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The price variability-volume relationship on speculative markets

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GE Tauchen… - Econometrica: Journal of the Econometric Society, 1983 - JSTOR
Page 1. Econometrica, Vol. 51, No. 2 (March, 1983) THE PRICE VARIABILITY-VOLUME
RELATIONSHIP ON SPECULATIVE MARKETS BY GEORGE E. TAUCHEN AND MARK
PITTS' This paper concerns the relationship between ...
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Stock prices and volume

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AR Gallant, PE Rossi… - Review of Financial …, 1992 - Soc Financial Studies
Abstract We undertake a comprehensive investigation of price and volume co-movement
using daily New York Stock Exchange data from 1928 to 1987. We adjust the data to take
into account well-known calendar effects and long-run trends. To describe the process, we ...
Cited by 1056 - Related articles - Library Search - All 30 versions

Which moments to match?

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AR Gallant… - Econometric Theory, 1996 - Cambridge Univ Press
We describe an intuitive, simple, and systematic approach to generating moment conditions
for generalized method of moments (GMM) estimation of the parameters of a structural
model. The idea is to use the score of a density that has an analytic expression to define ...
Cited by 965 - Related articles - BL Direct - All 21 versions

Finite state Markov-chain approximations to univariate and vector autoregressions

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G Tauchen - Economics letters, 1986 - Elsevier
Abstract The paper develops a procedure for finding a discrete-valued Markov chain whose
sample paths approximate well those of a vector autoregression. The procedure has
applications in those areas of economics, finance, and econometrics where approximate ...
Cited by 705 - Related articles - All 12 versions

Quadrature-based methods for obtaining approximate solutions to nonlinear asset pricing models

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G Tauchen… - Econometrica: Journal of the Econometric Society, 1991 - JSTOR
The paper develops a discrete state space solution method for a class of nonlinear rational
expectations models. The method works by using numerical quadrature rules to
approximate the integral operators that arise in stochastic intertemporal models. The ...
Cited by 639 - Related articles - Get it from MIT Libraries - All 8 versions

Alternative models for stock price dynamics

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M Chernov, A Ronald Gallant, E Ghysels… - Journal of …, 2003 - Elsevier
This paper evaluates the role of various volatility specifications, such as multiple stochastic
volatility (SV) factors and jump components, in appropriate modeling of equity return
distributions. We use estimation technology that facilitates nonnested model comparisons ...
Cited by 555 - Related articles - Library Search - All 37 versions

Seminonparametric estimation of conditionally constrained heterogeneous processes: Asset pricing applications

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AR Gallant… - Econometrica: Journal of the Econometric Society, 1989 - JSTOR
The overidentifying restrictions of the intertemporal capital asset pricing model are usually
rejected when tested using data on consumption growth and asset returns, particularly when
additively separable, constant relative risk utility is attributed to the representative agent. ...
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The relative contribution of jumps to total price variance

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X Huang… - Journal of financial econometrics, 2005 - Oxford Univ Press
Abstract We examine tests for jumps based on recent asymptotic results; we interpret the
tests as Hausman-type tests. Monte Carlo evidence suggests that the daily ratio z-statistic
has appropriate size, good power, and good jump detection capabilities revealed by the ...
Cited by 368 - Related articles - BL Direct - All 23 versions

The effect of liquor taxes on heavy drinking

PJ Cook… - The Bell Journal of Economics, 1982 - JSTOR
In this article we present the strongest evidence to date that chronic heavy drinkers'
consumption is responsive to changes in the price of liquor. We estimate that an increase in
the liquor excise tax by one dollar (1967 prices) per proof gallon reduces the liver cirrhosis ...
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Nonlinear dynamic structures

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AR Gallant, PE Rossi… - Econometrica: Journal of the …, 1993 - JSTOR
The paper develops an approach for analyzing the dynamics of a nonlinear time series that
is represented by a nonparametric estimate of its one-step ahead conditional density. The
approach entails examination of conditional moment profiles corresponding to certain ...
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Statistical properties of generalized method-of-moments estimators of structural parameters obtained from financial market data

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G Tauchen - Journal of Business & Economic Statistics, 1986 - JSTOR
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 ...
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Diagnostic testing and evaluation of maximum likelihood models

