Least-squares estimation for the subcritical Heston model based on continuous-time observations
DOI10.1007/s42519-018-0007-6zbMath1420.91524arXiv1511.05948OpenAlexW3123047021MaRDI QIDQ2322027
Mátyás Barczy, Balázs Nyul, Gyula Pap
Publication date: 27 August 2019
Published in: Journal of Statistical Theory and Practice (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1511.05948
Asymptotic properties of parametric estimators (62F12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Central limit and other weak theorems (60F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
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