Notes on financial econometrics
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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.
Published Version (Please cite this version)10.1016/S0304-4076(00)00054-3
Publication InfoTauchen, George E (2001). Notes on financial econometrics. Journal of Econometrics, 100(1). pp. 57-61. 10.1016/S0304-4076(00)00054-3. Retrieved from https://hdl.handle.net/10161/1905.
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William Henry Glasson Professor of Economics
George Tauchen is the William Henry Glasson Professor of Economics and professor of finance at the Fuqua School of Business. He joined the Duke faculty in 1977 after receiving his Ph.D. from the University of Minnesota. He did his undergraduate work at the University of Wisconsin. Professor Tauchen is a fellow of the Econometric Society, the American Statistical Association, the Journal of Econometrics, and the Society for Financial Econometrics (SoFie). He is also the 2003 Duke University Sc