MODERATE DEVIATIONS FOR PARAMETERS ESTIMATION IN A GEOMETRICALLY ERGODIC HESTON PROCESSReportar como inadecuado




MODERATE DEVIATIONS FOR PARAMETERS ESTIMATION IN A GEOMETRICALLY ERGODIC HESTON PROCESS - Descarga este documento en PDF. Documentación en PDF para descargar gratis. Disponible también para leer online.

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Abstract : We establish a moderate deviation principle for the maximum likelihood es-timator of the four parameters of a geometrically ergodic Heston process. We also obtain moderate deviations for the maximum likelihood estimator of the couple of dimensional and drift parameters of a generalized squared radial Ornstein-Uhlenbeck process. We restrict ourselves to the most tractable case where the dimensional parameter satisfies a > 2 and the drift coefficient is such that b < 0. In contrast to the previous literature, parameters are estimated simultaneously.





Autor: Marie Du Roy de Chaumaray -

Fuente: https://hal.archives-ouvertes.fr/



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