Asymptotic behavior of maximum likelihood estimators for a jump-type Heston model

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.