Asymptotic properties of maximum-likelihood estimators for Heston models based on continuous time observations

Barczy, Mátyás and Pap, Gyula (2016) Asymptotic properties of maximum-likelihood estimators for Heston models based on continuous time observations. STATISTICS, 50 (2). pp. 389-417. ISSN 0233-1888

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Abstract

We study asymptotic properties of maximum-likelihood estimators for Heston models based on continuous time observations of the log-price process. We distinguish three cases: subcritical (also called ergodic), critical and supercritical. In the subcritical case, asymptotic normality is proved for all the parameters, while in the critical and supercritical cases, non-standard asymptotic behaviour is described.

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