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Estimation of ergodic square-root diffusion under high-frequency sampling

Author

Listed:
  • Cheng, Yuzhong
  • Hufnagel, Nicole
  • Masuda, Hiroki

Abstract

Gaussian quasi-likelihood estimation of the parameter in the square-root diffusion process is studied under high-frequency sampling. Different from previous studies under low-frequency sampling, high-frequency of data leads to a very simple form of the asymptotic covariance matrix. Through easy-to-compute preliminary contrast functions, a practical two-stage manner without numerical optimization is formulated to conduct not only an asymptotically efficient estimation of the drift parameters but also a high-precision estimator of the diffusion parameter. Simulation experiments are given to illustrate the results.

Suggested Citation

  • Cheng, Yuzhong & Hufnagel, Nicole & Masuda, Hiroki, 2024. "Estimation of ergodic square-root diffusion under high-frequency sampling," Econometrics and Statistics, Elsevier, vol. 32(C), pages 73-87.
    • Handle: RePEc:eee:ecosta:v:32:y:2024:i:c:p:73-87
    DOI: 10.1016/j.ecosta.2022.05.003
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