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---------------------- Forwarded by Vince J Kaminski/HOU/ECT on 08/18/2000
08:18 AM --------------------------- Darrell Duffie <duffie@Stanford.EDU< on 08/17/2000 07:37:51 PM Please respond to Darrell Duffie <duffie@Stanford.EDU< To: Vince.J.Kaminski@enron.com cc: Subject: 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 SP500, (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" <Vince.J.Kaminski@enron.com< < To: Darrell Duffie <duffie@Stanford.EDU< < cc: "Grant Masson" <Grant.Masson@enron.com<, "Vince J Kaminski" <Vince.J.Kaminski@enron.com< < Date: Wed, 16 Aug 2000 16:37:53 -0500 < Subject: Re: Full version < Mime-Version: 1.0 < Content-Disposition: inline < X-UIDL: 00453eda98c82d709e6123af537e4f63 < 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 <duffie@Stanford.EDU< on 08/15/2000 04:54:23 PM < < Please respond to Darrell Duffie <duffie@Stanford.EDU< < < 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" <Vince.J.Kaminski@enron.com< < < 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: 9fef7462afa5d4ee6c04c9c02df71b25 < < 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: vol0720.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/ _____________________________________________
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