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On conditional least squares estimation for affine diffusions based on continuous time observations

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  • Beáta Bolyog

    (University of Szeged)

  • Gyula Pap

    (University of Szeged)

Abstract

We study asymptotic properties of conditional least squares estimators for the drift parameters of two-factor affine diffusions based on continuous time observations. We distinguish three cases: subcritical, critical and supercritical. For all the drift parameters, in the subcritical and supercritical cases, asymptotic normality and asymptotic mixed normality is proved, while in the critical case, non-standard asymptotic behavior is described.

Suggested Citation

  • Beáta Bolyog & Gyula Pap, 2019. "On conditional least squares estimation for affine diffusions based on continuous time observations," Statistical Inference for Stochastic Processes, Springer, vol. 22(1), pages 41-75, April.
    • Handle: RePEc:spr:sistpr:v:22:y:2019:i:1:d:10.1007_s11203-018-9174-z
    DOI: 10.1007/s11203-018-9174-z
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    References listed on IDEAS

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    6. Matyas Barczy & Leif Doering & Zenghu Li & Gyula Pap, 2013. "Parameter estimation for a subcritical affine two factor model," Papers 1302.3451, arXiv.org, revised Apr 2014.
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    Cited by:

    1. Jianhai Bao & Jian Wang, 2023. "Coupling methods and exponential ergodicity for two‐factor affine processes," Mathematische Nachrichten, Wiley Blackwell, vol. 296(5), pages 1716-1736, May.

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