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 Options Exchange (CBOE) implied (or expected) volatility index (VIX)....

This paper features an analysis of the relationship between the S&P 500 Index and the VIX using daily data obtained from both the CBOE website and SIRCA (The Securities Industry Research Centre of the Asia Pacific). We explore the relationship between the S&P 500 daily continuously compounded...

The purpose of this paper is to examine the asymmetric relationship between price and implied volatility and the associated extreme quantile dependence using linear and non linear quantile regression approach. Our goal in this paper is to demonstrate that the relationship between the volatility...