Garcia, René; Lewis, Marc-André; Pastorello, Sergio; … - In: Journal of Econometrics 160 (2011) 1, pp. 22-32
In this paper, we present an estimation procedure which uses both option prices and high-frequency spot price feeds to estimate jointly the objective and risk-neutral parameters of stochastic volatility models. The procedure is based on a method of moments that uses analytical expressions for...