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Estimation and empirical performance of Heston's stochastic volatility model: the case of a thinly traded market

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  • Fiorentini, Gabriele
  • Leon, Angel
  • Rubio, Gonzalo

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Empirical Finance.

Volume (Year): 9 (2002)
Issue (Month): 2 (March)
Pages: 225-255

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Handle: RePEc:eee:empfin:v:9:y:2002:i:2:p:225-255

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Web page: http://www.elsevier.com/locate/jempfin

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Cited by:
  1. In Kim & In-Seok Baek & Jaesun Noh & Sol Kim, 2007. "The role of stochastic volatility and return jumps: reproducing volatility and higher moments in the KOSPI 200 returns dynamics," Review of Quantitative Finance and Accounting, Springer, vol. 29(1), pages 69-110, July.
  2. Carmen Broto & Esther Ruiz, 2004. "Estimation methods for stochastic volatility models: a survey," Journal of Economic Surveys, Wiley Blackwell, vol. 18(5), pages 613-649, December.
  3. Jean-Pierre Fouque & Matthew Lorig, 2010. "A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model," Papers 1007.4366, arXiv.org, revised Apr 2012.
  4. Rubio Irigoyen, Gonzalo & León, Angel & Ferreira García, María Eva & Gago, Mónica, 2003. "An empirical comparison of the performance of alternative option pricing models," DFAEII Working Papers 2002-04, University of the Basque Country - Department of Foundations of Economic Analysis II.
  5. Jaesun Noh & Tae-Hwan Kim, 2006. "Forecasting volatility of futures market: the S&P 500 and FTSE 100 futures using high frequency returns and implied volatility," Applied Economics, Taylor & Francis Journals, vol. 38(4), pages 395-413.
  6. Matthew Lorig, 2010. "Time-Changed Fast Mean-Reverting Stochastic Volatility Models," Papers 1010.5203, arXiv.org, revised Apr 2012.
  7. Lisok, Helen & Kritskiy, Oleg, 2007. "An Asymptotic Estimation of the Coefficients of the Stochastic Volatility Model," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 6(2), pages 3-12.

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