Notes on financial econometrics

The first part of the discussion reviews recent successes in modeling of di screte time financial data and argues that a direct approach is better suit ed than stochastic volatility. The second part reviews recent work on estim ating continuous time models with emphasis on simulation-based techniques a nd joint estimation of the risk neutral and objective probability distribut ions. (C) 2001 Elsevier Science S.A. All rights reserved.