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On parameter estimation for critical affine processes

Author

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

Abstract

First we provide a simple set of sufficient conditions for the weak convergence of scaled affine processes with state space $R_+ \times R^d$. We specialize our result to one-dimensional continuous state branching processes with immigration. As an application, we study the asymptotic behavior of least squares estimators of some parameters of a two-dimensional critical affine diffusion process.

Suggested Citation

  • Matyas Barczy & Leif Doering & Zenghu Li & Gyula Pap, 2012. "On parameter estimation for critical affine processes," Papers 1210.1866, arXiv.org, revised Mar 2013.
  • Handle: RePEc:arx:papers:1210.1866
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    References listed on IDEAS

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    1. Huang, Jianhui & Ma, Chunhua & Zhu, Cai, 2011. "Estimation for discretely observed continuous state branching processes with immigration," Statistics & Probability Letters, Elsevier, vol. 81(8), pages 1104-1111, August.
    2. Leif Andersen & Vladimir Piterbarg, 2007. "Moment explosions in stochastic volatility models," Finance and Stochastics, Springer, vol. 11(1), pages 29-50, January.
    3. 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.
    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.
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    Cited by:

    1. Xu, Wei, 2014. "Parameter estimation in two-type continuous-state branching processes with immigration," Statistics & Probability Letters, Elsevier, vol. 91(C), pages 124-134.
    2. Matyas Barczy & Balazs Nyul & Gyula Pap, 2015. "Least squares estimation for the subcritical Heston model based on continuous time observations," Papers 1511.05948, arXiv.org, revised Aug 2018.
    3. Mátyás Barczy & Kristóf Körmendi & Gyula Pap, 2016. "Statistical inference for critical continuous state and continuous time branching processes with immigration," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 79(7), pages 789-816, October.
    4. Matyas Barczy & Mohamed Ben Alaya & Ahmed Kebaier & Gyula Pap, 2016. "Asymptotic properties of maximum likelihood estimator for the growth rate for a jump-type CIR process based on continuous time observations," Papers 1609.05865, arXiv.org, revised Aug 2017.
    5. 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.
    6. Matyas Barczy & Mohamed Ben Alaya & Ahmed Kebaier & Gyula Pap, 2015. "Asymptotic behavior of maximum likelihood estimators for a jump-type Heston model," Papers 1509.08869, arXiv.org, revised May 2018.
    7. Harris, A.R. & Rogers, Michelle Marinich & Miller, Carol J. & McElmurry, Shawn P. & Wang, Caisheng, 2015. "Residential emissions reductions through variable timing of electricity consumption," Applied Energy, Elsevier, vol. 158(C), pages 484-489.

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