Narrow search
Showing 1 - 4 of 4
Cover Image
Bayesian estimation of the Heston volatility model
Frühwirth-Schnatter, Sylvia; Sögner, Leopold - In: Operations research proceedings 2002 : selected papers …, (pp. 480-485). 2003
Persistent link: https://www.econbiz.de/10001752050
Cover Image
The implicit estimation of default intensities and recovery rates
Frühwirth, Manfred; Sögner, Leopold - In: Empirie und Betriebswirtschaft : Entwicklungen und …, (pp. 351-371). 2003
Persistent link: https://www.econbiz.de/10001799635
Cover Image
The economic role of jumps and recovery rates in the market for corporate default risk
Schneider, Paul; Sögner, Leopold; Veza, Tanja - In: Journal of financial and quantitative analysis : JFQA 45 (2010) 6, pp. 1517-1547
Persistent link: https://www.econbiz.de/10008909155
Cover Image
Bayesian Estimation of the Multi-Factor Heston Stochastic Volatility Model
Fruhwirth-Schnatter, Sylvia; Sögner, Leopold - 2014
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...
Persistent link: https://www.econbiz.de/10014221761