ETD

• estimation
• Heston model
• indirect inference
• stochastic volatility
• SV models

This thesis aims to propose a comparison between two alternative Heston model extensions that employ multiple volatility factors: the matrix and the vector Heston model. The expected outcome is to highlight that the much higher complexity (both in analytical and in simulative terms) of the matrix Heston does not imply a consistently better predictive capability of the same model if compared to the vector Heston.