Local asymptotic properties for Cox‐Ingersoll‐Ross process with discrete observations

DOI10.1111/sjos.12494zbMath1467.62162arXiv1708.07070OpenAlexW3087085910MaRDI QIDQ4994801

Mohamed Ben Alaya, Ngoc Khue Tran, Ahmed Kebaier

Publication date: 22 June 2021

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1708.07070

zbMATH Keywords

Malliavin calculusparametric estimationCox-Ingersoll-Ross processhigh-frequency observationlocal asymptotic (mixed) normality propertylocal asymptotic quadraticity propertysquare root coefficient

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Point estimation (62F10) Stochastic calculus of variations and the Malliavin calculus (60H07) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (2)

LAMN property for multivariate inhomogeneous diffusions with discrete observations ⋮ LAMN property for jump diffusion processes with discrete observations on a fixed time interval

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