George Tauchen
Biographic Data
| ID | 5852168 |
|---|---|
| NAME | George Tauchen |
| GIVEN NAMES | George |
| FAMILY NAME | Tauchen |
| SIGNATURE | TAUCHEN G |
| AFFILIATIONS | Duke University |
| ORCID | 0000-0003-0518-3611 |
| VERIFIED | Yes |
| TOTAL WORKS | 14 |
| TOTAL CITATIONS | 1 |
| AUTHOR COUNT | 14 |
| EDITOR COUNT | 0 |
| FIRST PUBLICATION YEAR | 1981 |
| LATEST PUBLICATION YEAR | 2019 |
| H-INDEX | 1 |
Rank Tests at Jump Events
We propose a test for the rank of a cross-section of processes at a set of jump events. The jump events are either specific known times or are random and associated with jumps of some process. The test is formed from discretely sampled data on a fixed time interval with asymptotically shrinking mesh. In the first step, we form nonparametric estimates of the jump events via thresholding techniques. We then compute the eigenvalues of the outer prod…
Volatility Jumps
The article undertakes a nonparametric analysis of the high-frequency movements in stock market volatility using very finely sampled data on the VIX volatility index compiled from options data by the CBOE. We derive theoretically the link between pathwise properties of the latent spot volatility and the VIX index, such as presence of continuous martingale and/or jumps, and further show how to make statistical inference about them from the observe…
Simulation Methods for Lévy-Driven Continuous-Time Autoregressive Moving Average (Carma) Stochastic Volatility Models
We develop simulation schemes for the new classes of non-Gaussian pure jump Lévy processes for stochastic volatility. We write the price and volatility processes as integrals against a vector Lévy process, which makes series approximation methods directly applicable. These methods entail simulation of the Lévy increments and formation of weighted sums of the increments; they do not require a closed-form expression for a tail mass function or spec…
Regime Shifts, Risk Premiums in the Term Structure, and the Business Cycle
Recent evidence indicates that using multiple forward rates sharply predicts future excess returns on U.S. Treasury bonds—the R 2 ’s being around 30%. The projection coefficients in these regressions exhibit a distinct pattern that relates to the maturity of the forward rate. These dimensions of the data in conjunction with the transition dynamics of bond yields offer a serious challenge to term structure models. In this paper we show that a regi…
Testing Target-Zone Models Using Efficient Method of Moments
The objectives of this article are threefold—(1) to test target-zone models using more efficient and direct econometric methodology than previous research, (2) to identify an implicit band, if it exists, from observed data and to test target-zone models based on the estimated implicit band rather than the stated official band, and (3) to examine whether the exchange rate can be modeled as a managed float system with a central parity that lacks a …
Using Daily Range Data to Calibrate Volatility Diffusions and Extract the Forward Integrated Variance
Acommon model for security price dynamics is the continuous-time stochastic volatility model. For this model, Hull and White (1987) show that the price of a derivative claim is the conditional expectation of the Black-Scholes price with the forward integrated variance replacing the Black-Scholes variance. Implementing the Hull and White characterization requires both estimates of the price dynamics and the conditional distribution of the forward …
The Objective Function of Simulation Estimators Near the Boundary of the Unstable Region of the Parameter Space
The paper examines the role of stability constraints in estimation by dynamic simulation. In particular, it analyzes the behavior of the objective function on either side of the boundary of the stability region of the parameter space. The main finding is that stability constraints may be ignored because the simulation-based objective function contains a built-in penalty to enforce stability. A key caveat, however, is that the dynamic stability of…
Daniel B. Nelson, 1959–1995
(1995). Daniel B. Nelson, 1959–1995. Journal of Business & Economic Statistics: Vol. 13, No. 4, pp. 361-361
Remarks on my Term at JBES
(1993). Remarks on my Term at JBES. Journal of Business & Economic Statistics: Vol. 11, No. 4, pp. 428-431
The Journal of Business & Economic Statistics
(1993). The Journal of Business & Economic Statistics: The First 10 Years and a Look Ahead. Journal of Business & Economic Statistics: Vol. 11, No. 4, pp. 425-425
