Tesi etd-09272023-170004 |
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Tipo di tesi
Tesi di laurea magistrale
Autore
FILIPPONE, LEONARDO
URN
etd-09272023-170004
Titolo
Parameter estimation of multidimensional extensions of the Heston model from historical volatility
Dipartimento
ECONOMIA E MANAGEMENT
Corso di studi
BANCA, FINANZA AZIENDALE E MERCATI FINANZIARI
Relatori
relatore Prof. Corsi, Fulvio
Parole chiave
- estimation
- Heston model
- indirect inference
- stochastic volatility
- SV models
Data inizio appello
16/10/2023
Consultabilità
Tesi non consultabile
Riassunto
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.
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