Work

Method of moments estimation for the superposition of square-root diffusions

Year: 2024

Type: article

Abstract: We consider the problem of parameter estimation for the superposition of square-root diffusions. We first derive the explicit formulas for the moments and auto-covariances based on which we develop our moment estimators. We then establish a central limit theorem for the estimators with the explicit formulas for the asymptotic covariance matrix. Finally, we conduct numerical experiments to validate our method.

Source: Probability in the Engineering and Informational Sciences

DOI: 10.1017/s0269964824000147

Authors: Yan-Feng Wu, Jian-Qiang Hu

Institution: Fudan University

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: hybrid

Estimated APC paid: $3,450

OpenAlex ID: W4404415764

FWCI:

Cites: 29

Cited by:

Related to: 10