Saturday, November 16, 2019

George Tauchen 70th

Lots of good econometrics at Duke in honor of George Tauchen's 70th! Great conference. Check here for the first pages of some of George's greatest hits, as well as some fantastic "word clouds" summarizing the evolution of his research in the 80's, 90's, 00's, 10's, and all-time. Conference program and papers here. My slides for the Diebold-Rudebusch diurnal temperature range (DTR) paper are below. The link to George's work is studying the daily the daily range as a volatility measure, as for example in Gallant-Hsu-Tauchen, "Using Daily Range Data to Calibrate Volatility Diffusions." In George's case it's an asset return volatility context; in our DTR case it's a climate volatility context.

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