Ergodicity and parameter estimation for some affine models / vorgelegt von: Jonas Kremer. Wuppertal, August 2018
Inhalt
- Introduction
- Exponential ergodicity of an affine two-factor model based on the alpha-root process
- Moments and ergodicity of the jump-diffusion CIR process and parameter estimation for the drift parameters based on discrete time observations
- The jump-diffusion CIR process
- Affine representation of the JCIR process
- Moments of the JCIR process
- Bessel distribution
- Moment characterization of the JCIR process
- First and second moment of the JCIR process
- Ergodicity of the JCIR process
- Exponential ergodicity of the JCIR process
- Convergence of moments for the JCIR process
- Parameter estimation of the jump-diffusion CIR process
- Appendix