Tauchen, George: search on Z-Library

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1

The Price Variability-Volume Relationship on Speculative Markets

George E. Tauchen and Mark Pitts

Journal:

Year:

1983

Language:

english

File:

PDF, 586 KB

english, 1983

2

Which Moments to Match?

Gallant, A. Ronald, Tauchen, George

Journal:

Econometric Theory

Year:

1996

Language:

english

File:

PDF, 1.15 MB

english, 1996

3

Alternative models for stock price dynamics

Mikhail Chernov, A. Ronald Gallant, Eric Ghysels, George Tauchen

Journal:

Journal of Econometrics

Year:

2003

Language:

english

File:

PDF, 551 KB

english, 2003

4

Risk, jumps, and diversification

Tim Bollerslev, Tzuo Hann Law, George Tauchen

Journal:

Journal of Econometrics

Year:

2008

Language:

english

File:

PDF, 2.09 MB

english, 2008

5

Diagnostic testing and evaluation of maximum likelihood models

Journal:

Journal of Econometrics

Year:

1985

Language:

english

File:

PDF, 1.53 MB

english, 1985

6

Regime Shifts, Risk Premiums in the Term Structure, and the Business Cycle

Ravi Bansal, George Tauchen and Hao Zhou

Journal:

Journal of Business and Economic Statistics

Year:

2004

Language:

english

File:

PDF, 759 KB

english, 2004

7

Realized jumps on financial markets and predicting credit spreads

George Tauchen, Hao Zhou

Journal:

Journal of Econometrics

Year:

2011

Language:

english

File:

PDF, 1.35 MB

english, 2011

8

Frontiers of financial econometrics and financial engineering

Eric Ghysels, George Tauchen

Journal:

Journal of Econometrics

Year:

2003

Language:

english

File:

PDF, 71 KB

english, 2003

9

The bias of tests for a risk premium in forward exchange rates

Journal:

Journal of Empirical Finance

Year:

2001

Language:

english

File:

PDF, 72 KB

english, 2001

10

Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models

Tauchen, George, Hussey, Robert

Journal:

Year:

1991

Language:

english

File:

PDF, 474 KB

english, 1991

11

Stochastic Volatility in General Equilibrium

Tauchen, George

Journal:

The Quarterly Journal of Finance

Year:

2011

Language:

english

File:

PDF, 221 KB

english, 2011

12

The relative efficiency of method of moments estimators

A. Ronald Gallant, George Tauchen

Journal:

Journal of Econometrics

Year:

1999

Language:

english

File:

PDF, 434 KB

english, 1999

13

Risk and return: Long-run relations, fractional cointegration, and return predictability

Bollerslev, Tim, Osterrieder, Daniela, Sizova, Natalia, Tauchen, George

Journal:

Journal of Financial Economics

Year:

2013

Language:

english

File:

PDF, 1.14 MB

english, 2013

14

Statistical Properties of Generalized Method-of-Moments Estimators of Structural Parameters Obtained From Financial Market Data

Tauchen, George

Journal:

Journal of Business and Economic Statistics

Year:

1986

Language:

english

File:

PDF, 694 KB

english, 1986

15

Testing Target-Zone Models Using Efficient Method of Moments

Chae-Shick Chung and George Tauchen

Journal:

Journal of Business and Economic Statistics

Year:

2001

Language:

english

File:

PDF, 686 KB

english, 2001

16

Robust Jump Regressions

Li, Jia, Todorov, Viktor, Tauchen, George

Journal:

Journal of the American Statistical Association

Year:

2016

Language:

english

File:

PDF, 398 KB

english, 2016

17

Volatility Jumps

Todorov, Viktor, Tauchen, George

Journal:

Journal of Business and Economic Statistics

Year:

2011

Language:

english

File:

PDF, 380 KB

english, 2011

18

Simulation Methods for Lévy-Driven Continuous-Time Autoregressive Moving Average (CARMA) Stochastic Volatility Models

