Stochastic volatility models including open, close, high and low prices
提出一类利用交易期内开盘、收盘、最高和最低价格推断资产价格波动率动态的随机波动率模型，并讨论拟合该模型的序贯蒙特卡洛算法，通过模拟和真实数据展示其特性。
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 prices along with the minimum and maximum prices within a trading period to infer the dynamics underlying the volatility process of asset prices and compare it with similar models presented previously in the literature. The paper also discusses sequential Monte Carlo algorithms to fit this class of models and illustrates its features using both a simulation study and real data.