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Asymptotic properties of maximum likelihood estimators for Heston models based on continuous time observations (1310.4783v3)
Published 17 Oct 2013 in math.ST, q-fin.ST, and stat.TH
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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