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SUMMARY:Stochastic Volatility Models Including Open\, Close\, High and Low
  Prices - NOW CANCELLED - Enrique ter Horst (Euromed School of Management)
DTSTART:20100423T150000Z
DTEND:20100423T160000Z
UID:TALK24451@talks.cam.ac.uk
CONTACT:8047
DESCRIPTION:Due to widespread disruption to travel this talk has been canc
 elled\n\n\n\n\n\nMounting empirical evidence suggests that the observed\ne
 xtreme prices within a trading period can provide valuable\ninformation ab
 out the volatility of the process within that period. In\nthis paper we de
 fine a class of stochastic volatility models that uses\nopening and closin
 g prices along with the minimum and maximum prices\nwithin a trading perio
 d to infer the dynamics underlying the\nvolatilityprocess of asset prices 
 and compares it with similar models\nthat have been previously presented i
 n the literature. The paper also\ndiscusses sequential Monte Carlo algorit
 hms to fit this class of\nmodels and illustrates its features using both a
  simulation study and\ndata form the S&P500 index.\n\n\nhttp://fds.duke.ed
 u/db/aas/stat/alumni/enrique
LOCATION:MR12\, CMS\, Wilberforce Road\, Cambridge\, CB3 0WB
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