Showing 1 - 10 of 58
Persistent link: https://www.econbiz.de/10003871191
Persistent link: https://www.econbiz.de/10009269385
Persistent link: https://www.econbiz.de/10001220187
Persistent link: https://www.econbiz.de/10000840203
Persistent link: https://www.econbiz.de/10010399697
Persistent link: https://www.econbiz.de/10009388885
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)....
Persistent link: https://www.econbiz.de/10008936795
Persistent link: https://www.econbiz.de/10012799553
Persistent link: https://www.econbiz.de/10009012211
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...
Persistent link: https://www.econbiz.de/10012757682