McAleer, Michael; Ishida, Ishida, I.; Oya, Oya, K. - Faculteit der Economische Wetenschappen, Erasmus … - 2011
This paper proposes a new method for estimating continuous-time stochastic volatility (SV) models for the S&P 500 stock … parameters of popular continuous-time models can lead to nonsensical estimates due to severe intraday seasonality. A primary …