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Weighted least squares estimation for the subcritical Heston process

hal.structure.identifierInstitut de Mathématiques de Bordeaux [IMB]
dc.contributor.authorDU ROY DE CHAUMARAY, Marie
dc.date.accessioned2024-04-04T03:06:49Z
dc.date.available2024-04-04T03:06:49Z
dc.date.issued2018-06
dc.identifier.issn0021-9002
dc.identifier.urihttps://oskar-bordeaux.fr/handle/20.500.12278/193371
dc.description.abstractEnWe 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.
dc.language.isoen
dc.publisherCambridge University press
dc.title.enWeighted least squares estimation for the subcritical Heston process
dc.typeArticle de revue
dc.subject.halMathématiques [math]/Probabilités [math.PR]
dc.identifier.arxiv1509.09167
bordeaux.journalJournal of Applied Probability
bordeaux.hal.laboratoriesInstitut de Mathématiques de Bordeaux (IMB) - UMR 5251*
bordeaux.institutionUniversité de Bordeaux
bordeaux.institutionBordeaux INP
bordeaux.institutionCNRS
bordeaux.peerReviewedoui
hal.identifierhal-01207617
hal.version1
hal.popularnon
hal.audienceInternationale
hal.origin.linkhttps://hal.archives-ouvertes.fr//hal-01207617v1
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