MODERATE DEVIATIONS FOR PARAMETERS ESTIMATION IN A GEOMETRICALLY ERGODIC HESTON PROCESS - Archive ouverte HAL
Pré-Publication, Document De Travail Année : 2016

MODERATE DEVIATIONS FOR PARAMETERS ESTIMATION IN A GEOMETRICALLY ERGODIC HESTON PROCESS

Résumé

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.
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Dates et versions

hal-01346972 , version 1 (20-07-2016)
hal-01346972 , version 2 (25-01-2018)

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  • HAL Id : hal-01346972 , version 1

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Marie Du Roy de Chaumaray. MODERATE DEVIATIONS FOR PARAMETERS ESTIMATION IN A GEOMETRICALLY ERGODIC HESTON PROCESS. 2016. ⟨hal-01346972v1⟩
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