Maximum likelihood type estimation for discretely observed CIR model with small α-stable noises
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DOI: 10.1016/j.spl.2016.09.014
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References listed on IDEAS
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- Matyas Barczy & Mohamed Ben Alaya & Ahmed Kebaier & Gyula Pap, 2017. "Asymptotic properties of maximum likelihood estimator for the growth rate of a stable CIR process based on continuous time observations," Papers 1711.02140, arXiv.org, revised Feb 2019.
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Keywords
CIR model; α-stable; Small noises; Maximum likelihood type estimation;All these keywords.
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