{"paper":{"title":"Asymptotic behavior of maximum likelihood estimators for a jump-type Heston model","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["math.PR","q-fin.ST","stat.TH"],"primary_cat":"math.ST","authors_text":"Ahmed Kebaier, Gyula Pap, Matyas Barczy, Mohamed Ben Alaya","submitted_at":"2015-09-29T18:05:47Z","abstract_excerpt":"We study asymptotic properties of maximum likelihood estimators of drift parameters for a jump-type Heston model based on continuous time observations, where the jump process can be any purely non-Gaussian L\\'evy process of not necessarily bounded variation with a L\\'evy measure concentrated on $(-1,\\infty)$. We prove strong consistency and asymptotic normality for all admissible parameter values except one, where we show only weak consistency and mixed normal (but non-normal) asymptotic behavior. It turns out that the volatility of the price process is a measurable function of the price proce"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1509.08869","kind":"arxiv","version":4},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}