arXiv 30 Sep 2021 · Statistics — Computation
arXiv:2110.00039 · PDF · DOI · OpenAlex · Extracted main text
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 sampling from a density function with the sum of an infinite series. The empirical results obtained using data from the U.S. market indices are consistent with the stylized facts in the financial market, such as the existence of the leverage effect. In addition, to explore the model's predictive ability, a model comparison based on the volatility forecast performance is conducted.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Feller, W (1951) The asymptotic distribution of the range of sums of independent random variables | 0.874 | 5 | 2 | 100% |
| 2 | Parkinson, M (1980) The extreme value method for estimating the variance of the rate of return | 0.644 | 2 | 2 | 100% |
| 3 | Takahashi, M., Y. Omori, and T. Watanabe (2009) Estimating stochastic volatility models using daily returns and realized volatility simultaneously | 0.644 | 2 | 2 | 100% |
| 4 | Patton, A. J (2011) Volatility forecast comparison using imperfect volatility proxies | 0.585 | 3 | 1 | 100% |
| 5 | Bauwens, L., C. M. Hafner, and S. Laurent (Eds.) (2012) Handbook of Volatility Models and Their Applications | 0.511 | 2 | 1 | 100% |
| 6 | Christensen, K. and M. Podolskij (2007) Realized range-based estimation of integrated variance | 0.511 | 2 | 1 | 100% |
| 7 | Devroye, L (1986) Non-Uniform Random Variate Generation | 0.511 | 2 | 1 | 100% |
| 8 | Garman, M. B. and M. J. Klass (1980) On the estimation of security price volatilities from historical data | 0.511 | 2 | 1 | 100% |
| 9 | Hansen, P. R. and A. Lunde (2006) Realized variance and market microstructure noise | 0.511 | 2 | 1 | 100% |
| 10 | Martens, M. and D. Dijk (2007) Measuring volatility with the realized range | 0.511 | 2 | 1 | 100% |
Showing the top 10 of 47 scored citations.