Asymptotic properties of maximum likelihood estimator for the growth rate for a jump-type CIR process based on continuous time observations (Q1743339): Difference between revisions

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English	Asymptotic properties of maximum likelihood estimator for the growth rate for a jump-type CIR process based on continuous time observations	scientific article

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scholarly article

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title

Asymptotic properties of maximum likelihood estimator for the growth rate for a jump-type CIR process based on continuous time observations (English)

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Stochastic Processes and their Applications

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publication date

13 April 2018

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full work available at URL

https://arxiv.org/abs/1609.05865

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http://real.mtak.hu/83823/1/Barczy_Ben-Alaya_Kebaier_Pap_2018_arxiv.pdf

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zbMATH Keywords

jump-type Cox-Ingersoll-Ross (CIR) process

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basic affine jump-diffusion (BAJD)

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subordinator

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maximum likelihood estimator

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MaRDI profile type

MaRDI publication profile

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cites work

On the discretization schemes for the CIR (and Bessel squared) processes

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Asymptotic properties of maximum likelihood estimator for the growth rate for a jump-type CIR process based on continuous time observations

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Asymptotic behavior of maximum likelihood estimators for a jump-type Heston model

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Stochastic differential equation with jumps for multi-type continuous state and continuous time branching processes with immigration

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Parameter Estimation for the Square-Root Diffusions: Ergodic and Nonergodic Cases

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Asymptotic Behavior of the Maximum Likelihood Estimator for Ergodic and Nonergodic Square-Root Diffusions

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On the functional central limit theorem and the law of the iterated logarithm for Markov processes

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Q5560061

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A Theory of the Term Structure of Interest Rates

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Skew convolution semigroups and affine Markov processes

0 references

Real Analysis and Probability

0 references

Affine processes and applications in finance

0 references

Two singular diffusion problems

0 references

A general characterization of one factor affine term structure models

0 references

Density approximations for multivariate affine jump-diffusion processes

0 references

Estimation for discretely observed continuous state branching processes with immigration

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Discretization of processes.

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Q4856610

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Exponential Ergodicity of the Jump-Diffusion CIR Process

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MOMENT EXPLOSIONS AND LONG-TERM BEHAVIOR OF AFFINE STOCHASTIC VOLATILITY MODELS

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On the limit distributions of continuous-state branching processes with immigration

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Yield curve shapes and the asymptotic short rate distribution in affine one-factor models

0 references

Exponential families of stochastic processes

0 references

Fluctuations of Lévy processes with applications. Introductory lectures

0 references

Q4002884

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Measure-Valued Branching Markov Processes

0 references

Asymptotic properties of estimators in a stable Cox-Ingersoll-Ross model

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On contiguity of probability measures corresponding to semimartingales

0 references

Local asymptotic mixed normality for semimartingale experiments

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Asymptotic inference for semimartingale models with singular parameter points

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Estimation for Continuous Branching Processes

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Limit theorems for continuous state branching processes with immigration

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Q4937701

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Q3359614

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A multivariate central limit theorem for continuous local martingales

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Identifiers

zbMATH Open document ID

1390.60307

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DOI

10.1016/j.spa.2017.07.004

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:1743339

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+.05865
@@ Property / arXiv ID: 1609.05865 / rank @@
+Normal rank
@@ Property / cites work @@
+On the discretization schemes for the CIR (and Bessel squared) processes
+Normal rank
@@ Property / cites work @@
+Asymptotic properties of maximum likelihood estimator for the growth rate for a jump-type CIR process based on continuous time observations
+Normal rank
@@ Property / cites work @@
+Asymptotic behavior of maximum likelihood estimators for a jump-type Heston model
+Normal rank
@@ Property / cites work @@
+Stochastic differential equation with jumps for multi-type continuous state and continuous time branching processes with immigration
+Normal rank
@@ Property / cites work @@
+Parameter Estimation for the Square-Root Diffusions: Ergodic and Nonergodic Cases
+Normal rank
@@ Property / cites work @@
+Asymptotic Behavior of the Maximum Likelihood Estimator for Ergodic and Nonergodic Square-Root Diffusions
+Normal rank
@@ Property / cites work @@
+On the functional central limit theorem and the law of the iterated logarithm for Markov processes
+Normal rank
@@ Property / cites work @@
+Q5560061
@@ Property / cites work: Q5560061 / rank @@
+Normal rank
@@ Property / cites work @@
+A Theory of the Term Structure of Interest Rates
@@ Property / cites work: A Theory of the Term Structure of Interest Rates / rank @@
+Normal rank
@@ Property / cites work @@
+Skew convolution semigroups and affine Markov processes
+Normal rank
@@ Property / cites work @@
+Real Analysis and Probability
@@ Property / cites work: Real Analysis and Probability / rank @@
+Normal rank
@@ Property / cites work @@
+Affine processes and applications in finance
@@ Property / cites work: Affine processes and applications in finance / rank @@
+Normal rank
@@ Property / cites work @@
+Two singular diffusion problems
@@ Property / cites work: Two singular diffusion problems / rank @@
+Normal rank
@@ Property / cites work @@
+A general characterization of one factor affine term structure models
+Normal rank
@@ Property / cites work @@
+Density approximations for multivariate affine jump-diffusion processes
+Normal rank
@@ Property / cites work @@
+Estimation for discretely observed continuous state branching processes with immigration
+Normal rank
@@ Property / cites work @@
+Discretization of processes.
@@ Property / cites work: Discretization of processes. / rank @@
+Normal rank
@@ Property / cites work @@
+Q4856610
@@ Property / cites work: Q4856610 / rank @@
+Normal rank
@@ Property / cites work @@
+Exponential Ergodicity of the Jump-Diffusion CIR Process
+Normal rank
@@ Property / cites work @@
+MOMENT EXPLOSIONS AND LONG-TERM BEHAVIOR OF AFFINE STOCHASTIC VOLATILITY MODELS
+Normal rank
@@ Property / cites work @@
+On the limit distributions of continuous-state branching processes with immigration
+Normal rank
@@ Property / cites work @@
+Yield curve shapes and the asymptotic short rate distribution in affine one-factor models
+Normal rank
@@ Property / cites work @@
+Exponential families of stochastic processes
@@ Property / cites work: Exponential families of stochastic processes / rank @@
+Normal rank
@@ Property / cites work @@
+Fluctuations of Lévy processes with applications. Introductory lectures
+Normal rank
@@ Property / cites work @@
+Q4002884
@@ Property / cites work: Q4002884 / rank @@
+Normal rank
@@ Property / cites work @@
+Measure-Valued Branching Markov Processes
@@ Property / cites work: Measure-Valued Branching Markov Processes / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotic properties of estimators in a stable Cox-Ingersoll-Ross model
+Normal rank
@@ Property / cites work @@
+On contiguity of probability measures corresponding to semimartingales
+Normal rank
@@ Property / cites work @@
+Local asymptotic mixed normality for semimartingale experiments
+Normal rank
@@ Property / cites work @@
+Asymptotic inference for semimartingale models with singular parameter points
+Normal rank
@@ Property / cites work @@
+Estimation for Continuous Branching Processes
@@ Property / cites work: Estimation for Continuous Branching Processes / rank @@
+Normal rank
@@ Property / cites work @@
+Limit theorems for continuous state branching processes with immigration
+Normal rank
@@ Property / cites work @@
+Q4937701
@@ Property / cites work: Q4937701 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3359614
@@ Property / cites work: Q3359614 / rank @@
+Normal rank
@@ Property / cites work @@
+A multivariate central limit theorem for continuous local martingales
+Normal rank