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 |
