Article Dans Une Revue Scandinavian Journal of Statistics Année : 2025

Parameters estimation of a Threshold CKLS process from continuous and discrete observations

Résumé

We consider a continuous time process that is self-exciting and ergodic, called threshold Chan–Karolyi–Longstaff–Sanders (CKLS) process. This process is a generalization of various models in econometrics, such as Vasicek model, Cox-Ingersoll-Ross, and Black-Scholes, allowing for the presence of several thresholds which determine changes in the dynamics. We study the asymptotic behavior of maximum-likelihood and quasi-maximum-likelihood estimators of the drift parameters in the case of continuous time and discrete time observations. We show that for high frequency observations and infinite horizon the estimators satisfy the same asymptotic normality property as in the case of continuous time observations. We also discuss diffusion coefficient estimation. Finally, we apply our estimators to simulated and real data to motivate considering (multiple) thresholds.

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Dates et versions

hal-04524431 , version 1 (28-03-2024)
hal-04524431 , version 2 (30-06-2024)
hal-04524431 , version 3 (03-04-2025)

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Sara Mazzonetto, Benoît Nieto. Parameters estimation of a Threshold CKLS process from continuous and discrete observations. Scandinavian Journal of Statistics, 2025, 52 (4), pp.1670-1707. ⟨10.1111/sjos.70005⟩. ⟨hal-04524431v3⟩
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