Estimating the leverage parameter of continuous-time stochastic volatility models using high frequency S&P 500 and VIX
| Year of publication: |
2011
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|---|---|
| Authors: | Ishida, Isao ; McAleer, Michael ; Oya, Kosuke |
| Published in: |
Managerial finance. - Bradford [u.a.] : Emerald, ISSN 0307-4358, ZDB-ID 7505619. - Vol. 37.2011, 11 (27.9.), p. 1048-1068
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