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The Role of Operations Research in Public Policy Read chapter Read first chapter

2003 | OriginalPaper | Chapter

Bayesian Estimation of the Heston Stochastic Volatility Model

Authors : Sylvia Frühwirth-Schnatter, Leopold Sögner

Published in: Operations Research Proceedings 2002

Publisher: Springer Berlin Heidelberg

Included in: Professional Book Archive

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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.

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Metadata
Title
Bayesian Estimation of the Heston Stochastic Volatility Model
Authors
Sylvia Frühwirth-Schnatter
Leopold Sögner
Copyright Year
2003
Publisher
Springer Berlin Heidelberg
Book
Operations Research Proceedings 2002

Print ISBN: 978-3-540-00387-8

Electronic ISBN: 978-3-642-55537-4

Copyright Year: 2003

DOI
https://doi.org/10.1007/978-3-642-55537-4_78