search query: @author Fiorentini, G. / total: 1
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| Author: | Fiorentini, G. León, A. Rubio, G. |
| Title: | Estimation and empirical performance of Heston's stochastic volatility model: the case of a thinly traded market |
| Journal: | Journal of Empirical Finance
2002 : MAR, VOL. 9:2, p. 225-255 |
| Index terms: | PERFORMANCE APPRAISAL STOCHASTIC PROCESSES TRADING VOLATILITY |
| Language: | eng |
| Abstract: | This paper examines the stochastic volatility model suggested by Heston (1993) in a thinly traded market context. The authors employ a time-series approach based on indirect inference to estimate the model parameters. |
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