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Parametric Estimation Of Diffusion Processes Sampled At First Exit Time

Author

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  • Jaime A. Londoño

    (Universidad EAFIT)

Abstract

This paper introduces a family of recursively defined estimators of the parameters of a diffusion process. We use ideas of stochastic algorithms for the construction of the estimators. Asymptotic consistency of these estimators and asymptotic normality of an appropriate normalization are proved. The results are applied to two examples from the financial literature; viz., Cox-Ingersoll-Ross' model and the constant elasticity of variance (CEV) process illustrate the use of the technique proposed herein.

Suggested Citation

  • Jaime A. Londoño, 2003. "Parametric Estimation Of Diffusion Processes Sampled At First Exit Time," Econometrics 0305002, University Library of Munich, Germany, revised 16 Feb 2004.
    • Handle: RePEc:wpa:wuwpem:0305002
    Note: Type of Document - Acrobat PDF; prepared on IBM PC - PC- TEX/UNIX Sparc TeX; to print on PostScript; pages: 31 . Paper published in International Journal of Pure and Applied Mathematics 7, No. 4 (2003), 449-486. MR1994830 (2004c:62175).
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    File URL: https://econwpa.ub.uni-muenchen.de/econ-wp/em/papers/0305/0305002.pdf
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Continuous time Markov processes; discrete time sampling; diffusions; interest rate models; stochastic algorithms.;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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