Asymptotic properties of maximum likelihood estimator for the growth rate of a stable CIR process based on continuous time observations-Reference-Cited by-同舟云学术

Asymptotic properties of maximum likelihood estimator for the growth rate of a stable CIR process based on continuous time observations

Author:

Barczy Mátyás¹,Ben Alaya Mohamed²,Kebaier Ahmed³,Pap Gyula⁴^ORCID

Affiliation:

1. MTA-SZTE Analysis and Stochastics Research Group, Bolyai Institute, University of Szeged, Aradi vértanúk tere 1, H–6720 Szeged, Hungary

2. Laboratoire De Mathématiques Raphaël Salem, UMR 6085, Université De Rouen, Saint-Etienne-Du-Rouvray, France

3. LAGA, CNRS, (UMR 7539), Université Paris 13, Sorbonne Paris Cité, 93430, Villetaneuse>, France

4. Bolyai Institute, University of Szeged, Aradi vértanúk tere 1, H–6720 Szeged, Hungary

Funder

Laboratory of Excellence MME-DII

‘Magyar Állami Eötvös Ösztöndíj 2016’, Tempus Public Foundation

János Bolyai Research Scholarship of the Hungarian Academy of Sciences

Chair Risques Financiers, Fondation du Risque

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Link

Reference35 articles.

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