Stochastic volatility model with range-based correction and leverage
带价格区间修正与杠杆效应的随机波动率模型
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…