Quotation Frühwirth-Schnatter, Sylvia, Sögner, Leopold. 2008. Bayesian Estimation of the Heston Stochastic Volatility Model. Communications in Dependability and Quality Management 11 5-25.


RIS


BibTeX

Abstract

In this article we investigate a multi-factor version of the Heston (1993) stochastic volatility model. First, we provide explicit expres- sions for excess kurtosis and autocorrelation of squared returns and show that excess kurtosis is smaller than three and squared autocor- relations are smaller than 0.2 even for a multi-factor model. Then we discuss a fully Bayesian analysis based on Markov chain Monte Carlo (MCMC) estimation and data augmentation and improve the perfor- mance of MCMC estimation by using a partially centered parametriza- tion of the model. Finally, we apply the multi-factor Heston stochastic volatility model to simulated as well as to exchange rate data.

Tags

Press 'enter' for creating the tag

Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal Communications in Dependability and Quality Management
Language English
Title Bayesian Estimation of the Heston Stochastic Volatility Model
Volume 11
Year 2008
Page from 5
Page to 25
URL http://papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1284324_code506366.pdf?abstractid=1070823&mirid=1

Associations

People
Frühwirth-Schnatter, Sylvia (Details)
External
Sögner, Leopold
Organization
Institute for Statistics and Mathematics IN (Details)
Google Scholar: Search