We study asymptotic properties of maximum likelihood estimators of drift parameters for a jump-type Heston model based on continuous time observations of the price process together with its jump part . 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. We also present some simulations to illustrate our results.
We study asymptotic properties of maximum likelihood estimators of drift parameters for a jump-type Heston model based on continuous time observations . 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. We also present some numerical illustrations to confirm our results.
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of the price process together with its jump part
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simulations to illustrate
numerical illustrations to confirm