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}
}
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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