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G Tauchen - Journal of Econometrics, 1985 - Elsevier
Abstract The paper develops a unified theory of likelihood specification testing based on M-
estimators of auxiliary parameters. The theory is sufficiently general to encompass a wide
class of specification tests including moment-based tests, Pearson-type goodness of fit ...
Cited by 301 - Related articles - All 7 versions

Estimation of stochastic volatility models with diagnostics

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AR Gallant, D Hsieh… - Journal of Econometrics, 1997 - Elsevier
Efficient method of moments (EMM) is used to fit the standard stochastic volatility model of
various extensions to several daily financial time series. EMM matches to the score of the
model determined by data analysis called the score generator. Discrepancies reveal ...
Cited by 296 - Related articles - All 23 versions

Reprojecting partially observed systems with application to interest rate diffusions

AR Gallant… - Journal of the American Statistical Association, 1998 - JSTOR
We introduce reprojection as a general purpose technique for characterizing the dynamic
response of a partially observed nonlinear system to its observable history. Reprojection is
the third step of a procedure wherein first data are summarized by projection onto a ...
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On fitting a recalcitrant series: the pound/dollar exchange rate, 1974-1983

AR Gallant, DA Hsieh… - … semiparametric methods in …, 1991 - books.google.com
Page 215. CHAPTER 8 On fitting a recalcitrant series: The pound/dollar exchange rate,
1974-1983 A. Ronald Gallant, David A. Hsieh, and George E. Tauchen 1 Introduction Two
well-known facts are characteristic of short-term price movements on financial markets. ...
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Using daily range data to calibrate volatility diffusions and extract the forward integrated variance

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AR Gallant, CT Hsu… - Review of Economics and Statistics, 1999 - MIT Press
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 ...
Cited by 169 - Related articles - All 23 versions

Expected stock returns and variance risk premia

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T Bollerslev, G Tauchen… - Review of Financial …, 2009 - Soc Financial Studies
Abstract Motivated by the implications from a stylized self-contained general equilibrium
model incorporating the effects of time-varying economic uncertainty, we show that the
difference between implied and realized variation, or the variance risk premium, is able to ...
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Effect of Minimum Drinking Age Legislation on Youthful Auto Fatalities, 1970-1977, The

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PJ Cook… - J. Legal Stud., 1984 - HeinOnline
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pdf %PDF-1.1 % 0 1 2 3 1 0 obj << /Type /Font /Name /R1 /Subtype /Type1 /BaseFont /Courier >>
endobj 2 0 obj << /Type /XObject /Subtype /Image /Name /Im1 /Filter ...
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New minimum chi-square methods in empirical finance

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G Tauchen - 1998 - papers.ssrn.com
Abstract: The paper reviews recently developed simulation-based minimum chi-square
estimators for structural models. Particular attention is paid to selection of the auxiliary model
that defines the GMM-type criterion used in the minimum chi-square estimation. ...
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Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution

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AR Gallant, LP Hansen… - Journal of Econometrics, 1990 - Elsevier
Abstract Previously Hansen and Jagannathan (1990a) derived and computed mean-
standard deviation frontiers for intertemporal marginal rates of substitution (IMRS) implied by
asset market data. These frontiers give the lower bounds on the standard deviations as a ...
Cited by 129 - Related articles - All 10 versions

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

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R Bansal, AR Gallant, R Hussey… - Journal of Econometrics, 1995 - Elsevier
Empirical modeling of high-frequency currency market data reveals substantial evidence for
nonnormality, stochastic volatility, and other nonlinearities. This paper investigates whether
an equilibrium monetary model can account for nonlinearities in weekly data. The model ...
Cited by 129 - Related articles - All 10 versions

Estimation of continuous-time models for stock returns and interest rates

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AR Gallant… - Macroeconomic Dynamics, 1997 - Cambridge Univ Press
Efficient Method of Moments is used to estimate and test continuous-time diffusion models
for stock returns and interest rates. For stock returns, a four-state, two-factor diffusion with
one state observed can account for the dynamics of the daily return on the S&P Composite ...
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Leverage and volatility feedback effects in high-frequency data

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T Bollerslev, J Litvinova… - Journal of Financial …, 2006 - Oxford Univ Press
Abstract We examine the relationship between volatility and past and future returns using
high-frequency aggregate equity index data. Consistent with a prolonged “leverage” effect,
we find the correlations between absolute high-frequency returns and current and past ...
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A discrete-time model for daily S & P500 returns and realized variations: Jumps and leverage effects

