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

@article{Barczy2013AsymptoticPO,
title={Asymptotic properties of maximum-likelihood estimators for Heston models based on continuous time observations},
author={M. Barczy and G. Pap},
journal={Statistics},
year={2013},
volume={50},
pages={389 - 417}
}
• Published 2013
• Mathematics, Economics
• Statistics
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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