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


  • Matyas Barczy
  • Gyula Pap


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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  • Matyas Barczy & Gyula Pap, 2013. "Asymptotic properties of maximum likelihood estimators for Heston models based on continuous time observations," Papers 1310.4783,, revised Jun 2015.
  • Handle: RePEc:arx:papers:1310.4783

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    References listed on IDEAS

    1. Hui Chen & Scott Joslin, 2012. "Generalized Transform Analysis of Affine Processes and Applications in Finance," Review of Financial Studies, Society for Financial Studies, vol. 25(7), pages 2225-2256.
    2. 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.
    3. van Zanten, Harry, 2000. "A multivariate central limit theorem for continuous local martingales," Statistics & Probability Letters, Elsevier, vol. 50(3), pages 229-235, November.
    4. John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005. "A Theory Of The Term Structure Of Interest Rates," World Scientific Book Chapters,in: Theory Of Valuation, chapter 5, pages 129-164 World Scientific Publishing Co. Pte. Ltd..
    5. Overbeck, Ludger & Rydén, Tobias, 1997. "Estimation in the Cox-Ingersoll-Ross Model," Econometric Theory, Cambridge University Press, vol. 13(03), pages 430-461, June.
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    Cited by:

    1. Matyas Barczy & Balazs Nyul & Gyula Pap, 2015. "Least squares estimation for the subcritical Heston model based on continuous time observations," Papers 1511.05948,, revised Nov 2017.
    2. Matyas Barczy & Mohamed Ben Alaya & Ahmed Kebaier & Gyula Pap, 2015. "Asymptotic behavior of maximum likelihood estimators for a jump-type Heston model," Papers 1509.08869,, revised Dec 2016.

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