Parameters estimation of a Threshold Chan-Karolyi-Longstaff-Sanders process from continuous and discrete observations
连续与离散观测下阈值 CKLS 过程的参数估计
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…