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
|
|---|---|
| Authors: | Ishida, Isao ; McAleer, Michael ; Oya, Kosuke |
| Published in: |
Managerial finance. - Bingley : Emerald Group Publishing Limited, ISSN 0307-4358, ZDB-ID 750561-9. - Vol. 37.2011, 11, p. 1048-1067
|
| Subject: | Hochfrequenzdaten (high frequency data) | Börsenkurs | Share price | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Schätzung | Estimation | USA | United States |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009388885