Asymptotic properties of maximum likelihood estimators for Heston models based on continuous time observations
Statistics Theory
2016-07-25 v3 Statistical Finance
Statistics Theory
Abstract
We study asymptotic properties of maximum likelihood estimators for Heston models based on continuous time observations of the log-price process. We distinguish three cases: subcritical (also called ergodic), critical and supercritical. In the subcritical case, asymptotic normality is proved for all the parameters, while in the critical and supercritical cases, non-standard asymptotic behavior is described.
Keywords
Cite
@article{arxiv.1310.4783,
title = {Asymptotic properties of maximum likelihood estimators for Heston models based on continuous time observations},
author = {Matyas Barczy and Gyula Pap},
journal= {arXiv preprint arXiv:1310.4783},
year = {2016}
}
Comments
44 pages. Title has been changed