What is he best known for?
The fields of study he is best known for:
- Statistics
- Probability distribution
- Econometrics
George Tauchen mainly focuses on Econometrics, Stochastic volatility, Volatility, Nonlinear system and Applied mathematics.
His study in Econometrics is interdisciplinary in nature, drawing from both Financial economics and Statistics.
His research in Financial economics intersects with topics in Market maker and On-balance volume, Cost price.
His Volatility research is multidisciplinary, relying on both Stochastic modelling and Impulse response.
His research in Nonlinear system tackles topics such as Series which are related to areas like Method of moments and Standard model.
George Tauchen combines subjects such as Maximum likelihood, Indirect Inference and Markov chain with his study of Applied mathematics.
His most cited work include:
- THE PRICE VARIABILITY-VOLUME RELATIONSHIP ON SPECULATIVE MARKETS (1204 citations)
- Stock Prices and Volume (1119 citations)
- Finite state markov-chain approximations to univariate and vector autoregressions (1028 citations)
What are the main themes of his work throughout his whole career to date?
His primary scientific interests are in Econometrics, Stochastic volatility, Volatility, Applied mathematics and Nonparametric statistics.
The Econometrics study combines topics in areas such as Statistics and Interest rate.
George Tauchen interconnects Method of moments, Volatility smile and Series in the investigation of issues within Stochastic volatility.
His work is dedicated to discovering how Volatility, Leverage are connected with Stationary process and other disciplines.
His biological study spans a wide range of topics, including Maximum likelihood, Estimator, Method of simulated moments and Laplace transform.
George Tauchen has included themes like Martingale, Generalization and Conditional probability distribution in his Nonparametric statistics study.
He most often published in these fields:
- Econometrics (55.13%)
- Stochastic volatility (40.38%)
- Volatility (32.69%)
What were the highlights of his more recent work (between 2011-2021)?
- Stochastic volatility (40.38%)
- Econometrics (55.13%)
- Semimartingale (16.03%)
In recent papers he was focusing on the following fields of study:
His main research concerns Stochastic volatility, Econometrics, Semimartingale, Nonparametric statistics and Volatility.
His Stochastic volatility study which covers Range that intersects with Cauchy distribution.
George Tauchen has researched Econometrics in several fields, including Fiducial inference and Bayes' theorem.
His Nonparametric statistics research is multidisciplinary, incorporating elements of Martingale and Applied mathematics.
His study focuses on the intersection of Applied mathematics and fields such as Laplace transform with connections in the field of Statistic.
His study in Volatility focuses on Implied volatility in particular.
Between 2011 and 2021, his most popular works were:
- Risk and return: Long-run relations, fractional cointegration, and return predictability $ (87 citations)
- Volatility in Equilibrium: Asymmetries and Dynamic Dependencies (78 citations)
- The Realized Laplace Transform of Volatility (44 citations)
In his most recent research, the most cited papers focused on:
- Statistics
- Probability distribution
- Random variable
The scientist’s investigation covers issues in Stochastic volatility, Volatility, Nonparametric statistics, Applied mathematics and Econometrics.
The study incorporates disciplines such as Mathematical analysis and Semimartingale in addition to Stochastic volatility.
While the research belongs to areas of Semimartingale, George Tauchen spends his time largely on the problem of Estimator, intersecting his research to questions surrounding Quantile, Mathematical optimization and Markov property.
His study explores the link between Nonparametric statistics and topics such as Martingale that cross with problems in Generalization, Bivariate analysis and Residual.
His research integrates issues of Laplace transform and Statistic in his study of Applied mathematics.
His work on Econometrics is being expanded to include thematically relevant topics such as Financial economics.
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