Exponential ergodicity of an affine two-factor model based on the α-root process
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DOI: 10.1017/apr.2017.37
Abstract: Abstract We study an affine two-factor model introduced by Barczy et al. (2014). One component of this two-dimensional model is the so-called α-root process, which generalizes the well-known Cox–Ingersoll–Ross process. In the α = 2… read more here.
Keywords: factor model; process; model; two factor ... See more keywords