The estimations of drift parameters for the Gaussian Vasicek process with time-varying volatility

Jixia Wang, Lu Sun and Yu Miao

Communications in Statistics - Theory and Methods, 2024, vol. 53, issue 24, 8709-8730

Abstract: This article mainly considers the parameter estimation problem for the Gaussian Vasicek process defined as dXt=(α−βXt)dt+σtdGt, t≥0 with unknown parameters α∈ℝ and β

Date: 2024
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/03610926.2023.2293650 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:lstaxx:v:53:y:2024:i:24:p:8709-8730

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/lsta20

DOI: 10.1080/03610926.2023.2293650

Access Statistics for this article

Communications in Statistics - Theory and Methods is currently edited by Debbie Iscoe

More articles in Communications in Statistics - Theory and Methods from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().