Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 VIX
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Cited by:
- Chang, Chia-Lin & Jimenez-Martin, Juan-Angel & McAleer, Michael & Amaral, Teodosio Perez, 2013.
"The rise and fall of S&P500 variance futures,"
The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 151-167.
- Chang, C-L. & Jiménez-Martín, J.A. & McAleer, M.J. & Pérez-Amaral, T., 2011. "The Rise and Fall of S&P500 Variance Futures," Econometric Institute Research Papers EI2011-37, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Chia-Lin Chang & Juan-à ngel Jiménez-MartÃn & Michael McAleer & Teodosio Pérez-Amaral, 2011. "The Rise and Fall of S&P500 Variance Futures," KIER Working Papers 795, Kyoto University, Institute of Economic Research.
- Chia-Lin Chang & Juan-Angel Jimenez-Martin & Michael McAleer & Teodosio Pérez-Amaral, 2011. "The Rise and Fall of S&P500 Variance Futures," Documentos de Trabajo del ICAE 2011-35, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011. "The Rise and Fall of S&P500 Variance Futures," Working Papers in Economics 11/32, University of Canterbury, Department of Economics and Finance.
- David E. Allen & Michael McAleer & Robert Powell & Abhay K. Singh, 2013.
"A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500,"
JRFM, MDPI, vol. 6(1), pages 1-25, October.
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- David E. Allen & Michael McAleer & Robert Powell & Abhay K. Singh, 2013. "A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500," Tinbergen Institute Discussion Papers 13-018/III, Tinbergen Institute.
- D.E. Allen & A. Kramadibrata & Michael McAleer & R. Powell & A. K. Singh, 2012. "A non-parametric and entropy based analysis of the relationship between the VIX and S&P500," Documentos de Trabajo del ICAE 2012-19, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Shou-Lei Wang & Yu-Fei Yang & Yu-Hua Zeng, 2014. "The Adjoint Method for the Inverse Problem of Option Pricing," Mathematical Problems in Engineering, Hindawi, vol. 2014, pages 1-7, March.
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- Bregantini, Daniele, 2013. "Moment-based estimation of stochastic volatility," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4755-4764.
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More about this item
Keywords
G13; G17; G32; S&P 500; VIX.; continuous time; high frequency data; implied volatility; stochastic volatility;All these keywords.
JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
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