Stationarity and Ergodicity for an Affine Two-Factor Model
From MaRDI portal
Publication:3191827
DOI10.1239/aap/1409319564zbMath1305.60067arXiv1302.2534OpenAlexW2963859696MaRDI QIDQ3191827
Leif Döring, Mátyás Barczy, Gyula Pap, Zhenghu Li
Publication date: 25 September 2014
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1302.2534
Continuous-time Markov processes on general state spaces (60J25) Ergodicity, mixing, rates of mixing (37A25)
Related Items
Asymptotic behavior of maximum likelihood estimators for a jump-type Heston model, Stationarity and Ergodicity for an Affine Two-Factor Model, Stochastic equation and exponential ergodicity in Wasserstein distances for affine processes, Moments and ergodicity of the jump-diffusion CIR process, Geometric ergodicity of affine processes on cones, On the exponential ergodicity of \((2+2)\)-affine processes in total variation distances, Coupling methods and exponential ergodicity for two‐factor affine processes, Regularity of transition densities and ergodicity for affine jump‐diffusions, Strong feller and ergodic properties of the (1+1)-affine process, Exponential ergodicity for a class of Markov processes with interactions, Asymptotic properties of maximum-likelihood estimators for Heston models based on continuous time observations, Asymptotic properties of maximum likelihood estimator for the growth rate of a stable CIR process based on continuous time observations, On the anisotropic stable JCIR process, On the use of high frequency measures of volatility in MIDAS regressions, Exponential ergodicity of an affine two-factor model based on the α-root process, Least-squares estimation for the subcritical Heston model based on continuous-time observations, Existence of limiting distribution for affine processes, Ergodicity of affine processes on the cone of symmetric positive semidefinite matrices
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- On the limit distributions of continuous-state branching processes with immigration
- Long-term and blow-up behaviors of exponential moments in multi-dimensional affine diffusions
- Affine processes are regular
- Polynomial processes and their applications to mathematical finance
- Mathematical methods for financial markets.
- Affine processes and applications in finance
- Long-time behavior of stable-like processes
- On parameter estimation for critical affine processes
- Stochastic equations of non-negative processes with jumps
- Density approximations for multivariate affine jump-diffusion processes
- Moment explosions in stochastic volatility models
- Skew convolution semigroups and affine Markov processes
- Gewöhnliche Differentialungleichungen mit quasimonoton wachsenden Funktionen in topologischen Vektorräumen. (Ordinary differential equations with quasi-monotone increasing functions in topological vector spaces)
- Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
- Asymptotic Behavior of the Maximum Likelihood Estimator for Ergodic and Nonergodic Square-Root Diffusions
- A Theory of the Term Structure of Interest Rates
- Measure-Valued Branching Markov Processes
- Stability of Markovian processes II: continuous-time processes and sampled chains
- Stability of Markovian processes III: Foster–Lyapunov criteria for continuous-time processes
- Stationarity and Ergodicity for an Affine Two-Factor Model
- Markov Chains and Stochastic Stability
- Affine Diffusion Processes: Theory and Applications
- On the functional central limit theorem and the law of the iterated logarithm for Markov processes
- Stability of Markovian processes I: criteria for discrete-time Chains
- MOMENT EXPLOSIONS AND STATIONARY DISTRIBUTIONS IN AFFINE DIFFUSION MODELS
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
