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Goodness-of-fit of the Heston model

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Author Info
Nathan L. Joseph
Gilles Daniel
David S. Bree

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Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 2003 with number 281.

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Date of creation: 01 Aug 2003
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Handle: RePEc:sce:scecf3:281

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Related research
Keywords: Stock markets; Stochastic volatility; Heston model;

Find related papers by JEL classification:
C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - General
C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General

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  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. [Downloadable!] (restricted)
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