Stochastic Volatility Models Including Open, Close, High and Low Prices - NOW CANCELLED

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• Enrique ter Horst (Euromed School of Management)
• Friday 23 April 2010, 16:00-17:00
• MR12, CMS, Wilberforce Road, Cambridge, CB3 0WB.

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Due to widespread disruption to travel this talk has been cancelled

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 volatilityprocess of asset prices and compares it with similar models that have been previously presented 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 data form the S&P500 index.

http://fds.duke.edu/db/aas/stat/alumni/enrique

This talk is part of the Statistics series.

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