Estimating the leverage parameter of continuous-time stochastic volatility models using high frequency S&P 500 and VIX
Isao Ishida, Michael McAleer and Kosuke Oya
| Year of publication: |
[2011] ; 1. version, rev.
|
|---|---|
| Authors: | Ishida, Isao ; McAleer, Michael ; Oya, Kosuke |
| Institutions: | University of Canterbury / Dept. of Economics and Finance (contributor) |
| Publisher: |
Christchurch, N.Z : Dept. of Economics and Finance, College of Business and Economics, University of Canterbury |
| Subject: | Hochfrequenzdaten (high frequency data) | Börsenkurs | Share price | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Schätzung | Estimation | USA | United States |
| Extent: | Online-Ressource (30 p., 140.05 Kb) graph. Darst. |
|---|---|
| Series: | Working paper. - Christchurch, New Zealand, ZDB-ID 2579761-X. - Vol. 2011,11 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Notes: | Archived by the National Library of New Zealand Title from PDF cover (viewed on May 2, 2011) "Revised: February 2011".--P. 1 "JEL Classifications: G13, G17, G32."--P. 2 Hypertext links contained in the archived instances of this title are non-functional Includes bibliographical references (p. 22-23) Mode of access: World Wide Web Systemvoraussetzungen: Acrobat Reader |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009012211