Asymptotic behavior of maximum likelihood estimators for a jump-type Heston model
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DOI: 10.1016/j.jspi.2018.02.002
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… read more here.
Keywords: maximum likelihood; heston model; likelihood estimators; jump type ... See more keywords