• Corpus ID: 238253004

Stochastic volatility model with range-based correction and leverage

@inproceedings{Kurose2021StochasticVM,
  title={Stochastic volatility model with range-based correction and leverage},
  author={Yuta Kurose},
  year={2021}
}
This study presents contemporaneous modeling of asset return and price range within the framework of stochastic volatility with leverage. A new representation of the probability density function for the price range is provided, and its accurate sampling algorithm is developed. A Bayesian estimation using Markov chain Monte Carlo (MCMC) method is provided for the model parameters and unobserved variables. MCMC samples can be generated rigorously, despite the estimation procedure requiring… 

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