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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.

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Date: 2015-11, Revised 2018-08
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Published in Journal of Statistical Theory and Practice 3(1), (2019), 13:18

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