Weighted least squares estimation for the subcritical Heston process
Langue
en
Article de revue
Ce document a été publié dans
Journal of Applied Probability. 2018-06
Cambridge University press
Résumé en anglais
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 ...Lire la suite >
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.< Réduire
Origine
Importé de halUnités de recherche