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Statistical properties of covariance estimator of microstructure noise : dependence, rare jumps and endogeneity

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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.

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Financial instability and the short-term dynamics of volatility expectations

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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 - 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

Jump tail risk premium and predicting US and Japanese credit spreads

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

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

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

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...

Persistent link: https://www.econbiz.de/10014940205