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We simultaneously estimate the four parameters of a subcritical Hestonprocess. We do not restrict ourself to the case where the stochastic volatilityprocess never reaches zero. In order to avoid the use of unmanageable stoppingtimes and natural but intractable estimator, we propose to make use of aweighted least squares estimator. We establish strong consistency andasymptotic normality for this estimator. Numerical simulations are alsoprovided, illustrating the good performances of our estimation procedure.

Weighted least squares estimation for the subcritical Heston process