Asymptotic properties of maximum-likelihood estimators for Heston models based on continuous time observations
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almost sure convergenceconvergence in distributionHeston modelmaximum-likelihood estimatorstochastic differential equations
Central limit and other weak theorems (60F05) Strong limit theorems (60F15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Asymptotic properties of parametric estimators (62F12) Statistical methods; risk measures (91G70) Financial applications of other theories (91G80)
Abstract: We study asymptotic properties of maximum likelihood estimators for Heston models based on continuous time observations of the log-price process. We distinguish three cases: subcritical (also called ergodic), critical and supercritical. In the subcritical case, asymptotic normality is proved for all the parameters, while in the critical and supercritical cases, non-standard asymptotic behavior is described.
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Cited in
(19)- On the large deviation principle for maximum likelihood estimator of -Brownian bridge
- Asymptotic behavior of maximum likelihood estimators for a jump-type Heston model
- Asymptotic properties of maximum likelihood estimator for the growth rate for a jump-type CIR process based on continuous time observations
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