In this paper we propose to use Markov chain Monte Carlo methods to estimate the parameters of stochastic volatility models with several factors varying at different time scales. The originality of our approach, in contrast with classical factor models is the identification of two factors...

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...