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Parameter estimation for a subcritical affine two factor model

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  • Matyas Barczy
  • Leif Doering
  • Zenghu Li
  • Gyula Pap

Abstract

For an affine two factor model, we study the asymptotic properties of the maximum likelihood and least squares estimators of some appearing parameters in the so-called subcritical (ergodic) case based on continuous time observations. We prove strong consistency and asymptotic normality of the estimators in question.

Suggested Citation

  • Matyas Barczy & Leif Doering & Zenghu Li & Gyula Pap, 2013. "Parameter estimation for a subcritical affine two factor model," Papers 1302.3451, arXiv.org, revised Apr 2014.
    • Handle: RePEc:arx:papers:1302.3451
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    References listed on IDEAS

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    1. Peter Carr & Liuren Wu, 2003. "The Finite Moment Log Stable Process and Option Pricing," Journal of Finance, American Finance Association, vol. 58(2), pages 753-777, April.
    2. Ludger Overbeck, 1998. "Estimation for Continuous Branching Processes," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 25(1), pages 111-126, March.
    3. Peter Carr & Liuren Wu, 2003. "The Finite Moment Log Stable Process and Option Pricing," Journal of Finance, American Finance Association, vol. 58(2), pages 753-778, April.
    4. Overbeck, Ludger & Rydén, Tobias, 1997. "Estimation in the Cox-Ingersoll-Ross Model," Econometric Theory, Cambridge University Press, vol. 13(3), pages 430-461, June.
    5. Heston, Steven L, 1993. "A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options," The Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 327-343.
    6. Hui Chen & Scott Joslin, 2012. "Generalized Transform Analysis of Affine Processes and Applications in Finance," The Review of Financial Studies, Society for Financial Studies, vol. 25(7), pages 2225-2256.
    7. van Zanten, Harry, 2000. "A multivariate central limit theorem for continuous local martingales," Statistics & Probability Letters, Elsevier, vol. 50(3), pages 229-235, November.
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    Cited by:

    1. Jianhai Bao & Jian Wang, 2023. "Coupling methods and exponential ergodicity for two‐factor affine processes," Mathematische Nachrichten, Wiley Blackwell, vol. 296(5), pages 1716-1736, May.
    2. Beáta Bolyog & Gyula Pap, 2019. "On conditional least squares estimation for affine diffusions based on continuous time observations," Statistical Inference for Stochastic Processes, Springer, vol. 22(1), pages 41-75, April.

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