01259nas a2200169 4500008004100000245008500041210006900126260000900195300001200204490000700216520068500223653001200908653001700920100002100937700001600958856011500974 2009 eng d 00 aA censored stochastic volatility approach to the estimation of price limit moves 0 acensored stochastic volatility approach to the estimation of pri c2009 a337-351 0 v16 3 aA censored stochastic volatility model is developed to reconstruct a return series censored by price limits, one popular form of market stabilization mechanisms. When price limits are reached, the observed prices are truncated and the equilibrium prices are unobservable, which makes further financial analyses difficult. The model offers theoretically sound estimates of censored returns and is demonstrated via simulations to outperform existing approaches with respect to the estimates of model parameters, unconditional means, and standard deviations. The algorithm is applied to model stock and futures returns and results are consistent with the simulation outcomes.
10 aFinance 10 aSupply Chain 1 aHsieh, Ping-Hung 1 aYang, Jimmy u/biblio/censored-stochastic-volatility-approach-estimation-price-limit-moves-0