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

Matyas Barczy and Gyula Pap

Papers from arXiv.org

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.

Date: 2013-10, Revised 2015-06
New Economics Papers: this item is included in nep-ecm
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Published in Statistics 50 (2), 2016, 389-417

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1310.4783

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