Weighted least-squares estimation for the subcritical Heston process. (26th July 2018)

• Record Type: Journal Article
• Authors: du Roy de Chaumaray, M.
• Is Part Of: Journal of applied probability. Volume 55:Number 2(2018)
• Page Start: 543
• Page End: 558
• Publication Date: 2018-07-26
• Subjects: Squared radial Ornstein–Uhlenbeck process, -- Heston process, -- parameter estimation, -- weighted least-squares estimate, -- consistency, -- asymptotic normality; Primary 62M05, -- Secondary 60G20, -- 60G44; 519.2
• DOI: 10.1017/jpr.2018.34
• Languages: English
• ISSNs: 0021-9002

Abstract

Abstract: We simultaneously estimate the four parameters of a subcritical Heston process. We do not restrict ourselves to the case where the stochastic volatility process never reaches zero. In order to avoid the use of unmanageable stopping times and a natural but intractable estimator, we use a weighted least-squares estimator. We establish strong consistency and asymptotic normality for this estimator. Numerical simulations are also provided, illustrating the favorable performance of our estimation procedure.