Moderate deviations for parameters estimation in a geometrically ergodic Heston process

Marie Roy de Chaumaray ()
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Marie Roy de Chaumaray: Université de Bordeaux

Statistical Inference for Stochastic Processes, 2018, vol. 21, issue 3, No 5, 553-567

Abstract: Abstract We establish a moderate deviation principle for the maximum likelihood estimator of the four parameters of a geometrically ergodic Heston process. We also obtain moderate deviations for the maximum likelihood estimator of the couple of dimensional and drift parameters of a generalized squared radial Ornstein–Uhlenbeck process. We restrict ourselves to the most tractable case where the dimensional parameter satisfies $$a>2$$ a > 2 and the drift coefficient is such that $$b

Keywords: Parameter estimation; Maximum likelihood estimator; Moderate deviation principle; Heston process (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1007/s11203-017-9158-4

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