基于连续时间观测的次临界 Heston 模型最小二乘估计
统计理论
2019-08-23 v3 统计金融
统计理论
摘要
我们证明了基于连续时间观测的次临界 Heston 模型最小二乘估计量的强相合性与渐近正态性。我们还给出了结果的若干数值实例。
引用
@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}
}
备注
22 pages. arXiv admin note: text overlap with arXiv:1310.4783