Bayesian Estimation of the Heston Stochastic Volatility Model View Full Text


Ontology type: schema:Chapter     


Chapter Info

DATE

2003

AUTHORS

Sylvia Frühwirth-Schnatter , Leopold Sögner

ABSTRACT

The goal of this article is an exact Bayesian analysis of the Heston (1993) stochastic volatility model, where different parameterizations of the latent volatility process and the parameters of the volatility process will be used to improve convergence and the mixing behavior of the sampler. We apply the sampler to simulated data and to DM/Us$ exchange rate data. More... »

PAGES

480-485

References to SciGraph publications

Book

TITLE

Operations Research Proceedings 2002

ISBN

978-3-540-00387-8
978-3-642-55537-4

Author Affiliations

Identifiers

URI

http://scigraph.springernature.com/pub.10.1007/978-3-642-55537-4_78

DOI

http://dx.doi.org/10.1007/978-3-642-55537-4_78

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1030774540


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