{"id":"https://openalex.org/W250200067","doi":"https://doi.org/10.1007/978-3-642-55537-4_78","title":"Bayesian Estimation of the Heston Stochastic Volatility Model","display_name":"Bayesian Estimation of the Heston Stochastic Volatility Model","publication_year":2003,"publication_date":"2003-01-01","ids":{"openalex":"https://openalex.org/W250200067","doi":"https://doi.org/10.1007/978-3-642-55537-4_78","mag":"250200067"},"language":"en","primary_location":{"id":"doi:10.1007/978-3-642-55537-4_78","is_oa":false,"landing_page_url":"https://doi.org/10.1007/978-3-642-55537-4_78","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Operations Research Proceedings 2002","raw_type":"book-chapter"},"type":"book-chapter","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5051060321","display_name":"Sylvia Fr\u00fchwirth\u2010Schnatter","orcid":"https://orcid.org/0000-0003-0516-5552"},"institutions":[{"id":"https://openalex.org/I102248843","display_name":"Vienna University of Economics and Business","ror":"https://ror.org/03yn8s215","country_code":"AT","type":"education","lineage":["https://openalex.org/I102248843"]}],"countries":["AT"],"is_corresponding":true,"raw_author_name":"Sylvia Fr\u00fchwirth-Schnatter","raw_affiliation_strings":["University of Economics and B.A., Augasse 2-6, Austria, Vienna, A-1090","University of Economics and B.A., Vienna, Austria"],"affiliations":[{"raw_affiliation_string":"University of Economics and B.A., Augasse 2-6, Austria, Vienna, A-1090","institution_ids":["https://openalex.org/I102248843"]},{"raw_affiliation_string":"University of Economics and B.A., Vienna, Austria","institution_ids":["https://openalex.org/I102248843"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5054789242","display_name":"Leopold S\u00f6gner","orcid":"https://orcid.org/0000-0001-5388-0601"},"institutions":[{"id":"https://openalex.org/I4210100980","display_name":"Vienna Center for Quantum Science and Technology","ror":"https://ror.org/014cpn338","country_code":"AT","type":"education","lineage":["https://openalex.org/I129774422","https://openalex.org/I138211613","https://openalex.org/I145847075","https://openalex.org/I4210100980"]},{"id":"https://openalex.org/I145847075","display_name":"TU Wien","ror":"https://ror.org/04d836q62","country_code":"AT","type":"education","lineage":["https://openalex.org/I145847075"]}],"countries":["AT"],"is_corresponding":false,"raw_author_name":"Leopold S\u00f6gner","raw_affiliation_strings":["University of Technology, Theresianumgasse 27, Austria, Vienna, A-1040","University of Technology, Vienna, Austria"],"affiliations":[{"raw_affiliation_string":"University of Technology, Theresianumgasse 27, Austria, Vienna, A-1040","institution_ids":["https://openalex.org/I4210100980"]},{"raw_affiliation_string":"University of Technology, Vienna, Austria","institution_ids":["https://openalex.org/I145847075"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5051060321"],"corresponding_institution_ids":["https://openalex.org/I102248843"],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":15,"citation_normalized_percentile":{"value":0.06868357,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":97},"biblio":{"volume":null,"issue":null,"first_page":"480","last_page":"485"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9991000294685364,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9991000294685364,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9945999979972839,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.98089998960495,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"Stochastic volatility","score":0.8638315200805664},{"id":"https://openalex.org/keywords/heston-model","display_name":"Heston model","score":0.8611892461776733},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.6173276901245117},{"id":"https://openalex.org/keywords/estimation","display_name":"Estimation","score":0.5592300891876221},{"id":"https://openalex.org/keywords/bayes-estimator","display_name":"Bayes estimator","score":0.5155646800994873},{"id":"https://openalex.org/keywords/bayesian-probability","display_name":"Bayesian probability","score":0.5012176036834717},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.4769655466079712},{"id":"https://openalex.org/keywords/sabr-volatility-model","display_name":"SABR volatility