摘要翻译：
越来越多的经验证据表明，在一个交易周期内观察到的极端价格可以提供关于该周期内过程波动性的有价值的信息。本文定义了一类随机波动率模型，它利用一个交易周期内的开盘价和收盘价以及最小和最大价格来推断资产价格波动过程的动力机制，并与文献中的同类模型进行了比较。本文还讨论了拟合这类模型的序列蒙特卡罗算法，并用模拟研究和SP500指数数据说明了其特点。
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英文标题：
《Stochastic Volatility Models Including Open, Close, High and Low Prices》
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作者：
Abel Rodriguez and Henryk Gzyl and German Molina and Enrique ter Horst
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最新提交年份：
2009
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Computer Science        计算机科学
二级分类：Computational Engineering, Finance, and Science        计算工程、金融和科学
分类描述：Covers applications of computer science to the mathematical modeling of complex systems in the fields of science, engineering, and finance. Papers here are interdisciplinary and applications-oriented, focusing on techniques and tools that enable challenging computational simulations to be performed, for which the use of supercomputers or distributed computing platforms is often required. Includes material in ACM Subject Classes J.2, J.3, and J.4 (economics).
涵盖了计算机科学在科学、工程和金融领域复杂系统的数学建模中的应用。这里的论文是跨学科和面向应用的，集中在技术和工具，使挑战性的计算模拟能够执行，其中往往需要使用超级计算机或分布式计算平台。包括ACM学科课程J.2、J.3和J.4（经济学）中的材料。
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一级分类：Computer Science        计算机科学
二级分类：Numerical Analysis        数值分析
分类描述：cs.NA is an alias for math.NA. Roughly includes material in ACM Subject Class G.1.
cs.na是Math.na的别名。大致包括ACM学科类G.1的材料。
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英文摘要：
  Mounting empirical evidence suggests that the observed extreme prices within a trading period can provide valuable information about the volatility of the process within that period. In this paper we define a class of stochastic volatility models that uses opening and closing prices along with the minimum and maximum prices within a trading period to infer the dynamics underlying the volatility process of asset prices and compares it with similar models that have been previously presented in the literature. The paper also discusses sequential Monte Carlo algorithms to fit this class of models and illustrates its features using both a simulation study and data form the SP500 index.
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PDF链接：
https://arxiv.org/pdf/0901.1315