Ishida, Isao; McAleer, Michael; Oya, Kosuke - In: Managerial Finance 37 (2011) October, pp. 1048-1067
Purpose – The purpose of this paper is to propose a new method for estimating continuous-time stochastic volatility (SV) models for the S&P 500 stock index process using intraday high-frequency observations of both the S&P 500 index and the Chicago Board Options Exchange (CBOE) implied (or...