model","score":0.40397435426712036},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.3866356611251831},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.3339812159538269},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.3254091739654541}],"concepts":[{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.8638315200805664},{"id":"https://openalex.org/C93045229","wikidata":"https://www.wikidata.org/wiki/Q5746554","display_name":"Heston model","level":5,"score":0.8611892461776733},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6173276901245117},{"id":"https://openalex.org/C96250715","wikidata":"https://www.wikidata.org/wiki/Q965330","display_name":"Estimation","level":2,"score":0.5592300891876221},{"id":"https://openalex.org/C68022304","wikidata":"https://www.wikidata.org/wiki/Q842217","display_name":"Bayes estimator","level":3,"score":0.5155646800994873},{"id":"https://openalex.org/C107673813","wikidata":"https://www.wikidata.org/wiki/Q812534","display_name":"Bayesian probability","level":2,"score":0.5012176036834717},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.4769655466079712},{"id":"https://openalex.org/C187625094","wikidata":"https://www.wikidata.org/wiki/Q7388452","display_name":"SABR volatility model","level":4,"score":0.40397435426712036},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.3866356611251831},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.3339812159538269},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.3254091739654541},{"id":"https://openalex.org/C187736073","wikidata":"https://www.wikidata.org/wiki/Q2920921","display_name":"Management","level":1,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1007/978-3-642-55537-4_78","is_oa":false,"landing_page_url":"https://doi.org/10.1007/978-3-642-55537-4_78","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Operations Research Proceedings 2002","raw_type":"book-chapter"},{"id":"pmh:oai:research.wu.ac.at:openaire_cris_publications/ecbcc858-909b-4050-bc4b-1621724a0496","is_oa":false,"landing_page_url":"http://papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1284324_code506366.pdf?abstractid=1070823&mirid=1","pdf_url":null,"source":{"id":"https://openalex.org/S7407055123","display_name":"WU Research","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Fr\u00fchwirth-Schnatter, S & S\u00f6gner, L 2008, 'Bayesian Estimation of the Heston Stochastic Volatility Model', Communications in Dependability and Quality Management, vol. 11, pp. 5 - 25.","raw_type":"info:eu-repo/semantics/publishedVersion"},{"id":"pmh:oai:research.wu.ac.at:publications/ecbcc858-909b-4050-bc4b-1621724a0496","is_oa":false,"landing_page_url":"https://research.wu.ac.at/de/publications/ecbcc858-909b-4050-bc4b-1621724a0496","pdf_url":null,"source":{"id":"https://openalex.org/S7407055123","display_name":"WU Research","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Fr\u00fchwirth-Schnatter, S & S\u00f6gner, L 2008, 'Bayesian Estimation of the Heston Stochastic Volatility Model', Communications in Dependability and Quality Management, vol. 11, pp. 5 - 25.","raw_type":"info:eu-repo/semantics/publishedVersion"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":20,"referenced_works":["https://openalex.org/W1525526370","https://openalex.org/W1979099940","https://openalex.org/W1994823593","https://openalex.org/W2026699941","https://openalex.org/W2028622780","https://openalex.org/W2038509694","https://openalex.org/W2040646026","https://openalex.org/W2064978316","https://openalex.org/W2077791698","https://openalex.org/W2088413985","https://openalex.org/W2098754649","https://openalex.org/W2115724285","https://openalex.org/W2137945003","https://openalex.org/W2138349601","https://openalex.org/W2140585983","https://openalex.org/W2148080284","https://openalex.org/W2149327835","https://openalex.org/W3122150532","https://openalex.org/W3122681729","https://openalex.org/W3147121454"],"related_works":["https://openalex.org/W2803749326","https://openalex.org/W2777639970","https://openalex.org/W3122863754","https://openalex.org/W4313653791","https://openalex.org/W2411806651","https://openalex.org/W2804478675","https://openalex.org/W3093796783","https://openalex.org/W2506914110","https://openalex.org/W2004330626","https://openalex.org/W2212701802"],"abstract_inverted_index":null,"counts_by_year":[{"year":2023,"cited_by_count":1},{"year":2021,"cited_by_count":1},{"year":2020,"cited_by_count":1},{"year":2018,"cited_by_count":1},{"year":2015,"cited_by_count":3},{"year":2013,"cited_by_count":2},{"year":2012,"cited_by_count":2}],"updated_date":"2026-04-05T17:49:38.594831","created_date":"2025-10-10T00:00:00"}