Weighted least squares estimation for the subcritical Heston process

Abstract : We simultaneously estimate the four parameters of a subcritical Heston process. We do not restrict ourself to the case where the stochastic volatility process never reaches zero. In order to avoid the use of unmanageable stopping times and natural but intractable estimator, we propose to make use of a weighted least squares estimator. We establish strong consistency and asymptotic normality for this estimator. Numerical simulations are also provided, illustrating the good performances of our estimation procedure.
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https://hal.archives-ouvertes.fr/hal-01207617
Contributor : Marie Du Roy de Chaumaray <>
Submitted on : Wednesday, July 20, 2016 - 9:50:02 AM
Last modification on : Thursday, February 15, 2018 - 1:09:07 AM

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  • HAL Id : hal-01207617, version 2
  • ARXIV : 1509.09167

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Marie Du Roy de Chaumaray. Weighted least squares estimation for the subcritical Heston process. 2016. ⟨hal-01207617v2⟩

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