Parameter Estimation in the Heston Model

Jaya Bishwal ()
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Jaya Bishwal: University of North Carolina at Charlotte

Chapter Chapter 3 in Parameter Estimation in Stochastic Volatility Models, 2022, pp 103-168 from Springer

Abstract: Abstract We study refined asymptotics of some new estimators of the Cox–Ingersoll–Ross model and the Heston model. In order to motivate the theory, first, we obtain the rate of weak convergence of the distribution of the normalized minimum contrast estimator of the drift parameter based on continuous observation.

Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-031-03861-7_3

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DOI: 10.1007/978-3-031-03861-7_3

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