Least-Squares Estimation for the Subcritical Heston Model Based on Continuous-Time Observations

Least-Squares Estimation for the Subcritical Heston Model Based on Continuous-Time Observations

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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Veröffentlicht in:Journal of statistical theory and practice 2019-03, Vol.13 (1), Article 18
Hauptverfasser: Barczy, Mátyás, Nyul, Balázs, Pap, Gyula
Format: Artikel
Sprache:eng
Schlagworte:
Mathematics and Statistics
Original Article
Probability Theory and Stochastic Processes
Statistical Theory and Methods
Statistics
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Zusammenfassung: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.
ISSN:1559-8608
1559-8616
DOI:10.1007/s42519-018-0007-6