Publication | Closed Access

A censored stochastic volatility approach to the estimation of price limit moves

Volatility ModelingMultivariate Stochastic VolatilityEngineeringAsset PricingComputational FinancePrice Limit MovesDerivative PricingBusinessFinancial EngineeringStochastic VolatilityStatisticsFinanceHigh-frequency Financial EconometricsFinancial Mathematics