MODERATE DEVIATIONS FOR PARAMETERS ESTIMATION IN A GEOMETRICALLY ERGODIC HESTON PROCESSReport as inadecuate




MODERATE DEVIATIONS FOR PARAMETERS ESTIMATION IN A GEOMETRICALLY ERGODIC HESTON PROCESS - Download this document for free, or read online. Document in PDF available to download.

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Abstract : We establish a moderate deviation principle for the maximum likelihood es-timator of the four parameters of a geometrically ergodic Heston process. We also obtain moderate deviations for the maximum likelihood estimator of the couple of dimensional and drift parameters of a generalized squared radial Ornstein-Uhlenbeck process. We restrict ourselves to the most tractable case where the dimensional parameter satisfies a > 2 and the drift coefficient is such that b < 0. In contrast to the previous literature, parameters are estimated simultaneously.





Author: Marie Du Roy de Chaumaray -

Source: https://hal.archives-ouvertes.fr/



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