Moments and ergodicity of the jump-diffusion CIR process
Author:
Affiliation:
1. Fakultät für Mathematik und Naturwissenschaften, Bergische Universität Wuppertal, Wuppertal, Germany
Publisher
Informa UK Limited
Subject
Modeling and Simulation,Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/17442508.2019.1576686
Reference24 articles.
1. Stationarity and Ergodicity for an Affine Two-Factor Model
2. Moment Formulas for Multitype Continuous State and Continuous Time Branching Process with Immigration
3. Parameter Estimation for the Square-Root Diffusions: Ergodic and Nonergodic Cases
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