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Asymptotic properties of maximum likelihood estimators for Heston models based on continuous time observations

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  • Matyas Barczy
  • Gyula Pap
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    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.

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    File URL: http://arxiv.org/pdf/1310.4783
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    Bibliographic Info

    Paper provided by arXiv.org in its series Papers with number 1310.4783.

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    Date of creation: Oct 2013
    Date of revision: Jul 2014
    Handle: RePEc:arx:papers:1310.4783

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    Web page: http://arxiv.org/

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    1. Hui Chen & Scott Joslin, 2011. "Generalized Transform Analysis of Affine Processes and Applications in Finance," NBER Working Papers 16906, National Bureau of Economic Research, Inc.
    2. Overbeck, Ludger & Rydén, Tobias, 1997. "Estimation in the Cox-Ingersoll-Ross Model," Econometric Theory, Cambridge University Press, vol. 13(03), pages 430-461, June.
    3. repec:cup:cbooks:9780521496032 is not listed on IDEAS
    4. Ai[diaeresis]t-Sahalia, Yacine & Kimmel, Robert, 2007. "Maximum likelihood estimation of stochastic volatility models," Journal of Financial Economics, Elsevier, vol. 83(2), pages 413-452, February.
    5. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, vol. 53(2), pages 385-407, March.
    6. van Zanten, Harry, 2000. "A multivariate central limit theorem for continuous local martingales," Statistics & Probability Letters, Elsevier, vol. 50(3), pages 229-235, November.
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