35 citations · 41 across the 11 of their papers we have counts for
7 papers · 1 filter
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,…
Maximum likelihood estimation in the ergodic Volterra Ornstein-Uhlenbeck process
Mohamed Ben Alaya, Martin Friesen, Jonas Kremer
We study statistical inference of the drift parameters for the Volterra Ornstein-Uhlenbeck process on R in the ergodic regime. For continuous-time observations, we derive the corre…
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…
Asymptotic properties of maximum likelihood estimator for the growth rate of a stable CIR process based on continuous time observations
Matyas Barczy, Mohamed Ben Alaya, Ahmed Kebaier +1
We consider a stable Cox--Ingersoll--Ross process driven by a standard Wiener process and a spectrally positive strictly stable Lévy process, and we study asymptotic properties of…
Local asymptotic properties for Cox-Ingersoll-Ross process with discrete observations
Mohamed Ben Alaya, Ahmed Kebaier, Ngoc Khue Tran
In this paper, we consider a one-dimensional Cox-Ingersoll-Ross (CIR) process whose drift coefficient depends on unknown parameters. Considering the process discretely observed at…
Asymptotic properties of maximum likelihood estimator for the growth rate for a jump-type CIR process based on continuous time observations
Matyas Barczy, Mohamed Ben Alaya, Ahmed Kebaier +1
We consider a jump-type Cox--Ingersoll--Ross (CIR) process driven by a standard Wiener process and a subordinator, and we study asymptotic properties of the maximum likelihood esti…
Asymptotic behavior of maximum likelihood estimators for a jump-type Heston model
Matyas Barczy, Mohamed Ben Alaya, Ahmed Kebaier +1
We study asymptotic properties of maximum likelihood estimators of drift parameters for a jump-type Heston model based on continuous time observations, where the jump process can b…