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 paperAcademic

Original languageEnglish
Place of PublicationRotterdam
Number of pages30
Publication statusPublished - 2011

Publication series

SeriesEI report series
VolumeEI 2011-10

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