Todorov, Viktor; Tauchen, George - In: Journal of Business & Economic Statistics 29 (2011) 3, pp. 356-371
The article undertakes a nonparametric analysis of the high-frequency movements in stock market volatility using very finely sampled data on the VIX volatility index compiled from options data by the CBOE. We derive theoretically the link between pathwise properties of the latent spot volatility...