Notes on financial econometrics
Publication
, Journal Article
Tauchen, G
Published in: Journal of Econometrics
January 1, 2001
The first part of the discussion reviews recent successes in modeling of discrete time financial data and argues that a direct approach is better suited than stochastic volatility. The second part reviews recent work on estimating continuous time models with emphasis on simulation-based techniques and joint estimation of the risk neutral and objective probability distributions. © 2001 Elsevier Science S.A. All rights reserved.
Duke Scholars
Published In
Journal of Econometrics
DOI
ISSN
0304-4076
Publication Date
January 1, 2001
Volume
100
Issue
1
Start / End Page
57 / 64
Related Subject Headings
- Econometrics
- 4905 Statistics
- 3802 Econometrics
- 3801 Applied economics
- 1403 Econometrics
- 1402 Applied Economics
- 0104 Statistics
Citation
APA
Chicago
ICMJE
MLA
NLM
Tauchen, G. (2001). Notes on financial econometrics. Journal of Econometrics, 100(1), 57–64. https://doi.org/10.1016/S0304-4076(00)00054-3
Tauchen, G. “Notes on financial econometrics.” Journal of Econometrics 100, no. 1 (January 1, 2001): 57–64. https://doi.org/10.1016/S0304-4076(00)00054-3.
Tauchen G. Notes on financial econometrics. Journal of Econometrics. 2001 Jan 1;100(1):57–64.
Tauchen, G. “Notes on financial econometrics.” Journal of Econometrics, vol. 100, no. 1, Jan. 2001, pp. 57–64. Scopus, doi:10.1016/S0304-4076(00)00054-3.
Tauchen G. Notes on financial econometrics. Journal of Econometrics. 2001 Jan 1;100(1):57–64.
Published In
Journal of Econometrics
DOI
ISSN
0304-4076
Publication Date
January 1, 2001
Volume
100
Issue
1
Start / End Page
57 / 64
Related Subject Headings
- Econometrics
- 4905 Statistics
- 3802 Econometrics
- 3801 Applied economics
- 1403 Econometrics
- 1402 Applied Economics
- 0104 Statistics