Ergodicity of generalized Ait-Sahalia-type interest rate model

Xinghu Jin and Zhenzhong Zhang

Communications in Statistics - Theory and Methods, 2017, vol. 46, issue 16, 8199-8209

Abstract: In this paper, we consider sufficient conditions for the stationary distribution of generalized Ait-Sahalia-type interest rate model. We show that if r ⩾ 2ρ − 1, then the generalized Ait-Sahalia interest rate model has a unique stationary distribution and if r 0. Besides, some recursion formulas for the stationary distribution are presented. Finally, some numerical simulations are used to illustrate our results.

Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:taf:lstaxx:v:46:y:2017:i:16:p:8199-8209

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DOI: 10.1080/03610926.2016.1177078

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