Solving the Stochastic Growth Model by Using Quadrature Methods and Value-Function Iterations
This article presents a solution algorithm for the capital growth model. The algorithm uses value- function iterations on a discrete state space. The quadrature method is used to set the grid for the exogenous process, and a simple equispaced scheme in logarithms is used to set the grid for the endogenous capital process. The algorithm can produce a solution to within four-digit accuracy using a state space composed of 1,800 points in total. © 19…
[Statistical Properties of Generalized Method-of-Moments Estimators of Structural Parameters Obtained from Financial Market Data]
George Tauchen, [Statistical Properties of Generalized Method-of-Moments Estimators of Structural Parameters Obtained from Financial Market Data]: Reply, Journal of Business & Economic Statistics, Vol. 4, No. 4 (Oct., 1986), pp. 423-425
Statistical Properties of Generalized Method-of-Moments Estimators of Structural Parameters Obtained From Financial Market Data
The article examines the properties of generalized method of moments GMM estimators of utility function parameters. The research strategy is to apply the GMM procedure to generated data on asset returns from stochastic exchange economies; discrete methods and Markov chain models are used to approximate the solutions to the integral equations for the asset prices. The findings are as follows: (a) There is variance/bias trade-off regarding the numb…
Some Evidence on Cross-Sector Effects of the Minimum Wage
This paper tests Mincer's minimum-wage model by estimating reduced-form wage and employment equations for both the covered and uncovered sectors in nine regions of the United States. As theory predicts, in regions with comparatively small covered-sector demand elasticities, the northern and midwestern regions, the uncovered-sector wage increases after a minimum-wage hike; and in regions with comparatively large demand elasticities, the southern a…
Some Evidence on Cross-Sector Effects of the Minimum Wage
This paper tests Mincer's minimum-wage model by estimating reduced-form wage and employment equations for both the covered and uncovered sectors in nine regions of the United States. As theory predicts, in regions with comparatively small covered-sector demand elasticities, the northern and midwestern regions, the uncovered-sector wage increases after a minimum-wage hike; and in regions with comparatively large demand elasticities, the southern a…
Some Evidence on Cross-Sector Effects of the Minimum Wage
This paper tests Mincer's minimum-wage model by estimating reduced-form wage and employment equations for both the covered and uncovered sectors in nine regions of the United States. As theory predicts, in regions with comparatively small covered-sector demand elasticities, the northern and midwestern regions, the uncovered-sector wage increases after a minimum-wage hike; and in regions with comparatively large demand elasticities, the southern a…
[Statistical Properties of Generalized Method-of-Moments Estimators of Structural Parameters Obtained from Financial Market Data]
George Tauchen, [Statistical Properties of Generalized Method-of-Moments Estimators of Structural Parameters Obtained from Financial Market Data]: Reply, Journal of Business & Economic Statistics, Vol. 4, No. 4 (Oct., 1986), pp. 423-425
Statistical Properties of Generalized Method-of-Moments Estimators of Structural Parameters Obtained From Financial Market Data
The article examines the properties of generalized method of moments GMM estimators of utility function parameters. The research strategy is to apply the GMM procedure to generated data on asset returns from stochastic exchange economies; discrete methods and Markov chain models are used to approximate the solutions to the integral equations for the asset prices. The findings are as follows: (a) There is variance/bias trade-off regarding the numb…
Solving the Stochastic Growth Model by Using Quadrature Methods and Value-Function Iterations
This article presents a solution algorithm for the capital growth model. The algorithm uses value- function iterations on a discrete state space. The quadrature method is used to set the grid for the exogenous process, and a simple equispaced scheme in logarithms is used to set the grid for the endogenous capital process. The algorithm can produce a solution to within four-digit accuracy using a state space composed of 1,800 points in total. © 19…
