The tail behavior of jump-diffusion Cox–Ingersoll–Ross processes with regime-switching

Huijie Ji and Fubao Xi

Statistics & Probability Letters, 2022, vol. 181, issue C

Abstract: This paper studies the tail behavior of jump-diffusion Cox–Ingersoll–Ross (JCIR) processes with regime-switching. We first provide the criteria of the recurrent property of a JCIR process with regime-switching. Under the conditions of the positive recurrence, we give the tail behavior of the stationary distribution of this process. We also show the different roles played by the jumping component and the regime-switching component in justifying the heavy-tailed or light-tailed property of the stationary distribution.

Keywords: CIR process; Jump-diffusion; Regime-switching; Heavy-tailed property (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1016/j.spl.2021.109271

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