Stochastic volatility models including open, close, high and low prices
From MaRDI portal
Publication:2893203
DOI10.1080/14697688.2010.492233zbMath1241.91145arXiv0901.1315OpenAlexW2254629311MaRDI QIDQ2893203
Abel Rodríguez, German Molina, Henryk Gzyl, Enrique ter Horst
Publication date: 26 June 2012
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0901.1315
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Monte Carlo methods (65C05)
Related Items
Cites Work
- MIDAS Regressions: Further Results and New Directions
- Estimating variance from high, low and closing prices
- Rate of convergence for parametric estimation in a stochastic volatility model.
- Generalized autoregressive conditional heteroscedasticity
- Estimating correlation from high, low, opening and closing prices
- Zero-intelligence realized variance estimation.
- Estimation and prediction of a non-constant volatility
- Louis Bachelier on the Centenary of Theorie de la Speculation
- Sequential Monte Carlo Methods in Practice
- Practical Filtering with Sequential Parameter Learning
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
- Filtering via Simulation: Auxiliary Particle Filters
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- Volatility Estimation with Price Quanta
- The Distribution of Realized Exchange Rate Volatility
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
