4 papers
Robust Inferential Methodology for Multidimensional Diffusion Processes
Sourojyoti Barick
We investigate robust parameter estimation and testing procedure for multivariate diffusion processes observed at high frequency via the minimum density power divergence estimator…
Asymptotic Separability of Diffusion and Jump Components in High-Frequency CIR and CKLS Models
Sourojyoti Barick
This paper develops a robust parametric framework for jump detection in discretely observed CKLS-type jump-diffusion processes with high-frequency asymptotics, based on the minimum…
Analysing Models for Volatility Clustering with Subordinated Processes: VGSA and Beyond
Sourojyoti Barick, Sudip Ratan Chandra
This paper explores a comprehensive class of time-changed stochastic processes constructed by subordinating Brownian motion with Levy processes, where the subordination is further…
An Accurate Discretized Approach to Parameter Estimation in the CKLS Model via the CIR Framework
Sourojyoti Barick
This paper provides insight into the estimation and asymptotic behavior of parameters in interest rate models, focusing primarily on the Cox-Ingersoll-Ross (CIR) process and its ex…