re : full version i read the chapter . generally ,
i like it , and find it non - controversial
and well written . of course , this is
a huge topic and there are things
that you haven ' t discussed .
i thought the amount of attention
paid to ols and mle estimation
was a bit overboard , given that you
didn ' t really exploit it in your
results . if you were to state
the likelihood function for
the garch model , it might justify
the amount of attention to
gave to estimation for
simple iid processes , which could then
be thought of as a simple lead - in
and intuition builder to
the more interesting models that
you do actually use .
by the way , in your discussion of
smiles , you discuss fat tails
extensively . at least for equity markets ,
while fat tails contribute , they don ' t do very
much at all compared to the effect
of risk premia , which you allude to briefly ,
using supply - demand language , at the
end of that section .
for the impact of risk premia , see
jun pan ' s paper , which is available
from her web page . but she covers
only sp 500 , ( as do most studies ) ,
and your markets are obviously much different .
the chapter will be a good service to your readers !
best , darrell
> x - lotus - fromdomain : ect
> from : " vince j kaminski "
> to : darrell duffie
> cc : " grant masson " , " vince j kaminski "
> date : wed , 16 aug 2000 16 : 37 : 53 - 0500
> subject : re : full version
> mime - version : 1 . 0
> content - disposition : inline
> x - uidl : 00453 eda 98 c 82 d 709 e 6123 af 537 e 4 f 63
> x - keywords :
>
>
>
> darrell ,
>
> thanks a lot . i really appreciate it . the text is below our usual
> standards but we are completely swamped with work here .
>
> vince
>
>
>
>
>
>
>
> darrell duffie on 08 / 15 / 2000 04 : 54 : 23 pm
>
> please respond to darrell duffie
>
> to : vince . j . kaminski @ enron . com
> cc :
> subject : re : full version
>
>
> i ' ll have a look !
>
> i haven ' t much time , but can certainly
> get you a quick reaction , at least !
>
> best , darrell
>
>
> > x - lotus - fromdomain : ect
> > from : " vince j kaminski "
> > to : duffie @ stanford . edu
> > date : thu , 10 aug 2000 14 : 04 : 47 - 0500
> > subject : full version
> > mime - version : 1 . 0
> > content - disposition : inline
> > x - uidl : 9 fef 7462 afa 5 d 4 ee 6 co 4 c 9 co 2 df 71 b 25
> > x - keywords :
> >
> >
> >
> > darrell ,
> >
> > grant just alerted me that i sent you only part of the text .
> >
> > here is the full chapter with an aged version of gran ' t part .
> > what i sent you represents an update of his contribution .
> >
> > sorry for that .
> >
> > vince
> >
> > ( see attached file : volo 720 . doc )
>
> _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _
> darrell duffie
> mail gsb stanford ca 94305 - 5015 usa
> phone 650 723 1976
> fax 650 725 7979
> email duffie @ stanford . edu
> web http : / / www . stanford . edu / ~ duffie /
> _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _
>
>
>
>
>
>
>
darrell duffie
mail gsb stanford ca 94305 - 5015 usa
phone 650 723 1976
fax 650 725 7979
email duffie @ stanford . edu
web http : / / www . stanford . edu / ~ duffie /
re : full version
i read the chapter . generally ,
i like it , and find it non - controversial
and well written . of course , this is
a huge topic and there are things
that you haven ' t discussed .
i thought the amount of attention
paid to ols and mle estimation
was a bit overboard , given that you
didn ' t really exploit it in your
results . if you were to state
the likelihood function for
the garch model , it might justify
the amount of attention to
gave to estimation for
simple iid processes , which could then
be thought of as a simple lead - in
and intuition builder to
the more interesting models that
you do actually use .
by the way , in your discussion of
smiles , you discuss fat tails
extensively . at least for equity markets ,
while fat tails contribute , they don ' t do very
much at all compared to the effect
of risk premia , which you allude to briefly ,
using supply - demand language , at the
end of that section .
for the impact of risk premia , see
jun pan ' s paper , which is available
from her web page . but she covers
only sp 500 , ( as do most studies ) ,
and your markets are obviously much different .
the chapter will be a good service to your readers !
best , darrell
> x - lotus - fromdomain : ect
> from : " vince j kaminski "
> to : darrell duffie
> cc : " grant masson " , " vince j kaminski "
> date : wed , 16 aug 2000 16 : 37 : 53 - 0500
> subject : re : full version
> mime - version : 1 . 0
> content - disposition : inline
> x - uidl : 00453 eda 98 c 82 d 709 e 6123 af 537 e 4 f 63
> x - keywords :
>
>
>
> darrell ,
>
> thanks a lot . i really appreciate it . the text is below our usual
> standards but we are completely swamped with work here .
>
> vince
>
>
>
>
>
>
>
> darrell duffie on 08 / 15 / 2000 04 : 54 : 23 pm
>
> please respond to darrell duffie
>
> to : vince . j . kaminski @ enron . com
> cc :
> subject : re : full version
>
>
> i ' ll have a look !
>
> i haven ' t much time , but can certainly
> get you a quick reaction , at least !
>
> best , darrell
>
>
> > x - lotus - fromdomain : ect
> > from : " vince j kaminski "
> > to : duffie @ stanford . edu
> > date : thu , 10 aug 2000 14 : 04 : 47 - 0500
> > subject : full version
> > mime - version : 1 . 0
> > content - disposition : inline
> > x - uidl : 9 fef 7462 afa 5 d 4 ee 6 co 4 c 9 co 2 df 71 b 25
> > x - keywords :
> >
> >
> >
> > darrell ,
> >
> > grant just alerted me that i sent you only part of the text .
> >
> > here is the full chapter with an aged version of gran ' t part .
> > what i sent you represents an update of his contribution .
> >
> > sorry for that .
> >
> > vince
> >
> > ( see attached file : volo 720 . doc )
>
> _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _
> darrell duffie
> mail gsb stanford ca 94305 - 5015 usa
> phone 650 723 1976
> fax 650 725 7979
> email duffie @ stanford . edu
> web http : / / www . stanford . edu / ~ duffie /
> _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _
>
>
>
>
>
>
>
darrell duffie
mail gsb stanford ca 94305 - 5015 usa
phone 650 723 1976
fax 650 725 7979
email duffie @ stanford . edu
web http : / / www . stanford . edu / ~ duffie /
