Parameter Estimation for the Square-Root Diffusions: Ergodic and Nonergodic Cases
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- The calculation of expectations for classes of diffusion processes by Lie symmetry methods
Cited in
(35)- Two methods of estimation of the drift parameters of the Cox–Ingersoll–Ross process: Continuous observations
- Rate of convergence of discretized drift parameters estimators in the Cox–Ingersoll–Ross model
- Large deviations for the squared radial Ornstein-Uhlenbeck process
- Bessel processes, stochastic volatility, and timer options
- Moments and ergodicity of the jump-diffusion CIR process
- Parameter estimation for Cox-Ingersoll-Ross process with two-sided reflections
- On parameter estimation for switching ergodic diffusion processes
- Sharp Large Deviations for the Drift Parameter of the Explosive Cox--Ingersoll--Ross Process
- Change detection in the Cox-Ingersoll-Ross model
- Asymptotic behavior of maximum likelihood estimators for a jump-type Heston model
- Asymptotic properties of maximum likelihood estimator for the growth rate for a jump-type CIR process based on continuous time observations
- Exponential ergodicity of an affine two-factor model based on the α-root process
- Asymptotic properties of maximum-likelihood estimators for Heston models based on continuous time observations
- Maximum likelihood estimation for Wishart processes
- LAQ property for singular drift parameters of diffusions with discrete observations
- Spreading dynamics of stochastic Fisher-KPP equations perturbed by mean-reverting processes
- Truncated sequential guaranteed estimation for the Cox-Ingersoll-Ross models
- Limit theorems for nearly unstable Hawkes processes
- On parameter estimation for critical affine processes
- Limit properties of continuous self-exciting processes
- Method of moments estimation for the superposition of square-root diffusions
- Parameter estimation in CKLS model by continuous observations
- Strong consistency of parameter estimation for the CIR integrated diffusion process with long-span high-frequency data
- Optimal guaranteed estimation methods for the Cox–Ingersoll–Ross models
- On conditional least squares estimation for the AD (1,n) model based on discrete-time observations
- Asymptotic behavior of the maximum likelihood estimator for ergodic and nonergodic square-root diffusions
- The entry and exit game in the electricity markets: a mean-field game approach
- Parameters estimation of a threshold Chan-Karolyi-Longstaff-Sanders process from continuous and discrete observations
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- On conditional least squares estimation for affine diffusions based on continuous time observations
- Parameter estimation for a subcritical affine two factor model
- Local asymptotic properties for the growth rate of a jump-type CIR process
- Weighted least-squares estimation for the subcritical Heston process
- Estimation and testing in generalized CIR model
- Berry-Esseen bounds and Cramér-type moderate deviations for the sample mean and the MLE of the growth rate for a jump-type CIR process
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