Parameter estimation for a subcritical affine two factor model
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.
|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|
|Contact details of provider:|| Web page: http://arxiv.org/|
References listed on IDEAS
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- 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.
- 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.
- 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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