Volatility in General Equilibrium.” Quarterly Journal of Finance 1, no. 4 (December 1, 2011): 707–31. https://doi.org/10.1142/S2010139211000237.Full Text Open Access Copy
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Todorov, V., G. Tauchen, and I. Grynkiv. “Realized Laplace transforms for estimation of jump diffusive volatility models.” Journal of Econometrics 164, no. 2 (October 1, 2011): 367–81. https://doi.org/10.1016/j.jeconom.2011.06.016.Full Text
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Shaliastovich, I., and G. Tauchen. “Pricing of the time-change risks.” Journal of Economic Dynamics and Control 35, no. 6 (June 1, 2011): 843–58. https://doi.org/10.1016/j.jedc.2011.01.003.Full Text
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Tauchen, G., and H. Zhou. “Realized jumps on financial markets and predicting credit spreads.” Journal of Econometrics 160, no. 1 (January 1, 2011): 102–18. https://doi.org/10.1016/j.jeconom.2010.03.023.Full Text
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Tauchen, G., and I. Shaliastovich. “Pricing Time Deformation Risk, Volatility Risk, and Levy Jump-Type Risk.” Journal of Economic Dynamics and Control 35, no. 6 (2011).Link to Item
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Todorov, V., and G. Tauchen. “Volatility jumps.” Journal of Business and Economic Statistics 29, no. 3 (2011): 356–71. https://doi.org/10.1198/jbes.2010.08342.Full Text
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Todorov, V., and G. Tauchen. “Limit theorems for power variations of pure-jump processes with application to activity estimation.” Annals of Applied Probability 21, no. 2 (2011): 546–88. https://doi.org/10.1214/10-AAP700.Full Text
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Gallant, A. R., and G. Tauchen. “Simulated Score Methods and Indirect Inference for Continuous-time Models,” December 1, 2010, 427–77. https://doi.org/10.1016/B978-0-444-50897-3.50011-0.Full Text
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Todorov, V., and G. Tauchen. “Activity signature functions for high-frequency data analysis.” Journal of Econometrics 154, no. 2 (February 1, 2010): 125–38. https://doi.org/10.1016/j.jeconom.2009.06.009.Full Text
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Bollerslev, T., G. Tauchen, and H. Zhou. “Expected stock returns and variance risk premia.” Review of Financial Studies 22, no. 11 (November 1, 2009): 4463–92. https://doi.org/10.1093/rfs/hhp008.Full Text
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Bollerslev, T., U. Kretschmer, C. Pigorsch, and G. Tauchen. “A discrete-time model for daily S & P500 returns and realized variations: Jumps and leverage effects.” Journal of Econometrics 150, no. 2 (June 1, 2009): 151–66. https://doi.org/10.1016/j.jeconom.2008.12.001.Full Text Open Access Copy
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Bollerslev, T., T. H. Law, and G. Tauchen. “Risk, jumps, and diversification.” Journal of Econometrics 144, no. 1 (May 1, 2008): 234–56. https://doi.org/10.1016/j.jeconom.2008.01.006.Full Text Open Access Copy
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Bansal, R., A. R. Gallant, and G. Tauchen. “Rational pessimism, rational exuberance, and asset pricing models.” Review of Economic Studies 74, no. 4 (2007): 1005–33. https://doi.org/10.1111/j.1467-937X.2007.00454.x.Full Text Open Access Copy
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Todorov, V., and G. Tauchen. “Simulation methods for Lévy-driven continuous-time autoregressive moving average (CARMA) stochastic volatility models.” Journal of Business and Economic Statistics 24, no. 4 (October 1, 2006): 455–69. https://doi.org/10.1198/073500106000000260.Full Text
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Bollerslev, T., J. Litvinova, and G. Tauchen. “Leverage and volatility feedback effects in high-frequency data.” Journal of Financial Econometrics 4, no. 3 (June 1, 2006): 353–84. https://doi.org/10.1093/jjfinec/nbj014.Full Text
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Huang, Xin, and George Tauchen. “The Relative Contribution of Jumps to Total Price Variance.” Journal of Financial Econometrics 3, no. 4 (2005): 456–99.
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Bansal, R., G. Tauchen, and H. Zhou. “Regime shifts, risk premiums in the term structure, and the business cycle.” Journal of Business and Economic Statistics 22, no. 4 (October 1, 2004): 396–409. https://doi.org/10.1198/073500104000000398.Full Text
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Chernov, M., A. R. Gallant, E. Ghysels, and G. Tauchen. “Alternative models for stock price dynamics.” Journal of Econometrics 116, no. 1–2 (September 1, 2003): 225–57. https://doi.org/10.1016/S0304-4076(03)00108-8.Full Text
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Ghysels, E., and G. Tauchen. “Frontiers of financial econometrics and financial engineering.” Journal of Econometrics 116, no. 1–2 (January 1, 2003): 1–7. https://doi.org/10.1016/S0304-4076(03)00101-5.Full Text Open Access Copy
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Tauchen, G. “Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment.” Journal of Business and Economic Statistics 20, no. 3 (2002): 331–32.
