PAOLO ZAFFARONI, Imperial College London, discusses Veronika Czellar and Laurent Calvet's paper -Efficient Estimation of Learning Models - during the 2nd Finance and Statistics Conference. Veronika Czellar answers the discussant's questions. The 2nd HEC Finance and Statistics Conference was held in Paris on October 8, 2010 in Paris. It was organized by Laurent Calvet and Veronika Czellar, HEC Paris. The conference program is available at http://www.hec.fr/financeandstatistics2010.