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T Bollerslev, U Kretschmer, C Pigorsch… - Journal of …, 2009 - Elsevier
We develop an empirically highly accurate discrete-time daily stochastic volatility model that
explicitly distinguishes between the jump and continuous-time components of price
movements using nonparametric realized variation and Bipower variation measures ...
Cited by 94 - Related articles - All 47 versions

Volume, volatility, and leverage: A dynamic analysis

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G Tauchen, H Zhang… - Journal of Econometrics, 1996 - Elsevier
This paper uses dynamic impulse response analysis to investigate the interrelationships
among stock price volatility, trading volume, and the leverage effect. Dynamic impulse
response analysis is a technique for analyzing the multi-step-ahead characteristics of a ...
Cited by 87 - Related articles - All 25 versions

Stochastic volatility in general equilibrium

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G Tauchen - 2004 - papers.ssrn.com
Abstract: The connections between stock market volatility and returns are studied within the
context of a general equilibrium framework. The framework rules out it a priori any purely
statistical relationship between volatility and returns by imposing uncorrelated innovations ...
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Regime shifts, risk premiums in the term structure, and the business cycle

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R Bansal, G Tauchen… - Journal of Business and …, 2004 - Taylor & Francis
Recent evidence indicates that using multiple forward rates sharply predicts future excess
returns on US Treasury Bonds, with 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. ...
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Realized jumps on financial markets and predicting credit spreads

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G Tauchen, H Zhou - Journal of Econometrics, 2011 - Elsevier
This paper extends the jump detection method based on bipower variation to identify
realized jumps on financial markets and to estimate parametrically the jump intensity, mean,
and variance. Finite sample evidence suggests that the jump parameters can be ...
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Risk, jumps, and diversification

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T Bollerslev, TH Law… - Journal of Econometrics, 2008 - Elsevier
We test for price discontinuities, or jumps, in a panel of high-frequency intraday stock returns
and an equiweighted index constructed from the same stocks. Using a new test for common
jumps that explicitly utilizes the cross-covariance structure in the returns to identify non- ...
Cited by 65 - Related articles - All 34 versions

A new class of stochastic volatility models with jumps: Theory and estimation

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M Chernov, A Gallant, E Ghysels… - 1999 - papers.ssrn.com
Abstract: The purpose of this paper is to propose a new class of jump diffusions which
feature both stochastic volatility and random intensity jumps. Previous studies have focused
primarily on pure jump processes with constant intensity and log-normal jumps or constant ...
Cited by 62 - Related articles - All 11 versions

The relative efficiency of method of moments estimators

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A Ronald Gallant… - Journal of Econometrics, 1999 - Elsevier
The asymptotic relative efficiency of efficient method of moments when implemented with a
seminonparametric auxiliary model is compared to that of conventional method of moments
when implemented with polynomial moment functions. Because the expectations required ...
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Rational pessimism, rational exuberance, and asset pricing models

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R Bansal, AR Gallant… - Review of Economic …, 2007 - Wiley Online Library
The paper estimates and examines the empirical plausibility of asset pricing models that
attempt to explain features of financial markets such as the size of the equity premium and
the volatility of the stock market. In one model, the long-run risks (LRR) model of Bansal ...
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Solving the stochastic growth model by using quadrature methods and value-function iterations

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G Tauchen - Journal of Business & Economic Statistics, 1990 - JSTOR
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 ...
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[PDF] Volatility jumps

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V Todorov… - Journal of Business and Economic Statistics, 2011 - ASA
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 ...
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Volatility in equilibrium: Asymmetries and dynamic dependencies

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T Bollerslev, N Sizova… - Review of Finance, 2012 - rpproxy.iii.com
Abstract Stock market volatility clusters in time, appears fractionally integrated, carries a risk
premium, and exhibits asymmetric leverage effects. At the same time, the volatility risk
premium, defined by the difference between the risk-neutral and objective expectations of ...
Cited by 37 - Related articles - All 31 versions

[PDF] Identifying realized jumps on financial markets

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G Tauchen, H Zhou - Manuscript, Duke University, 2005 - cfrn.cn
Abstract This paper extends the jump detection method based on bi-power variation and
swap variance measures to identify realized jumps on financial markets and to estimate
parametrically the jump intensity, mean, and variance. Such an approach does not require ...
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[CITATION] Computational aspects of nonparametric simulation estimation

