Photo by thinkmagically from unsplash
We study asymptotic properties of maximum likelihood estimators of drift parameters for a jump-type Heston model based on continuous time observations of the price process together with its jump part.… Click to show full abstract
We study asymptotic properties of maximum likelihood estimators of drift parameters for a jump-type Heston model based on continuous time observations of the price process together with its jump part. We prove strong consistency and asymptotic normality for all admissible parameter values except one, where we show only weak consistency and non-normal asymptotic behavior. We also present some simulations to illustrate our results.
Keywords:
maximum likelihood;
heston model;
likelihood estimators;
jump type;
type heston;
asymptotic behavior
Journal Title: Journal of Statistical Planning and Inference
Year Published: 2019
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!
Journal Title: Journal of Statistical Planning and Inference
Year Published: 2019
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!