McAleer, Michael; Ishida, Ishida, I.; Oya, Oya, K. - Faculteit der Economische Wetenschappen, Erasmus … - 2011
This paper proposes 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 of Exchange (CBOE) implied (or expected) volatility index (VIX)....