Two methods of estimation of the drift parameters of the Cox–Ingersoll–Ross process: Continuous observations

DOI10.1080/03610926.2020.1866611MaRDI QIDQ5104489zbMATH OpenOpenAlexFDO

Authors Olena Dehtiar, K. V. Ral'chenko, Yuliya S. Mishura

Publication date 14 September 2022

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2005.05262

zbMATH Keywords

continuous observationsCox-Ingersoll-Ross processparameter estimationstrong consistency

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

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Cited in

(5)

• 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
• Method of moments estimation for the superposition of square-root diffusions
• Gatheral double stochastic volatility model with Skorokhod reflection
• Parameter estimation for Cox-Ingersoll-Ross process with two-sided reflections

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