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Stochastic volatility in general equilibrium

Tauchen, George Eugene - In: The quarterly journal of finance 1 (2011) 4, pp. 707-731

Persistent link: https://www.econbiz.de/10009553957

Notes on financial econometrics

Tauchen, George Eugene - In: Journal of econometrics 100 (2001) 1, pp. 57-64

Persistent link: https://www.econbiz.de/10001546141

The objective function of simulation estimators near the boundary of the unstable region of the parameter space

Tauchen, George Eugene - In: The review of economics and statistics 80 (1998) 3, pp. 389-398

Persistent link: https://www.econbiz.de/10001245214

Finite state Markov chain approximations to univariate and vector autoregressions

Tauchen, George Eugene - In: Economics letters 20 (1986) 2, pp. 177-181

Persistent link: https://www.econbiz.de/10001008731

A note on the asymptotic lower bound for the covariance matrix of the GMM estimator of the parameters of agents' utility functions

Tauchen, George Eugene - In: Economics letters 20 (1986) 2, pp. 151-155

Persistent link: https://www.econbiz.de/10001008736

Statistical properties of generalized method-of-moments estimators of structural parameters obtained from financial market data

Tauchen, George Eugene - In: Journal of business & economic statistics : JBES ; a … 4 (1986) 4, pp. 397-425

Persistent link: https://www.econbiz.de/10001012588

New minimum chi-square methods in empirical finance

Tauchen, George Eugene - 1997

Persistent link: https://www.econbiz.de/10001328729

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

Tauchen, George Eugene - In: Journal of empirical finance 8 (2001) 5, pp. 695-704

Persistent link: https://www.econbiz.de/10001655362

New directions in nonlinear structural estimation : Bayes and Frequentist: editorial

Tauchen, George Eugene - In: Journal of econometrics 228 (2022) 1, pp. 1-3

Persistent link: https://www.econbiz.de/10013441706

Data-driven jump detection thresholds for application in jump regressions

Davies, Robert; Tauchen, George - In: Econometrics 6 (2018) 2, pp. 1-25

This paper develops a method to select the threshold in threshold-based jump detection methods. The method is motivated by an analysis of threshold-based jump detection methods in the context of jump-diffusion models. We show that over the range of sampling frequencies a researcher is most...

Persistent link: https://www.econbiz.de/10011995217

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