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~person:"McAleer, Michael"
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McAleer, Michael
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Estimating the leverage parameter of
continuous-time
stochastic volatility models using high frequency S&P 500 and VIX
Ishida, Isao
;
McAleer, Michael
;
Oya, Kosuke
- In:
Managerial Finance
37
(
2011
)
October
,
pp. 1048-1067
Purpose – The purpose of this paper is to propose a new method for estimating
continuous-time
stochastic volatility (SV …
Persistent link: https://www.econbiz.de/10010675798
Saved in:
2
Realized Volatility: A Review
McAleer, Michael
;
Medeiros, Marcelo
- In:
Econometric Reviews
27
(
2008
)
1-3
,
pp. 10-45
main results. A
continuous
time
specification provides the theoretical foundation for the main results in this literature …
Persistent link: https://www.econbiz.de/10005511988
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