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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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