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Horst et al., 2012 - Google Patents

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

Horst et al., 2012

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Document ID
4758295152784392663
Author
Horst E
Rodriguez A
Gzyl H
Molina G
Publication year
Publication venue
Quantitative Finance

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Snippet

Mounting empirical evidence suggests that the observed extreme prices within a trading period can provide valuable information about the volatility of the process within that period. In this paper we define a class of stochastic volatility models that uses opening and closing …
Continue reading at arxiv.org (PDF) (other versions)

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