PARAMETRIC ESTIMATION OF DIFFUSION PROCESSES SAMPLED AT FIRST EXIT TIME

Jaime Londoño ()

Econometrics from EconWPA

Abstract: This paper introduces a family of recursively defined estimators of the parameters of a diffusion process. We use ideas of stochastic algorithms for the construction of the estimators. Asymptotic consistency of these estimators and asymptotic normality of an appropriate normalization are proved. The results are applied to two examples from the financial literature; viz., Cox-Ingersoll-Ross' model and the constant elasticity of variance (CEV) process illustrate the use of the technique proposed herein.

Keywords: Continuous time Markov processes; discrete time sampling; diffusions; interest rate models; stochastic algorithms. (search for similar items in EconPapers)
JEL-codes: C1 G10 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
Date: 2003-05-06, Revised 2004-02-16
Note: Type of Document - Acrobat PDF; prepared on IBM PC - PC- TEX/UNIX Sparc TeX; to print on PostScript; pages: 31 . Paper published in International Journal of Pure and Applied Mathematics 7, No. 4 (2003), 449-486. MR1994830 (2004c:62175).
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Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpem:0305002

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