This paper analyses the implementation and calibration of the Heston Stochastic Volatility Model. We first explain how characteristic functions can be used to esti-mate option prices. Then we consider the implementation of the Heston model, showing that relatively simple solutions can lead to...

This paper analyses the implementation and calibration of the Heston Stochastic Volatility Model. We first explain how characteristic functions can be used to estimate option prices. Then we consider the implementation of the Heston model, showing that relatively simple solutions can lead to...

In this paper we introduce a simple continuous-time asset pricing framework, based on general multi-dimensional diffusion processes, that combines semi-analytic pricing with a nonlinear specification for the market price of risk. Our framework guarantees existence of weak solutions of the...

In this paper we replace the Gaussian errors in the standard Gaussian, linear state space model with stochastic volatility processes. This is called a GSSF-SV model. We show that conventional MCMC algorithms for this type of model are ineffective, but that this problem can be removed by...

We use the Bayesian method introduced by Gallant and McCulloch (2009) to estimate consumption-based asset pricing models featuring smooth ambiguity preferences. We rely on semi-nonparametric estimation of a flexible auxiliary model in our structural estimation. Based on the market and aggregate...

This paper deals with the impact of the $/¿ exchange rate on German exports in the period from 1995Q1 to 2008Q4. Our main aim is to identify "pain thresholds" for German exporters. We rely on a non-linear model according to which suddenly strong spurts of exports occur when changes of the EXR...

This paper deals with the impact of the $/Euro exchange rate on German exports in the period from 1995Q1 to 2008Q4. Our main aim is to identify "pain thresholds" for German exporters. We rely on a non-linear model according to which suddenly strong spurts of exports occur when changes of the EXR...

This paper deals with the impact of the $/€ exchange rate on German exports in the period from 1995Q1 to 2008Q4. Our main aim is to identify "pain thresholds" for German exporters. We rely on a non-linear model according to which suddenly strong spurts of exports occur when changes of the EXR...

This paper deals with the impact of the $/€ exchange rate on German exports in the period from 1995Q1 to 2008Q4. Our main aim is to identify pain thresholds for German exporters. We rely on a non-linear model according to which suddenly strong spurts of exports occur when changes of the EXR go...