Bayesian Estimation of the Multi-Factor Heston Stochastic Volatility Model
37 Pages Posted: 13 Dec 2007 Last revised: 12 Mar 2014
Date Written: October 8, 2008
The goal of this article is an exact Bayesian analysis of the Heston (1993) stochastic volatility model. We carefully study the effect different parameterizations of the latent volatility process and the parameters of the volatility process have on the convergence and the mixing behavior of the sampler. We apply the sampler to simulated data and to some DM/US$ exchange rate data.
Keywords: Heston model, MCMC, parameterization, stochastic volatility
JEL Classification: C11, C15
Suggested Citation: Suggested Citation