The stochastic volatility model usually incorporates asymmetric effects by introducing the negative correlation between … the innovations in returns and volatility. In this paper, we propose a new asymmetric stochastic volatility model, based … between the innovations in returns and volatility. The new model is estimated by the efficient importance sampling method of …

This paper proposes a new method for estimating continuous-time stochastic volatility (SV) models for the S&P 500 stock …) implied (or expected) volatility index (VIX). Intraday high-frequency observations data have become readily available for an …