Observations Concerning the Estimation of Hestons’ Stochastic Volatility Model Using HF Data
A study on the Heston stochastic volatility model shows challenges in producing accurate parameter estimates and limitations in capturing tail behavior with high-frequency financial data.
Featured in No. 22 on 18 Oct 2023 · 5 days after release · 0 citations today
- Released
- 13 Oct 2023
- First featured
- No. 22 · 18 Oct 2023
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- SSRN 4602112
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