Asymptotic Distributions of the Least Squares Estimator for Diffusion Processes

• Main Authors: ZHOU, Qiankun, YU, Jun
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2010
• Subjects: Vasicek Model; One-factor Model; Mean Reversion; In-fill Asymptotics; Long-span Asymptotics; Unit Root Test; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/1239; https://ink.library.smu.edu.sg/context/soe_research/article/2238/viewcontent/OU07.pdf
• Institution: Singapore Management University

The asymptotic distributions of the least squares estimator of the mean reversion parameter (κ) are developed in a general class of diffusion models under three sampling schemes, namely, ongspan, in-fill and the combination of long-span and in-fill. The models have an affine structure in the drift f...