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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
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    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.

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    File URL: http://arxiv.org/pdf/1302.3451
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    Bibliographic Info

    Paper provided by arXiv.org in its series Papers with number 1302.3451.

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    Date of creation: Feb 2013
    Date of revision: Apr 2014
    Publication status: Published in Journal of Statistical Planning and Inference 151-152, 2014, 37-59
    Handle: RePEc:arx:papers:1302.3451

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    Web page: http://arxiv.org/

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    1. Hui Chen & Scott Joslin, 2012. "Generalized Transform Analysis of Affine Processes and Applications in Finance," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 25(7), pages 2225-2256.
    2. Overbeck, Ludger & Rydén, Tobias, 1997. "Estimation in the Cox-Ingersoll-Ross Model," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 13(03), pages 430-461, June.
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