Ishida, Isao; McAleer, Michael; Oya, Kosuke - Facultad de Ciencias Económicas y Empresariales, … - 2011
This paper proposes a new method for estimating continuous-time stochastic volatility (SV) models for the S&P 500 stock … popular continuous-time models to short intraday time intervals, and estimate the parameters using such data, can lead to …