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Published in 2019 at "Journal of Statistical Planning and Inference"
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…
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Keywords:
maximum likelihood;
heston model;
likelihood estimators;
jump type ... See more keywords