Asymptotic behavior of maximum likelihood estimators for a jump-type Heston model

DOI10.1016/J.JSPI.2018.02.002zbMath1391.60130arXiv1509.08869OpenAlexW3124626807WikidataQ129766359 ScholiaQ129766359MaRDI QIDQ1644436

Mátyás Barczy, Mohamed Ben Alaya, Ahmed Kebaier, Gyula Pap

Publication date: 21 June 2018

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1509.08869

zbMATH Keywords

maximum likelihood estimatorjump-type Heston model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Statistical methods; risk measures (91G70) Central limit and other weak theorems (60F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (4)

On conditional least squares estimation for affine diffusions based on continuous time observations ⋮ Asymptotic properties of maximum likelihood estimator for the growth rate for a jump-type CIR process based on continuous time observations ⋮ Asymptotic properties of maximum likelihood estimator for the growth rate of a stable CIR process based on continuous time observations ⋮ The continuity and estimates of a solution to mixed fractional constant elasticity of variance system with stochastic volatility and the pricing of vulnerable options

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