TY  - RPRT
AU  - Ishida ,  Isao
AU  - McAleer, Michael
AU  - Oya, Kosuke
PY  - 2011
UR  - https://hdl.handle.net/20.500.14352/49006
AB  - 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...
LA  - eng
A3  - Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid
KW  - Continuous time
KW  - High frequency data
KW  - Stochastic volatility
KW  - S&P 500
KW  - Implied volatility
KW  - VIX.
TI  - Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX
TY  - technical report
VL  - 2011
ER  -