Takahashi, Katsuyuki; Shoji, Isao - In: Journal of Applied Statistics 38 (2011) 7, pp. 1381-1394
This paper presents an empirical analysis of stochastic features of volatility in the Japanese stock price index, or TOPIX, using high-frequency data sampled every 5 min. The process of TOPIX is modeled by a stochastic differential equation with the time-homogeneous drift and diffusion...