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Tauchen, G., G. B. Durham, and A. R. Gallant. “Comment [6] (multiple letters).” Journal of Business and Economic Statistics 20, no. 3 (January 1, 2002): 331-332+335+337.
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Tauchen, G. “The bias of tests for a risk premium in forward exchange rates.” Journal of Empirical Finance 8, no. 5 (December 1, 2001): 695–704. https://doi.org/10.1016/S0927-5398(01)00042-1.Full Text
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Chung, C. S., and G. Tauchen. “Testing target-zone models using efficient method of moments.” Journal of Business and Economic Statistics 19, no. 3 (January 1, 2001): 255–77. https://doi.org/10.1198/073500101681019891.Full Text
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Tauchen, G. “Notes on financial econometrics.” Journal of Econometrics 100, no. 1 (January 1, 2001): 57–64. https://doi.org/10.1016/S0304-4076(00)00054-3.Full Text Open Access Copy
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Chernov, Mikhail, A Ronald Gallant, Eric Ghysels, and George Tauchen. “A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation,” October 13, 1999.Open Access Copy
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Gallant, A. R., C. T. Hsu, and G. Tauchen. “Using daily range data to calibrate volatility diffusions and extract the forward integrated variance.” Review of Economics and Statistics 81, no. 4 (January 1, 1999): 617–31. https://doi.org/10.1162/003465399558481.Full Text
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Gallant, A. R., and G. Tauchen. “The relative efficiency of method of moments estimators.” Journal of Econometrics 92, no. 1 (January 1, 1999): 149–72. https://doi.org/10.1016/s0304-4076(98)00088-8.Full Text Open Access Copy
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Gallant, A. R., and G. Tauchen. “Reprojecting partially observed systems with application to interest rate diffusions.” Journal of the American Statistical Association 93, no. 441 (March 1, 1998): 10–24. https://doi.org/10.1080/01621459.1998.10474083.Full Text
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Tauchen, G. “The objective function of simulation estimators near the boundary of the unstable region of the parameter space.” Review of Economics and Statistics 80, no. 3 (January 1, 1998): 389–98. https://doi.org/10.1162/003465398557627.Full Text Open Access Copy
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Tauchen, G. “The objective function of simulation estimators near the boundary of the unstable region of the parameter space.” Review of Economics and Statistics 80, no. 3 (1998): 389–98.
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Gallant, A. R., and G. Tauchen. “Estimation of continuous-time models for stock returns and interest rates.” Macroeconomic Dynamics 1, no. 1 (December 1, 1997): 135–68.Open Access Copy
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Gallant, A. R., D. Hsiehb, and G. Tauchen. “Estimation of stochastic volatility models with diagnostics.” Journal of Econometrics 81, no. 1 (January 1, 1997): 159–92. https://doi.org/10.1016/S0304-4076(97)00039-0.Full Text Open Access Copy
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Ronald Gallant, A., and G. Tauchen. “Which moments to match?” Econometric Theory 12, no. 4 (January 1, 1996): 657–81. https://doi.org/10.1017/s0266466600006976.Full Text Open Access Copy
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Tauchen, G., H. Zhang, and M. Liu. “Volume, volatility, and leverage: A dynamic analysis.” Journal of Econometrics 74, no. 1 (January 1, 1996): 177–208. https://doi.org/10.1016/0304-4076(95)01755-0.Full Text Open Access Copy
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Bansal, R., A. R. Gallant, R. Hussey, and G. Tauchen. “Nonparametric estimation of structural models for high-frequency currency market data.” Journal of Econometrics 66, no. 1–2 (January 1, 1995): 251–87. https://doi.org/10.1016/0304-4076(94)01618-A.Full Text Open Access Copy
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Tauchen, G. “News Notes.” Econometric Reviews 13, no. 3 (January 1, 1994): V–vI. https://doi.org/10.1080/07474939408800288.Full Text
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Tauchen, G. “Editor’s report.” Journal of Business and Economic Statistics 12, no. 4 (January 1, 1994): 369. https://doi.org/10.1080/07350015.1994.10524552.Full Text
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Gallant, A Ronald, Peter E. Rossi, and George Tauchen. “Nonlinear Dynamic Structures.” Econometrica 61, no. 4 (July 1993): 871–871. https://doi.org/10.2307/2951766.Full Text Open Access Copy
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Bansal, G Tauchen with R., Robert Hussey, A. R. Gallant, and A. R. Tauchen G. “"A Nonparametric Simulation Estimator for Nonlinear Structural Models".” Computational Economics and Econometrics, 1993.
