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

Beáta Bolyog () and Gyula Pap ()
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Beáta Bolyog: University of Szeged
Gyula Pap: University of Szeged

Statistical Inference for Stochastic Processes, 2019, vol. 22, issue 1, No 3, 75 pages

Abstract: 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.

Keywords: Affine processes; Continuous time observations; Conditional least squares estimators; 60J80; 62F12 (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1007/s11203-018-9174-z

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