Parameter estimation for the subcritical Heston model based on discrete time observations

DOI10.14232/ACTASM-015-016-0zbMath1374.62154arXiv1403.0527OpenAlexW3123163866MaRDI QIDQ2973137

Gyula Pap, Mátyás Barczy, Tamás T. Szabó

Publication date: 31 March 2017

Published in: Acta Scientiarum Mathematicarum (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1403.0527

zbMATH Keywords

Heston modelconditional least squares estimation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Central limit and other weak theorems (60F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic models in economics (91B70)

Related Items (3)

Volterra square-root process: stationarity and regularity of the law ⋮ Fast maximum likelihood estimation of parameters for square root and Bessel processes ⋮ Least-squares estimation for the subcritical Heston model based on continuous-time observations

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