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Tauchen, G. “The journal of business & economic statistics: The first 10 years and a look ahead.” Journal of Business and Economic Statistics 11, no. 4 (January 1, 1993): 425. https://doi.org/10.1080/07350015.1993.10509976.Full Text
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Tauchen, G. “Editor’s report.” Journal of Business and Economic Statistics 11, no. 4 (January 1, 1993): 367. https://doi.org/10.1080/07350015.1993.10509965.Full Text
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Tauchen, G. “Remarks on my term at JBES.” Journal of Business and Economic Statistics 11, no. 4 (January 1, 1993): 428–31. https://doi.org/10.1080/07350015.1993.10509980.Full Text
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Gallant, A Ronald, Peter E. Rossi, and George Tauchen. “Stock Prices and Volume.” Review of Financial Studies 5, no. 2 (April 1992): 199–242. https://doi.org/10.1093/rfs/5.2.199.Full Text
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Tauchen, G., and R. Hussey. “Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models.” Econometrica 59, no. 2 (March 1991): 371–96.Open Access Copy
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Gallant, A. R., L. P. Hansen, and G. Tauchen. “Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution.” Journal of Econometrics 45, no. 1–2 (January 1, 1990): 141–79. https://doi.org/10.1016/0304-4076(90)90097-D.Full Text
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Tauchen, G. “Solving the stochastic growth model by using quadrature methods and value-function iterations.” Journal of Business and Economic Statistics 8, no. 1 (January 1, 1990): 49–51. https://doi.org/10.1080/07350015.1990.10509776.Full Text Open Access Copy
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Tauchen, G., A. R. Gallant, and L. P. Hansen. “"Using Conditional Moments of Asset Returns to Infer the Volatility of Intertemporal Marginal Rates of Substitution".” Journal of Econometrics 45, no. 112 (1990): 141–80.
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Gallant, A Ronald, and George Tauchen. “Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications.” Econometrica 57, no. 5 (September 1989): 1091–1091. https://doi.org/10.2307/1913624.Full Text Open Access Copy
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Tauchen, G. “"Statistical Properties of GMM Estimates of Structural Parameters Using Financial Market Data".” Journal of Business and Economic Statistics 4 (October 1986).
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Tauchen, G. “Reply.” Journal of Business and Economic Statistics 4, no. 4 (January 1, 1986): 423–25. https://doi.org/10.1080/07350015.1986.10509541.Full Text
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Tauchen, G. “A note on the asymptotic lower bound for the covariance matrix of the GMM estimator of the parameters of agents' utility functions.” Economics Letters 20, no. 2 (January 1, 1986): 151–55. https://doi.org/10.1016/0165-1765(86)90163-1.Full Text
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Tauchen, G. “Finite state markov-chain approximations to univariate and vector autoregressions.” Economics Letters 20, no. 2 (January 1, 1986): 177–81. https://doi.org/10.1016/0165-1765(86)90168-0.Full Text
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Tauchen, G. “Comment on Wood, McInish, and Ord.” Journal of Finance, July 1985.
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TAUCHEN, G. “DISCUSSION.” The Journal of Finance 40, no. 3 (January 1, 1985): 739–41. https://doi.org/10.1111/j.1540-6261.1985.tb04997.x.Full Text
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Tauchen, G. “Diagnostic testing and evaluation of maximum likelihood models.” Journal of Econometrics 30, no. 1–2 (January 1, 1985): 415–43. https://doi.org/10.1016/0304-4076(85)90149-6.Full Text Open Access Copy
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Cook, Philip J., and George Tauchen. “The Effect of Minimum Drinking Age Legislation on Youthful Auto Fatalities, 1970-1977.” The Journal of Legal Studies 13, no. 1 (January 1984): 169–90. https://doi.org/10.1086/467738.Full Text
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Tauchen, George E., and Mark Pitts. “The Price Variability-Volume Relationship on Speculative Markets.” Econometrica 51, no. 2 (March 1983): 485–485. https://doi.org/10.2307/1912002.Full Text Open Access Copy
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Cook, Philip J., and George Tauchen. “The Effect of Liquor Taxes on Heavy Drinking.” The Bell Journal of Economics 13, no. 2 (1982): 379–379. https://doi.org/10.2307/3003461.Full Text
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Salemi, M. K., and G. E. Tauchen. “Estimation of nonlinear learning models.” Journal of the American Statistical Association 77, no. 380 (January 1, 1982): 725–31. https://doi.org/10.1080/01621459.1982.10477877.Full Text
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Tauchen, George E. “Some Evidence on Cross-Sector Effects of the Minimum Wage.” Journal of Political Economy 89, no. 3 (June 1981): 529–47. https://doi.org/10.1086/260984.Full Text Open Access Copy
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Salemi, Michael K., and George E. Tauchen. “Guessing and the Error Structure of Learning Models.” American Economic Review 70, no. 2 (May 1980): 41–46.
