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Notes on financial econometrics
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.
Type
Journal articlePermalink
https://hdl.handle.net/10161/1905Published Version (Please cite this version)
10.1016/S0304-4076(00)00054-3Publication Info
(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.This is constructed from limited available data and may be imprecise. To cite this
article, please review & use the official citation provided by the journal.
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Show full item recordScholars@Duke
George E. Tauchen
William Henry Glasson Distinguished Professor Emeritus
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
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