Asymptotic properties of maximum-likelihood estimators for Heston models based on continuous time observations

DOI10.1080/02331888.2015.1044991zbMath1344.60031arXiv1310.4783OpenAlexW1602948544MaRDI QIDQ5739671

Gyula Pap, Mátyás Barczy

Publication date: 19 July 2016

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1310.4783

zbMATH Keywords

stochastic differential equationsconvergence in distributionmaximum-likelihood estimatoralmost sure convergenceHeston model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Statistical methods; risk measures (91G70) Central limit and other weak theorems (60F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Strong limit theorems (60F15) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)

Related Items

European Option Pricing with Stochastic Volatility Models Under Parameter Uncertainty ⋮ Change detection in the Cox-Ingersoll-Ross model ⋮ On the large deviation principle for maximum likelihood estimator of \(\alpha\)-Brownian bridge ⋮ Asymptotic behavior of maximum likelihood estimators for a jump-type Heston model ⋮ On conditional least squares estimation for affine diffusions based on continuous time observations ⋮ Asymptotic properties of maximum likelihood estimator for the growth rate of a stable CIR process based on continuous time observations ⋮ Weighted least-squares estimation for the subcritical Heston process ⋮ Exponential ergodicity of an affine two-factor model based on the α-root process ⋮ Least-squares estimation for the subcritical Heston model based on continuous-time observations

Cites Work

• Unnamed Item
• A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions
• Mathematical methods for financial markets.
• Affine processes and applications in finance
• A multivariate central limit theorem for continuous local martingales
• On parameter estimation for critical affine processes
• Functionals of multidimensional diffusions with applications to finance
• Asymptotic behavior of maximum likelihood estimator for time inhomogeneous diffusion processes
• Asymptotic properties of estimators in a stable Cox-Ingersoll-Ross model
• Parameter estimation for multivariate diffusion systems
• Closed-form likelihood expansions for multivariate diffusions
• Parameter estimation for a subcritical affine two factor model
• Parameter estimation in stochastic differential equations.
• Skew convolution semigroups and affine Markov processes
• Two singular diffusion problems
• Asymptotic Behavior of the Maximum Likelihood Estimator for Ergodic and Nonergodic Square-Root Diffusions
• A Theory of the Term Structure of Interest Rates
• Parameter Estimation for the Square-Root Diffusions: Ergodic and Nonergodic Cases
• Stationarity and Ergodicity for an Affine Two-Factor Model
• Estimation for Continuous Branching Processes
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options