Notes on financial econometrics

Published

Journal Article

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.

Full Text

Duke Authors

Cited Authors

  • Tauchen, G

Published Date

  • January 1, 2001

Published In

Volume / Issue

  • 100 / 1

Start / End Page

  • 57 - 64

International Standard Serial Number (ISSN)

  • 0304-4076

Digital Object Identifier (DOI)

  • 10.1016/S0304-4076(00)00054-3

Citation Source

  • Scopus