R Bansal, AR Gallant… - Computational …, 1993 - Academic Publishers Boston, MA
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Simulation methods for Lévy-driven continuous-time autoregressive moving average (CARMA) stochastic volatility models

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V Todorov… - Journal of Business and Economic …, 2006 - Taylor & Francis
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 ...
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Activity signature functions for high-frequency data analysis

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V Todorov… - Journal of Econometrics, 2010 - Elsevier
We define a new concept termed activity signature function, which is constructed from
discrete observations of a continuous-time process, and derive its asymptotic properties as
the sampling frequency increases. We show that the function is a useful device for ...
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[BOOK] Nonparametric and semiparametric methods in econometrics and statistics: proceedings of the Fifth International Symposium in Economic Theory and …

WA Barnett, J Powell… - 1991 - books.google.com
... AND SEMIPARAMETRIC METHODS IN ECONOMETRICS AND STATISTICS PROCEEDINGS
OF THE FIFTH INTERNATIONAL SYMPOSIUM IN ECONOMIC THEORY AND ECONOMETRICS
EDITED BY WILLIAM A. BARNETT JAMES POWELL & GEORGE TAUCHEN Page 2. ...
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[PDF] Testing target-zone models using efficient method of moments

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CS Chung… - Journal of Business and Economic Statistics, 2001 - ASA
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 ...
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The bias of tests for a risk premium in forward exchange rates

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G Tauchen - Journal of Empirical Finance, 2001 - Elsevier
The pure expectations theory of unbiased forward exchange rates predicts that the slope
coefficient in a regression of the change in the spot rate on the difference between the
current forward and spot rates should equal unity. In the recent empirical work by Fama, ...
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The objective function of simulation estimators near the boundary of the unstable region of the parameter space

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G Tauchen - Review of Economics and Statistics, 1998 - MIT Press
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 ...
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[PDF] Rational pessimism, rational exuberance, and markets for macro risks

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R Bansal, R Gallant… - Manuscript, Fuqua School of Business, …, 2004 - lse.ac.uk
Abstract The paper examines two asset pricing models that attempt to explain features of
financial markets such as the size of the equity premium and the volatility of the stock market.
One model, based on Bansal and Yaron (2002), relies on low frequency movements in ...
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Notes on financial econometrics

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G Tauchen - Journal of Econometrics, 2001 - Elsevier
The first part of the discussion reviews recent successes in modeling of discrete time
financial data and argues that a direct approach is better suited than stochastic volatility. The
second part reviews recent work on estimating continuous time models with emphasis on ...
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Some evidence on cross-sector effects of the minimum wage

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GE Tauchen - The Journal of Political Economy, 1981 - JSTOR
Page 1. Some Evidence on Cross-Sector Effects of the Minimum Wage George E.
Tauchen Duke University This paper tests Mincer's minimum-wage model by
estimating reduced-form wage and employment equations for both ...
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Specification analysis of continuous time models in finance

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A Gallant, G Tauchen - 1997 - papers.ssrn.com
Abstract: The paper describes the use of the Gallant-Tauchen efficient method of moments
(EMM) technique for diagnostic checking of stochastic differential equations (SDEs)
estimated from financial market data. The EMM technique is a simulation-based method ...
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[PDF] Simulation methods for Lévy-driven CARMA stochastic volatility models

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V Todorov… - Journal of Business and Economic …, 2004 - econ.duke.edu
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 then makes series approximation methods directly ...
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[CITATION] The Dynamics of Domestic Violence: A Reanalysis of the Minneapolis Experiment

GE Tauchen, H Tauchen, AD Witte… - 1986 - Department of Economics, Wellesley …
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Guessing and the error structure of learning models

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MK Salemi… - The American Economic Review, 1980 - JSTOR
Page 1. Guessing and the Error Structure of Learning Models By MICHAEL K. SALEMI AND
GEORGE E. TAUCHEN* This paper is broadly concerned with problems associated with the
use of test score data to infer the relative strength of inputs to the production of learning. ...
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[CITATION] Simultaneous nonlinear learning models

MK Salemi… - Econometric modeling in …, 1987 - Kluwer-Nijhoff Boston
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[CITATION] Risk, jumps

T Bollerslev, TH Law… - 2007 - and diversification. Working paper, …
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The realized Laplace transform of volatility

