Fast maximum likelihood estimation of parameters for square root and Bessel processes

DOI10.1515/SNDE-2019-0079MaRDI QIDQ2700562zbMATH OpenOpenAlexFDO

Authors Kevin Fergusson

Publication date 27 April 2023

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1515/snde-2019-0079

zbMATH Keywords

maximum likelihood estimationBessel processsquared Bessel processCox-Ingersoll-Ross model

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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• Local sufficiency
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• Quasi-maximum likelihood estimation of multivariate diffusions
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• The pricing of options and corporate liabilities

Cited in

(1)

• Exact perturbation approximations for the conditional moments of a multifactor CIR term structure model with a weak mean-reversion influence

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