Stochastic volatility models including open, close, high and low prices

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

zbMATH Keywords

stochastic volatility; Bayesian statistics; time series analysis; statistics; volatility modelling

Mathematics Subject Classification ID

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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Prediction of stock price movement based on daily high prices

Cites Work

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