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Jaya P. N. Bishwal, Rate of convergence in the Kolmogorov distance for the minimum contrast estimator in the Heston model, Eur. J. Math. Appl. 3 (2023), Article ID 22.

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Volume 3 (2023), Article ID 22

https://doi.org/10.28919/ejma.2023.3.22

Published: 31/10/2023

Abstract:

We develop a new explicit estimator of the mean reversion parameter in the Heston model by using the minimum contrast method. We obtain a bound on the Kolmogorov distance for the distribution of the approximate minimum contrast estimator and the normal distribution for high frequency data.

How to Cite:

Jaya P. N. Bishwal, Rate of convergence in the Kolmogorov distance for the minimum contrast estimator in the Heston model, Eur. J. Math. Appl. 3 (2023), Article ID 22. https://doi.org/10.28919/ejma.2023.3.22