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Browsing by Duke-affiliated Author "Tauchen, George E."

DukeSpace

Browsing by Duke-affiliated Author "Tauchen, George E."

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  • Specification Analysis of Continuous Time Models in Finance
    Gallant, A. Ronald; Tauchen, George (SSRN eLibrary, 1995)
    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 ...
  • Statistical Properties of Generalized Method-of-Moments Estimators of Structural Parameters Obtained from Financial Market Data
    Tauchen, George (Journal of Business & Economic Statistics, 1986)
    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 ...
  • Stochastic Volatility in General Equilibrium
    Tauchen, George (SSRN eLibrary, 2004)
    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 ...
  • Using Daily Range Data to Calibrate Volatility Diffusions and Extract the Forward Integrated Variance
    Gallant, A. Ronald; Hsu, Chien-Te; Tauchen, George (MIT Press Journals, 1999)
    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 ...
  • Volume, volatility, and leverage: A dynamic analysis
    Tauchen, George; Zhang, Harold; Liu, Ming (Journal of Econometrics, 1996)
    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 ...
  • Which Moments to Match?
    Gallant, A. Ronald; Tauchen, George (Econometric Theory, 1996-10)
    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 ...