Remarks on my Term at JBES
(1993). Remarks on my Term at JBES. Journal of Business & Economic Statistics: Vol. 11, No. 4, pp. 428-431
The Journal of Business & Economic Statistics
(1993). The Journal of Business & Economic Statistics: The First 10 Years and a Look Ahead. Journal of Business & Economic Statistics: Vol. 11, No. 4, pp. 425-425
Daniel B. Nelson, 1959–1995
(1995). Daniel B. Nelson, 1959–1995. Journal of Business & Economic Statistics: Vol. 13, No. 4, pp. 361-361
The Objective Function of Simulation Estimators Near the Boundary of the Unstable Region of the Parameter Space
The paper examines the role of stability constraints in estimation by dynamic simulation. In particular, it analyzes the behavior of the objective function on either side of the boundary of the stability region of the parameter space. The main finding is that stability constraints may be ignored because the simulation-based objective function contains a built-in penalty to enforce stability. A key caveat, however, is that the dynamic stability of…
Using Daily Range Data to Calibrate Volatility Diffusions and Extract the Forward Integrated Variance
Acommon model for security price dynamics is the continuous-time stochastic volatility model. For this model, Hull and White (1987) show that the price of a derivative claim is the conditional expectation of the Black-Scholes price with the forward integrated variance replacing the Black-Scholes variance. Implementing the Hull and White characterization requires both estimates of the price dynamics and the conditional distribution of the forward …
Testing Target-Zone Models Using Efficient Method of Moments
The objectives of this article are threefold—(1) to test target-zone models using more efficient and direct econometric methodology than previous research, (2) to identify an implicit band, if it exists, from observed data and to test target-zone models based on the estimated implicit band rather than the stated official band, and (3) to examine whether the exchange rate can be modeled as a managed float system with a central parity that lacks a …
Regime Shifts, Risk Premiums in the Term Structure, and the Business Cycle
Recent evidence indicates that using multiple forward rates sharply predicts future excess returns on U.S. Treasury bonds—the R 2 ’s being around 30%. The projection coefficients in these regressions exhibit a distinct pattern that relates to the maturity of the forward rate. These dimensions of the data in conjunction with the transition dynamics of bond yields offer a serious challenge to term structure models. In this paper we show that a regi…
Simulation Methods for Lévy-Driven Continuous-Time Autoregressive Moving Average (Carma) Stochastic Volatility Models
We develop simulation schemes for the new classes of non-Gaussian pure jump Lévy processes for stochastic volatility. We write the price and volatility processes as integrals against a vector Lévy process, which makes series approximation methods directly applicable. These methods entail simulation of the Lévy increments and formation of weighted sums of the increments; they do not require a closed-form expression for a tail mass function or spec…
Volatility Jumps
The article undertakes a nonparametric analysis of the high-frequency movements in stock market volatility using very finely sampled data on the VIX volatility index compiled from options data by the CBOE. We derive theoretically the link between pathwise properties of the latent spot volatility and the VIX index, such as presence of continuous martingale and/or jumps, and further show how to make statistical inference about them from the observe…
Rank Tests at Jump Events
We propose a test for the rank of a cross-section of processes at a set of jump events. The jump events are either specific known times or are random and associated with jumps of some process. The test is formed from discretely sampled data on a fixed time interval with asymptotically shrinking mesh. In the first step, we form nonparametric estimates of the jump events via thresholding techniques. We then compute the eigenvalues of the outer prod…
Econometrics (12 works) · Mathematics (12 works) · Economics (10 works) · Statistics (10 works) · Computer Science (6 works) · Financial Risk and Volatility Modeling (5 works) · Monetary Policy and Economic Impact (5 works) · Physics (5 works) · Applied Mathematics (4 works) · Complex Systems and Time Series Analysis (4 works)