45 citations · 222 across the 55 of their papers we have counts for
10 papers · 1 filter
Least squares estimation for the subcritical Heston model based on continuous time observations
Matyas Barczy, Balazs Nyul, Gyula Pap
We prove strong consistency and asymptotic normality of least squares estimators for the subcritical Heston model based on continuous time observations. We also present some numeri…
One-parameter statistical model for linear stochastic differential equation with time delay
János Marcell Benke, Gyula Pap
Assume that we observe a stochastic process , which satisfies the linear stochastic delay differential equation \[ \mathrm{d} X(t) = \vartheta \int_{[-r,0]} X(…
Asymptotic behavior of maximum likelihood estimators for a jump-type Heston model
Matyas Barczy, Mohamed Ben Alaya, Ahmed Kebaier +1
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 b…
Iterated limits for aggregation of randomized INAR(1) processes with Poisson innovations
Matyas Barczy, Fanni Nedényi, Gyula Pap
We discuss joint temporal and contemporaneous aggregation of independent copies of strictly stationary INteger-valued AutoRegressive processes of order 1 (INAR(1)) with random…
Blocking unions of arborescences
Attila Bernáth, Gyula Pap
Given a digraph and a positive integer , a subset is called a \textbf{-union-arborescence}, if it is the disjoint union of spanning arborescences…
Blocking optimal arborescences
Attila Bernáth, Gyula Pap
The problem of covering minimum cost common bases of two matroids is NP-complete, even if the two matroids coincide, and the costs are all equal to 1. In this paper we show that th…