Estimating the leverage parameter of continuous-time stochastic volatility models using high frequency S&P 500 and VIX
Year of publication: |
2011 ; Rev.
|
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Authors: | Ishida, Isao ; McAleer, Michael ; Oya, Kosuke |
Publisher: |
Rotterdam : Econometric Institute |
Subject: | Hochfrequenzdaten (high frequency data) | Börsenkurs | Share price | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Schätzung | Estimation | USA | United States |
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