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Estimating the leverage parameter of continuous-time stochastic volatility models using high frequency S&P 500 and VIX

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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)....

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Estimating the leverage parameter of continuous-time stochastic volatility models using high frequency S&P 500 and VIX

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Bayesian inference for time varying partial adjustment model with application to intraday price discovery

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Estimating the Leverage Parameter of Continuous-Time Stochastic Volatility Models Using High Frequency S&P 500 and VIX

Ishida, Isao; McAleer, Michael; Oya, Kosuke - 2011

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 Options Exchange (CBOE) implied (or expected) volatility index (VIX)....

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