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V Todorov… - 2009 - papers.ssrn.com
Abstract We introduce a new measure constructed from high-frequency financial data which
we call the Realized Laplace Transform of volatility. The statistic provides a nonparametric
estimate for the empirical Laplace transform of the latent stochastic volatility process over ...
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Leverage and volatility feedback effects in high-frequency data

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T Bollerslev, J Litvinova… - 2005 - papers.ssrn.com
Abstract: We examine the relationship between volatility and past and future returns in high-
frequency equity market data. Consistent with a prolonged leverage effect, we find the
correlations between absolute high-frequency returns and current and past high- ...
Cited by 7 - Related articles - All 8 versions

Realized Laplace transforms for estimation of jump diffusive volatility models

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V Todorov, G Tauchen… - Journal of Econometrics, 2011 - Elsevier
We develop an efficient and analytically tractable method for estimation of parametric
volatility models that is robust to price-level jumps. The method entails first integrating intra-
day data into the Realized Laplace Transform of volatility, which is a model-free estimate ...
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[CITATION] Volatility jumps

G Tauchen… - 2008 - working paper
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[PDF] Statistical assessment of models for very high frequency financial price dynamics

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T Bollerslev, R Gallant, C Pigorsch… - Unpublished …, 2006 - stat.uni-muenchen.de
... Tim Bollerslev (Duke University) Ron Gallant (Duke University) Christian Pigorsch(University
of Munich) Uta Pigorsch (University of Bonn) George Tauchen (Duke University) Workshop on
Statistical Modelling of Complex Systems SFB 386 October 12, 2006 Page 2. ...
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Frontiers of financial econometrics and financial engineering

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E Ghysels, G Tauchen - Journal of Econometrics, 2003 - Elsevier
The papers in this volume represent the most recent advances in the intersection of the
fields of financial econometrics and financial engineering. A collection of papers presented
at a conference organized by the Guest Editors in collaboration with Robert E. Whaley at ...
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Pricing of the time-change risks

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I Shaliastovich… - Journal of Economic Dynamics and Control, 2011 - Elsevier
We develop an equilibrium endowment economy with Epstein–Zin recursive utility and a
Lévy time-change subordinator, which represents a clock that connects business and
calendar time. Our setup provides a tractable equilibrium framework for pricing non- ...
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[PDF] Recent developments in stochastic volatility: statistical modelling and general equilibrium analysis

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G Tauchen - Unpublished Working paper, Duke University, 2004 - econ.duke.edu
Abstract The paper reviews findings from recent estimations using various techniques of
parametric continuous time models for financial price data, and it highlights some of the
identification problems. There is a clear need to make use of the high frequency data in ...
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[CITATION] Regime Shifts

R Bansal, G Tauchen… - Risk Premiums in the Term Structure, and the …, 2003
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[PDF] Testing Target Zone Models Using E cient Method of Moments,"

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CC Chung… - Journal of Business and Economic Statistics, …, 2001 - Citeseer
Abstract The objectives of the paper 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 ...
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[CITATION] Associate editor's introduction

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G Tauchen - Journal of Business and Economic Statistics, 1990
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[CITATION] Regime-Shifts in Term Structure, Expectations Hypothesis Puzzle, and the Real Business Cycle. forthcoming

R Bansal, G Tauchen… - Journal of Business and Economic Statistics, 2003
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A note on the asymptotic lower bound for the covariance matrix of the GMM estimator of the parameters of agents' utility functions

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G Tauchen - Economics Letters, 1986 - Elsevier
Abstract This paper derives under simplifying assumptions an explicit expression for the
lower bound on the asymptotic variance of the GMM estimate of the curvature parameter of
the CRR utility function. Numerical calculations indicate that qualitative conclusions ...
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[CITATION] Stock Returns and Volume

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R Gallant, P Rossi… - The Review of Financial Studies, 1992
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[CITATION] The small-sample bias of tests for a risk premium in forward exchange rates

G Tauchen - manuscript, Duke University, 1985
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[CITATION] The Price Variability-Volume Relationship on

GE Tauchen… - 1983
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[CITATION] New Minimum Chi-square Methods in Financial Economics

GE Tauchen - Invited Symposiums at the 7th World Congress of the …, 1995
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[CITATION] Simulated score methods and indirect inference for continuous-time models.” forthcoming in Handbook of Financial Econometrics

AR Gallant… - 2002
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[CITATION] Testing Target Zone Models Using Efficient Methods of Moments