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Book Sections
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Hsieh, D. A., A. R. Gallant, and G. Tauchen. “On Fitting a Recalcitrant Series: the Pound/Dollar Exchange Rate.” In Nonparametric and Semiparametric Methods in Econometrics and and Statistics, Proceedings of the Fifth International Symposium in Econmic Theory and Econometrics, edited by W. A. Barnett, J. Powell, and G. Tauchen, 199–240. Cambridge: Cambridge University Press, 1991.
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Hsieh, D. A., A. R. Gallant, and G. Tauchen. “On Fitting a Recalcitrant Series: the Pound/Dollar Exchange Rate.” In Nonparametric and Semiparametric Methods in Econometrics and and Statistics, Proceedings of the Fifth International Symposium in Econmic Theory and Econometrics, edited by W. A. Barnett, J. Powell, and G. Tauchen, 199–240. Cambridge: Cambridge University Press, 1991.
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Scholarly Editions
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Bollerslev, Tim, George Tauchen, and Natalia Sizova. “Volatility in Equilibrium: Asymmetries and Dynamic Dependencies,” August 1, 2009.
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Bollerslev, Tim, Natalia Sizova, and George Tauchen. “Volatility in Equilibrium: Asymmetries and Dynamic Dependencies,” 2009.
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Tauchen, George. “New Minimum Chi-Square Methods in Empirical Finance,” April 1996.Open Access Copy
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Gallant, A Ronald, and George Tauchen. “Specification Analysis of Continuous Time Models in Finance,” October 1995.Open Access Copy
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Bansal, Ravi, A Ronald Gallant, and George Tauchen. “Rational Pessimism, Rational Exuberance, and Asset Pricing Models,” n.d.Link to Item
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Bollerslev, Tim, Daniela Osterrieder, Natalia Sizova, and George Tauchen. “Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability,” n.d.
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- Scholarly, Clinical, & Service Activities
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Presentations & Appearances
- Realized Laplace Transforms for Estimation of Jump Diffusive Volatility Models, Toulouse May 2011. December 30, 2011 2011
- Realized Laplace Transforms for Estimation of Jump Diffusive Volatility Models. December 30, 2011 2011
- Realized Laplace Transforms for Estimation of Jump Diffusive Volatility Models, Toulouse School of Economics. December 1, 2010 2010
- Limit Theorems for Power Variations of Pure-Jump Processes with Application to Activity Estimation, University of HK. November 1, 2010 2010
- Realized Laplace Transforms for Estimation of Jump Diffusive Volatility Models, CEMFI. November 1, 2010 2010
- Realized Laplace Transforms for Estimation of Jump Diffusive Volatility Models, Oxford-Man Institute. October 1, 2010 2010
- The Realized Laplace Transform, Conference on 20 Years of Specification Testing in Econometrics. June 25, 2010 2010
- The Realized Laplace Transform. June 15, 2010 2010
- 2009 Meeting of the Latin American Econometric Society Region. October 1, 2009 2009
- Conference in Honor of Life Work of Adrian Pagan. July 10, 2009 2009
- SITE Workshop on High Frequency Data Analysis, Stanford University. January 7, 2009 2009
- Financial Econometrics Seminar. November 1, 2008 2008
- Conference in Honor of Peter Phillips. September 1, 2008 2008
- NBER-NSF time Series Meeting. September 1, 2008 2008
- Vast Data Conference. September 1, 2008 2008
- Symposium on High Frequency Financial Econometrics. August 1, 2008 2008
- East Asian Meeting of the Econometric Society. July 1, 2008 2008
- NBER Summer Institute. July 1, 2008 2008
- Probablity and Finance Conference. July 1, 2008 2008
- Statistics World Congress. July 1, 2008 2008
- SITE Workshop on High Frequency Data Analysis. June 1, 2008 2008
- Symposium on Nonlinear and Nonparametric Time Series. May 12, 2008 2008
- Financial Econometrics Conference. May 1, 2008 2008
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Service to the Profession
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