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Estimating the Leverage Parameter of Continuous-Time Stochastic Volatility Models Using High Frequency S&P 500 and VIX

Ishida, Isao; McAleer, Michael; Oya, Kosuke - 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 Options Exchange (CBOE) implied (or expected) volatility index (VIX)....

Persistent link: https://www.econbiz.de/10014186411

Estimating the leverage parameter of continuous-time stochastic volatility models using high frequency S&P 500 and VIX

Ishida, Isao; McAleer, Michael; Oya, Kosuke - In: Managerial finance 37 (2011) 11, pp. 1048-1067

Persistent link: https://www.econbiz.de/10009388885

Estimating the leverage parameter of continuous-time stochastic volatility models using high frequency S&P 500 and VIX

Ishida, Isao; McAleer, Michael; Oya, Kosuke - 2011 - 1. version, rev.

Persistent link: https://www.econbiz.de/10009012211

Estimating the leverage parameter of continuous-time stochastic volatility models using high frequency S&P 500 and VIX

Ishida, Isao; McAleer, Michael; Oya, Kosuke - 2011 - Rev.

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)....

Persistent link: https://www.econbiz.de/10008936795

A time-varying jump tail risk measure using high-frequency options data

Ubukata, Masato - In: Empirical economics : a quarterly journal of the … 63 (2022) 5, pp. 2633-2653

Persistent link: https://www.econbiz.de/10013440507