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.
Elmentve itt :
| Szerzők: | |
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| Dokumentumtípus: | Cikk |
| Megjelent: |
2019
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| Sorozat: | JOURNAL OF STATISTICAL THEORY AND PRACTICE
13 No. 1 |
| Tárgyszavak: | |
| doi: | 10.1007/s42519-018-0007-6 |
| mtmt: | 30528550 |
| Online Access: | http://publicatio.bibl.u-szeged.hu/39623 |
| Tartalmi kivonat: | 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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| Terjedelem/Fizikai jellemzők: | 25 |
| ISSN: | 1559-8608 |