Asymptotic properties of maximum-likelihood estimators for Heston models based on continuous time observations |
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| Authors: | Mátyás Barczy Gyula Pap |
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| Affiliation: | 1. Faculty of Informatics, University of Debrecen, Pf. 12, H–4010 Debrecen, Hungary;2. Bolyai Institute, University of Szeged, Aradi vértanúk tere 1, H–6720 Szeged, Hungary |
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| 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 behaviour is described. |
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| Keywords: | Heston model maximum-likelihood estimator |
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