Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 VIX
Year of publication: |
2011-02-28
|
---|---|
Authors: | McAleer, Michael ; Ishida, Ishida, I. ; Oya, Oya, K. |
Institutions: | Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam |
Subject: | S&P 500 | VIX. | continuous time | high frequency data | implied volatility | stochastic volatility |
Extent: | application/pdf |
---|---|
Series: | Econometric Institute Research Papers. - ISSN 1566-7294. |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series RePEc:ems:eureir Number EI 2011-10 |
Source: |
-
Ishida, Isao, (2011)
-
Ishida, Isao, (2011)
-
Ishida, Isao, (2011)
- More ...
-
The Impact of Jumps and Leverage in Forecasting Co-Volatility
Asai, Manabu, (2015)
-
Chang, Chia-Lin, (2015)
-
Frontiers in Time Series and Financial Econometrics
McAleer, Michael, (2015)
- More ...