Small noise fluctuations of the CIR model driven by α-stable noises

Chunhua Ma and Xu Yang

Statistics & Probability Letters, 2014, vol. 94, issue C, 1-11

Abstract: The central limit theorems, the deviation inequality (and large deviation), and the moderate deviations for least squares estimators of parameters in the CIR type model driven byα-stable noises are established when the dispersion parameter ε→0 and the discrete observation frequency k→∞ simultaneously.

Keywords: Cox–Ingersoll–Ross model; α-stable; Least squares estimator; Large deviation; Moderate deviation; Central limit theorem (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (6)

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DOI: 10.1016/j.spl.2014.07.001

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