Stochastic volatility models including open, close, high and low prices
From MaRDI portal
Publication:2893203
DOI10.1080/14697688.2010.492233zbMath1241.91145arXiv0901.1315MaRDI 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
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
91G60: Numerical methods (including Monte Carlo methods)
91G70: Statistical methods; risk measures
65C05: Monte Carlo methods
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Cites Work
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