Asymptotic behavior of maximum likelihood estimators for a jump-type Heston model

Barczy, Mátyás and Ben Alaya, Mohamed and Kebaier, Ahmed and Pap, Gyula (2019) Asymptotic behavior of maximum likelihood estimators for a jump-type Heston model. Journal of Statistical Planning and Inference, 198. pp. 139-164.

Preview	Text Barczy_Ben-Alaya_Kebaier_Pap_2019_arxiv.pdf Download (759kB) | Preview
	Text Barczy_Ben-Alaya_Kebaier_Pap_2019.pdf - Published Version Restricted to Repository staff only Download (748kB) | Request a copy

Abstract

We study asymptotic properties of maximum likelihood estimators of drift parameters for a jump-type Heston model based on continuous time observations, where the jump process can be any purely non-Gaussian Lévy process of not necessarily bounded variation with a Lévy measure concentrated on (−1,∞). We prove strong consistency and asymptotic normality for all admissible parameter values except one, where we show only weak consistency and mixed normal (but non-normal) asymptotic behavior. It turns out that the volatility of the price process is a measurable function of the price process. We also present some numerical illustrations to confirm our results.

Actions (login required)

Edit Item