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

I Ishida, Michael McAleer, K Oya

Research output: Working paper › Academic

Series	EI report series
Volume	EI 2011-10

Research programs

TY - UNPB

T1 - Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX

AU - Ishida, I

AU - McAleer, Michael

AU - Oya, K

PY - 2011

Y1 - 2011

M3 - Working paper

T3 - EI report series

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

CY - Rotterdam

ER -