Todorov, Viktor, Tauchen, George

Journal:

Journal of Business and Economic Statistics

Year:

2006

Language:

english

File:

PDF, 500 KB

english, 2006

19

Simulation Methods for Lévy-Driven Continuous-Time Autoregressive Moving Average (CARMA) Stochastic Volatility Models

Viktor Todorov and George Tauchen

Journal:

Journal of Business and Economic Statistics

Year:

2006

Language:

english

File:

PDF, 1.95 MB

english, 2006

20

[Testing Target-Zone Models Using Efficient Method of Moments]: Reply

Chae-Shick Chung and George Tauchen

Journal:

Journal of Business and Economic Statistics

Year:

2001

Language:

english

File:

PDF, 114 KB

english, 2001

21

Regime Shifts, Risk Premiums in the Term Structure, and the Business Cycle

Bansal, Ravi, Tauchen, George, Zhou, Hao

Journal:

Journal of Business and Economic Statistics

Year:

2004

Language:

english

File:

PDF, 1.34 MB

english, 2004

22

Adaptive estimation of continuous-time regression models using high-frequency data

Li, Jia, Todorov, Viktor, Tauchen, George

Journal:

Journal of Econometrics

Year:

2017

Language:

english

File:

PDF, 555 KB

english, 2017

23

Realized Jumps on Financial Markets and Predicting Credit Spreads

Tauchen, George E., Zhou, Hao

Journal:

SSRN Electronic Journal

Year:

2006

Language:

english

File:

PDF, 821 KB

english, 2006

24

Papers and Proceedings of the Forty-Third Annual Meeting American Finance Association, Dallas, Texas, December 28-30, 1984 || An Investigation of Transactions Data for NYSE Stocks: Discussion

Journal:

The Journal of Finance

Year:

1985

Language:

english

File:

PDF, 202 KB

english, 1985

25

Nonparametric estimation of structural models for high-frequency currency market data

Ravi Bansal, A.Ronald Gallant, Robert Hussey, George Tauchen

Journal:

Journal of Econometrics

Year:

1995

Language:

english

File:

PDF, 2.32 MB

english, 1995

26

[Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes]: Comment

Journal:

Journal of Business and Economic Statistics

Year:

2002

Language:

english

File:

PDF, 128 KB

english, 2002

27

Expected Stock Returns and Variance Risk Premia

Tim Bollerslev, George Tauchen and Hao Zhou

Journal:

Review of Financial Studies

Year:

2009

Language:

english

File:

PDF, 2.06 MB

english, 2009

28

The Realized Laplace Transform of Volatility

Viktor Todorov, George Tauchen

Journal:

Year:

2012

Language:

english

File:

PDF, 261 KB

english, 2012

29

Daniel B. Nelson, 1959-1995

George Tauchen, Ruey Tsay and Mark Watson

Journal:

Journal of Business and Economic Statistics

Year:

1995

Language:

english

File:

PDF, 175 KB

english, 1995

30

The Objective Function of Simulation Estimators Near the Boundary of the Unstable Region of the Parameter Space

Tauchen, George

Journal:

Review of Economics and Statistics

Year:

1998

Language:

english

File:

PDF, 160 KB

english, 1998

31

Jump Regressions

Li, Jia, Todorov, Viktor, Tauchen, George

Journal:

Year:

2017

Language:

english

File:

PDF, 321 KB

english, 2017

32

Data-Driven Jump Detection Thresholds for Application in Jump Regressions

Davies, Robert, Tauchen, George

Journal:

Year:

2018

Language:

english

File:

PDF, 482 KB

english, 2018

33

Pricing of the Time-Change Risks

Tauchen, George E., Shaliastovich, Ivan

Journal:

SSRN Electronic Journal

Year:

2009

Language:

english

File:

PDF, 354 KB

english, 2009

34

The Effect of Minimum Drinking Age Legislation on Youthful Auto Fatalities, 1970-1977

