Asymptotic properties of maximum likelihood estimators for Heston models based on continuous time observations
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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"Generalized Transform Analysis of Affine Processes and Applications in Finance,"
NBER Working Papers
16906, National Bureau of Economic Research, Inc.
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