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CS Cheung… - Journal of Business and Economic Statistics
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[PDF] Pricing Implications of Stochastic Volatility, Business Cycle Time Change and Non-Gaussianity

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I Shaliastovich… - Duke University, 2005 - cirano.qc.ca
Abstract We analyze discrete-time endowment economies featuring Epstein-Zin
nonexpected utility function, stochastic volatility in the endowment and separate time scales
for economic and actual activities in the economy. We extend traditional consumption ...
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[CITATION] OEstimation of stochastic Volatility Models with Diagnostics

G Ronald, H David… - 1994 - working Paper, Duke University
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[CITATION] ¡ 991, On fitting a recalcitrant series: The pound/dollar exchange rale, 1974-8.1

AR Gallant, DA Hsieh… - … and semiparametric methods in econometrics and …
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[CITATION] Remarks on My Term at JBES

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G Tauchen - Journal of Business & Economic Statistics, 1993 - econpapers.repec.org
... EconPapers has moved to http://EconPapers.repec.org! Please update your
bookmarks. Remarks on My Term at JBES. George Tauchen (). Journal of Business
& Economic Statistics, 1993, vol. 11, issue 4, pages 428-31. Date ...
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[CITATION] User's Guide for SNP: A Program for Nonparametric Time Series Analysis

AR Gallant… - 1996
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[CITATION] Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment

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G Tauchen - Journal of Business & Economic Statistics, 2002 - ideas.repec.org
No abstract is available for this item. ... To our knowledge, this item is not available for
download. To find whether it is available, there are three options: 1. Check below under "Related
research" whether another version of this item is available online. 2. Check on the ...
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An Investigation of Transactions Data for NYSE Stocks: Discussion

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G Tauchen - The Journal of Finance, 1985 - JSTOR
DISCUSSION GEORGE TAUCHEN*: This is a very good paper. Professors Wood, Ord, and
McInish have expended a great deal of effort to collect, edit, and analyze two very large data
sets, and they are to be commended for undertaking such a task. Their work uncovers a ...
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[CITATION] Expected Stock Returns and Variance Risk Premia (Digest Summary)

T Bollerslev, G Tauchen… - CFA Digest, 2010 - CFA Institute

Volatility Activity: Specification and Estimation

[PDF] from duke.edu
V Todorov, G Tauchen… - 2011 - papers.ssrn.com
Abstract: The paper examines volatility activity and its asymmetry and undertakes further
specification analysis of volatility models based on it. We develop new nonparametric
statistics using high frequency option-based VIX data to test for asymmetry in volatility ...
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[PDF] Eæcient Estimation of Multivariate Diæusions with Applications from Finance

[PDF] from stat.fi
G Tauchen - stat.fi
The task is to estimate the parameter vector ç of a vector diæusion model dUt= a Ut; ç dt+ b
Ut; ç dWt; t 0 where Ut is the state vector and Wt is a vector of standard Brownian motions.
The diæusion is assumed discretely sampled with the observed vector yt given by yt= ç Ut; ...
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[PDF] A. Ronald Gallant Department of Economics University of North Carolina, Chapel Hill Chien-Te Hsu Credit Suisse

[PDF] from psu.edu
G Tauchen - Citeseer
Abstract A common 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 ...
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[CITATION] Reproducing Partial Observed Systems with Application to Interest Rate Diffusions

AR Gallant… - Computing in Economics and Finance 1997 - ideas.repec.org
If you experience problems downloading a file, check if you have the proper application to
view it first. Information about this may be contained in the File-Format links below. In case of
further problems read the IDEAS help page. Note that these files are not on the IDEAS site ...
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Estimation of Continuous Time Models for Stock Returns and Interest Rates

GE Tauchen… - Working Papers, 1995 - ideas.repec.org
... Author info | Abstract | Publisher info | Download info | Related research | Statistics. Author
Info. Tauchen, George E. Gallant, A. Ronald Additional information is available for the
following registered author(s): George Tauchen. Abstract. ...
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[PDF] Reprojecting Partially Observed Systems with Application to Interest Rate Diffusions from January 5, 1992, to March 31, 1995

[PDF] from psu.edu
AR Gallant… - 1996 - Citeseer
Abstract We introduce reprojection as a general purpose technique for characterizing the
observable dynamics of a partially observed nonlinear system. System parameters are
estimated by method of moments wherein moments implied by the system are matched to ...
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[CITATION] Nonparametric and Semiparametric Methods in Econometrics and Statistiques: Proceedings of the Fifth International Symposium in Economic Theory and …

