Parameter estimation for a subcritical affine two factor model
Statistics Theory
2014-06-17 v3 Statistical Finance
Statistics Theory
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.
Cite
@article{arxiv.1302.3451,
title = {Parameter estimation for a subcritical affine two factor model},
author = {Matyas Barczy and Leif Doering and Zenghu Li and Gyula Pap},
journal= {arXiv preprint arXiv:1302.3451},
year = {2014}
}
Comments
31 pages. Title is changed. Extended version: new parameters are estimated and an Appendix is added