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

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

Bibliographic Details
Main Authors: Isao, Ishida, Michael, McAleer, Kosuke, Oya
Format: text
Language:eng
Published: Emerald 2011
Subjects:
Volatility,Stock prices,Gearing,Continuous time,High‐frequency data,Stochastic volatility,Implied volatility,S&P500,VIX

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