Least squares estimation for the subcritical Heston model based on continuous time observations
Statistics Theory
2019-08-23 v3 Statistical Finance
Statistics Theory
Abstract
We prove strong consistency and asymptotic normality of least squares estimators for the subcritical Heston model based on continuous time observations. We also present some numerical illustrations of our results.
Cite
@article{arxiv.1511.05948,
title = {Least squares estimation for the subcritical Heston model based on continuous time observations},
author = {Matyas Barczy and Balazs Nyul and Gyula Pap},
journal= {arXiv preprint arXiv:1511.05948},
year = {2019}
}
Comments
22 pages. arXiv admin note: text overlap with arXiv:1310.4783