Bayesian Estimation of the Multi-Factor Heston Stochastic Volatility Model

The goal of this article is an exact Bayesian analysis of the Heston (1993) stochastic volatility model. We carefully study the effect different parameterizations of the latent volatility process and the parameters of the volatility process have on the convergence and the mixing behavior of the sampler. We apply the sampler to simulated data and to some DM/US$ exchange rate data

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Year of publication:	2014
Authors:	Fruhwirth-Schnatter, Sylvia ; Sögner, Leopold
Publisher:	[S.l.] : SSRN
Subject:	Volatilität \| Volatility \| Stochastischer Prozess \| Stochastic process \| Bayes-Statistik \| Bayesian inference \| Schätzung \| Estimation \| Schätztheorie \| Estimation theory \| Monte-Carlo-Simulation \| Monte Carlo simulation \| Optionspreistheorie \| Option pricing theory

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Extent:	1 Online-Ressource (37 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 8, 2008 erstellt
Other identifiers:	10.2139/ssrn.1070823 [DOI]
Classification:	C11 - Bayesian Analysis ; C15 - Statistical Simulation Methods; Monte Carlo Methods
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014221761