This paper proposes a new method for estimating continuous-time stochastic volatility (SV) models for the S&P 500 stock index process using intraday high-frequency observations of both the S&P 500 index and the Chicago Board of Exchange (CBOE) implied (or expected) volatility index (VIX)....

This paper proposes new test statistics for the dependence and cross and auto covariance estimators of bivariate noise processes. It derives their asymptotic distributions and provides additional tests for the statistical significance of covariance estimators. Monte Carlo simulation shows that...