Cook, Philip J., Tauchen, George

Journal:

The Journal of Legal Studies

Year:

1984

Language:

english

File:

PDF, 2.13 MB

english, 1984

35

Notes on financial econometrics

Journal:

Journal of Econometrics

Year:

2001

Language:

english

File:

PDF, 97 KB

english, 2001

36

Realized Laplace transforms for estimation of jump diffusive volatility models

Viktor Todorov, George Tauchen, Iaryna Grynkiv

Journal:

Journal of Econometrics

Year:

2011

Language:

english

File:

PDF, 659 KB

english, 2011

37

Reprojecting Partially Observed Systems with Application to Interest Rate Diffusions

A. Ronald Gallant and George Tauchen

Journal:

Journal of the American Statistical Association

Year:

1998

Language:

english

File:

PDF, 2.22 MB

english, 1998

38

Papers and Proceedings of the Ninety-Second Annual Meeting of the American Economic Association || Guessing and the Error Structure of Learning Models

Michael K. Salemi and George E. Tauchen

Journal:

American Economic Review

Year:

1980

Language:

english

File:

PDF, 203 KB

english, 1980

39

Remarks on my Term at JBES

Tauchen, George

Journal:

Journal of Business and Economic Statistics

Year:

1993

Language:

english

File:

PDF, 152 KB

english, 1993

40

Inference theory for volatility functional dependencies

Li, Jia, Todorov, Viktor, Tauchen, George

Journal:

Journal of Econometrics

Year:

2016

Language:

english

File:

PDF, 692 KB

english, 2016

41

A discrete-time model for daily S & P500 returns and realized variations: Jumps and leverage effects

Tim Bollerslev, Uta Kretschmer, Christian Pigorsch, George Tauchen

Journal:

Journal of Econometrics

Year:

2009

Language:

english

File:

PDF, 15.24 MB

english, 2009

42

Daniel B. Nelson, 1959–1995

Tauchen, George, Tsay, Ruey, Watson, Mark

Journal:

Journal of Business and Economic Statistics

Year:

1995

Language:

english

File:

PDF, 980 KB

english, 1995

43

Reply

Tauchen, George

Journal:

Journal of Business and Economic Statistics

Year:

1986

Language:

english

File:

PDF, 113 KB

english, 1986

44

REALIZED LAPLACE TRANSFORMS FOR PURE-JUMP SEMIMARTINGALES

Viktor Todorov and George Tauchen

Journal:

The Annals of Statistics

Year:

2012

Language:

english

File:

PDF, 2.03 MB

english, 2012

45

A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation

Chernov, Mikhail, Gallant, A. Ronald, Ghysels, Eric, Tauchen, George E.

Journal:

SSRN Electronic Journal

Year:

1999

File:

PDF, 537 KB

1999

46

Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications

Gallant, A. Ronald, Tauchen, George

Journal:

Year:

1989

Language:

english

File:

PDF, 820 KB

english, 1989

47

Rational Pessimism, Rational Exuberance, and Asset Pricing Models

Ravi Bansal, A. Ronald Gallant and George Tauchen

Journal:

Review of Economic Studies

Year:

2007

Language:

english

File:

PDF, 3.12 MB

english, 2007

48

The Relative Contribution of Jumps to Total Price Variance

Huang, Xin, Tauchen, George E.

Journal:

SSRN Electronic Journal

Year:

2005

Language:

english

File:

PDF, 1.16 MB

english, 2005

49

Statistical Properties of Generalized Method-of-Moments Estimators of Structural Parameters Obtained from Financial Market Data

Journal:

Journal of Business and Economic Statistics

Year:

1986

Language:

english

File:

PDF, 612 KB

english, 1986

50

Estimation of Nonlinear Learning Models

Salemi, Michael K., Tauchen, George E.

Journal:

Journal of the American Statistical Association

Year:

1982

Language:

english

File:

PDF, 657 KB

english, 1982

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