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dc.contributor.author Tauchen, G
dc.date.accessioned 2010-03-09T15:29:26Z
dc.date.issued 2001-01-01
dc.identifier.citation Journal of Econometrics, 2001, 100 (1), pp. 57 - 61
dc.identifier.issn 0304-4076
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. © 2001 Elsevier Science S.A. All rights reserved.
dc.format.extent 57 - 61
dc.format.mimetype application/pdf
dc.language.iso en_US
dc.relation.ispartof Journal of Econometrics
dc.relation.isversionof 10.1016/S0304-4076(00)00054-3
dc.title Notes on financial econometrics
dc.type Journal Article
dc.department Economics
pubs.issue 1
pubs.organisational-group /Duke
pubs.organisational-group /Duke/Trinity College of Arts & Sciences
pubs.organisational-group /Duke/Trinity College of Arts & Sciences/Economics
pubs.publication-status Published
pubs.volume 100

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