Parameter estimation for the subcritical Heston model based on discrete time observations

Matyas Barczy, Gyula Pap and Tamas T. Szabo

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Abstract: We study asymptotic properties of some (essentially conditional least squares) parameter estimators for the subcritical Heston model based on discrete time observations derived from conditional least squares estimators of some modified parameters.

Date: 2014-03, Revised 2016-02
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Published in Acta Scientiarum Mathematicarum (Szeged) 82, (2016), 313-338

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