Realised volatility and parametric estimation of Heston SDEs
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DOI: 10.1007/s00780-020-00427-2
Abstract: We present a detailed analysis of observable moment-based parameter estimators for the Heston SDEs jointly driving the rate of returns ( R t ) $(R_{t})$ and the squared volatilities ( V t ) $(V_{t})$ .… read more here.
Keywords: heston sdes; realised volatilities; parameter estimators; heston ... See more keywords