Duan, Jin-Chuan; Yeh, Chung-Ying - In: Journal of Economic Dynamics and Control 34 (2010) 11, pp. 2232-2244
An estimation method is developed for extracting the latent stochastic volatility from VIX, a volatility index for the S&P 500 index return produced by the Chicago Board Options Exchange (CBOE) using the so-called model-free volatility construction. Our model specification encompasses all...
