Parameter estimation for a subcritical affine two factor model

Abstract

For an affine two factor model, we study the asymptotic properties of the maximum likelihood and least squares estimators of some appearing parameters in the so-called subcritical (ergodic) case based on continuous time observations. We prove strong consistency and asymptotic normality of the estimators in question.

31 pages. Title is changed. Extended version: new parameters are estimated and an Appendix is added