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math.ST2024
On Conditional least squares estimation for the AD(1,n) model
Mohamed Ben Alaya, Houssem Dahbi, Hamdi Fathallah
This paper deals with the problem of global parameter estimation of AD(1, n) where n is a positive integer which is a subclass of affine diffusions introduced by Duffie, Filipovic,…
math.ST2023
Asymptotic properties of AD(1, n) model and its maximum likelihood estimator
Mohamed Ben Alaya, Houssem Dahbi, Hamdi Fathallah
This paper deals with the problem of global parameter estimation of affine diffusions in denoted by where is a positive integer wh…