Parameter estimation for the subcritical Heston model based on discrete time observations
Statistics Theory
2016-07-25 v2 Probability
Statistical Finance
Statistics Theory
Abstract
We study asymptotic properties of some (essentially conditional least squares) parameter estimators for the subcritical Heston model based on discrete time observations derived from conditional least squares estimators of some modified parameters.
Cite
@article{arxiv.1403.0527,
title = {Parameter estimation for the subcritical Heston model based on discrete time observations},
author = {Matyas Barczy and Gyula Pap and Tamas T. Szabo},
journal= {arXiv preprint arXiv:1403.0527},
year = {2016}
}
Comments
22 pages, mistakes in the proof of Theorem 3.2 are corrected