Recent content by FXjazz

Emilio, thanks for that but I am not sure I get you right. Do you suggest that I regress high and low with multifactor daily log returns and log variance using a MLE approach, then calibrate a t-distribution on the error terms, and draw my results from that? Sle, Brownian bridge could be a...

Emilio, thanks for that but I am not sure I get you right. Do you suggest that I regress high and low with multifactor daily log returns and log variance using a MLE approach, then calibrate a t-distribution on the error terms, and draw my results from that? Sle, Brownian bridge could be a...

Hi all, I have implemented a GARCH-EVT with t-copula model for running my montecarlo simulation, and I was wondering if there is a model or at least some leads to also simulate daily high and low at the same time ? Many thanks