re : corrections to chap . 3 from grant masson grant ,
thanks for that . i hope you had a good holiday - we were all very jealous of
you at dinner the other evening .
i made some changes for it to fit in with our notation , etc , but apart from
that its a fin piece of work . if you could just answer the questions posed
by vince , and send me the final figure then we are a go ( all of ours are now
finished ) . would you be happy with the following ?
3 . 5 summary
in this chapter we have discussed volatility modelling and estimation in the
energy commodity markets , emphasising the difference between this market and
financial markets . we discuss the estimation of volatility from both
historical and implied data , again from the perspective of the energy user .
we further discussed a number of stochastic volatility models and have shown
how to estimate the models via ordinary least squares and maximum
likelihood . we have tested our estimation techniques on a number of
examples drawn from energy markets including electricity , gas and crude oil .
best regards .
chris .
- - - - - original message - - - - -
from : grant masson
to : chris strickland
sent : tuesday , july 25 , 2000 9 : 08 am
subject : re : corrections to chap . 3 from grant masson
>
>
> chris :
>
> i understand from vince that ronnie did not send you anything . apologies
for
> that . i will get the last section rewritten quickly and off to you within
the
> next couple of days . sorry that this has taken so long , and frankly ,
apologies
> for the poor quality of my bit . if you have any suggestions on how to
improve
> it , please let me . likewise , i hope that you will make changes as you
see fit
> to improve and clarify things .
>
> regards ,
> grant .
>
>
>
re : corrections to chap . 3 from grant masson
grant ,
thanks for that . i hope you had a good holiday - we were all very jealous of
you at dinner the other evening .
i made some changes for it to fit in with our notation , etc , but apart from
that its a fin piece of work . if you could just answer the questions posed
by vince , and send me the final figure then we are a go ( all of ours are now
finished ) . would you be happy with the following ?
3 . 5 summary
in this chapter we have discussed volatility modelling and estimation in the
energy commodity markets , emphasising the difference between this market and
financial markets . we discuss the estimation of volatility from both
historical and implied data , again from the perspective of the energy user .
we further discussed a number of stochastic volatility models and have shown
how to estimate the models via ordinary least squares and maximum
likelihood . we have tested our estimation techniques on a number of
examples drawn from energy markets including electricity , gas and crude oil .
best regards .
chris .
- - - - - original message - - - - -
from : grant masson
to : chris strickland
sent : tuesday , july 25 , 2000 9 : 08 am
subject : re : corrections to chap . 3 from grant masson
>
>
> chris :
>
> i understand from vince that ronnie did not send you anything . apologies
for
> that . i will get the last section rewritten quickly and off to you within
the
> next couple of days . sorry that this has taken so long , and frankly ,
apologies
> for the poor quality of my bit . if you have any suggestions on how to
improve
> it , please let me . likewise , i hope that you will make changes as you
see fit
> to improve and clarify things .
>
> regards ,
> grant .
>
>
>