Parameter estimation for an affine two factor model
AbstractFor 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.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1302.3451.
Date of creation: Feb 2013
Date of revision: Oct 2013
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- Hui Chen & Scott Joslin, 2011.
"Generalized Transform Analysis of Affine Processes and Applications in Finance,"
NBER Working Papers
16906, National Bureau of Economic Research, Inc.
- Hui Chen & Scott Joslin, 2012. "Generalized Transform Analysis of Affine Processes and Applications in Finance," Review of Financial Studies, Society for Financial Studies, vol. 25(7), pages 2225-2256.
- Overbeck, Ludger & Rydén, Tobias, 1997. "Estimation in the Cox-Ingersoll-Ross Model," Econometric Theory, Cambridge University Press, vol. 13(03), pages 430-461, June.
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