Browsing by Author "0114412"

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  • Salemi, Michael K.; Tauchen, George (The American Economic Review, 1980)
    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. It should be of interest to those employing a typical ...
  • Chernov, Mikhail; Gallant, A. Ronald; Ghysels, Eric; Tauchen, George (SSRN eLibrary, 1999)
    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 ...
  • Tauchen, George (SSRN eLibrary, 1996)
    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 ...
  • Bansal, Ravi; Gallant, A. Ronald; Tauchen, George (SSRN eLibrary, 1999)
    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, ...
  • Bollerslev, Tim; Law, Tzuo Hann; Tauchen, George (Elsevier, 2008)
    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 ...
  • 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 ...
  • 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 ...