Notes on financial econometrics

dc.contributor.author	Tauchen, George	en_US
dc.date.accessioned	2010-03-09T15:29:26Z
dc.date.available	2010-03-09T15:29:26Z
dc.date.issued	2001	en_US
dc.identifier.uri	http://hdl.handle.net/10161/1905
dc.description.abstract	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.	en_US
dc.format.extent	77672 bytes
dc.format.mimetype	application/pdf
dc.language.iso	en_US
dc.publisher	Journal of Econometrics	en_US
dc.subject	discrete time financial data	en_US
dc.subject	modeling	en_US
dc.subject	stochastic volatility	en_US
dc.title	Notes on financial econometrics	en_US
dc.type	Journal Article	en_US
dc.department	Economics