Least squares estimation for the subcritical Heston model based on continuous time observations

Matyas Barczy, Balazs Nyul and Gyula Pap

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Abstract: We prove strong consistency and asymptotic normality of least squares estimators for the subcritical Heston model based on continuous time observations. We also present some numerical illustrations of our results.

Date: 2015-11, Revised 2018-08
New Economics Papers: this item is included in nep-ecm and nep-ets
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Published in Journal of Statistical Theory and Practice 3(1), (2019), 13:18

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1511.05948

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