J Powell, GE Tauchen… - 1991 - Cambridge University Press
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[DOC] Assessing the Market's Use of Analyst Estimates and Quarterly Earnings Announcements

[DOC] from duke.edu
PG Tauchen… - public.econ.duke.edu
Every quarter, public firms disclose information that provides a benchmark for company
performance. Investors scrutinize these figures, not only to determine the health of a firm, but
also to compare them to analyst estimates. A difference in forecasted earnings and the ...
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[CITATION] A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects

TB Uta… - 2007
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[PDF] Realized Laplace Transforms for Estimation of Jump Diffusive Volatility Models

[PDF] from missouri.edu
G Tauchen - 2010 - economics.missouri.edu
Abstract We develop a new efficient and analytically tractable method for estimation of
parametric volatility models that is robust to price-level jumps and generally has good finite
sample properties. The method entails first integrating intra-day data into the Realized ...
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[CITATION] A. RONALD GALLANT, DAVID HSIEH AND

G TAUCHEN - Stochastic volatility: selected …, 2005 - Oxford University Press, USA
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[PDF] Simulated Score Methods and Indirect Inference for Continuous-time Models Initial Draft: August 2001 This Draft: March 2002

[PDF] from duke.edu
AR Gallant… - econ.duke.edu
Abstract We describe a simulated method of moments estimator that is implemented by
choosing the vector valued moment function to be the expectation under the structural model
of the score function of an auxiliary model, where the parameters of the auxiliary model ...
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[PDF] The Relationship Between Trading Volume and Jump Processes in Financial Markets

[PDF] from duke.edu
G Tauchen - 2009 - public.econ.duke.edu
Jumps are rare financial events in which asset prices move drastically from one moment in
time to the next. This paper aims to find what type of information flow causes these jumps to
occur in the financial market. Jumps can play an important role in risk and portfolio ...
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Sponsor: The Business and Economic Statistics Section of the American Statistical Association under the auspices of the Journal of Business and Economic Statistics …

G Tauchen - Taylor & Francis
In recognition of the high demand for more space for regular papers - ie, other than surveys and
shorter papers and letters - Econometric Reviews will review a larger number of standard length
manuscripts and will allocate more space for the publication of meritorious articles in the ...

[CITATION] Daniel B. Nelson, 1959-1995

Full text - MIT Libraries
G Tauchen, R Tsay… - Journal of Business & Economic Statistics, 1995 - JSTOR

[PDF] Testing the Relationship between Oil Equities and Oil Futures: A Look at Returns, Jumps, and Volatility

[PDF] from duke.edu
G Tauchen - 2008 - public.econ.duke.edu
July 15, 2008 was a historic day for petroleum markets in the US On the New York
Mercantile Exchange, crude oil opened at $146 per barrel, the highest price ever for the
commodity. After opening, the price dropped $6.44 per barrel, the largest single-day ...
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Levy Process Models for High Frequency Financial Data

G Tauchen - Working Papers, 2011 - ideas.repec.org
In this paper we present parametric estimation of models for stock returns by describing
price dynamic as the sum of two independent Levy components. The increments (moves)
are viewed as discrete-time log price changes that follow an infinitely divisible distribution, ...
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[CITATION] Estimation of complete equilibrium systems explaining aggregate unemployment, employment and the real wage

GE Tauchen - 1980 - Dept. of Economics, Duke University
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[CITATION] Maturity Effects for Time Varying Risk-Premiums in Option Prices

RB Balyeat, SS Pirinsky… - 2003
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Statistical Inference for Volatility Component Models

T Bollerslev… - 2008 - papers.ssrn.com
Abstract: The volatility component models have received much attention recently, not only
because of their ability to capture complex dynamics via a parsimonious parameter
structure, but also because it is believed that they can handle well structural breaks or non ...
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Inverse Realized Laplace Transforms for Nonparametric Volatility Estimation in Jump-Diffusions

V Todorov… - 2011 - papers.ssrn.com
Abstract: We develop a nonparametric estimator of the stochastic volatility density of a
discretely-observed Ito semimartingale in the setting of an increasing time span and finer
mesh of the observation grid. There are two steps. The first is aggregating the high- ...
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