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Statistics
A Journal of Theoretical and Applied Statistics
Volume 50, 2016 - Issue 2
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Original Articles

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

Mátyás BarczyFaculty of Informatics, University of Debrecen, Pf. 12, H–4010Debrecen, HungaryCorrespondence[email protected]
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Gyula PapBolyai Institute, University of Szeged, Aradi vértanúk tere 1, H–6720Szeged, HungaryView further author information
Pages 389-417 | Received 31 Jul 2014, Accepted 17 Apr 2015, Published online: 22 Jul 2015

Citations (3)

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Mátyás Barczy, Mohamed Ben Alaya, Ahmed Kebaier & Gyula Pap. (2019) Asymptotic properties of maximum likelihood estimator for the growth rate of a stable CIR process based on continuous time observations. Statistics 53:3, pages 533-568.
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Articles from other publishers (2)

Beáta Bolyog & Gyula Pap. (2018) On conditional least squares estimation for affine diffusions based on continuous time observations. Statistical Inference for Stochastic Processes 22:1, pages 41-75.
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Marie du Roy de Chaumaray. (2017) Moderate deviations for parameters estimation in a geometrically ergodic Heston process. Statistical Inference for Stochastic Processes 21:3, pages 553-567.
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