  This paper deals with the problem of global parameter estimation of AD(1, n)
where n is a positive integer which is a subclass of affine diffusions
introduced by Duffie, Filipovic, and Schachermayer. In general affine models
are applied to the pricing of bond and stock options, which is illustrated for
the Vasicek, Cox-Ingersoll-Ross and Heston models. Our main results are about
the conditional least squares estimation of AD(1, n) drift parameters based on
two types of observations : continuous time observations and discrete time
observations with high frequency and infinite horizon. Then, for each case, we
study the asymptotic properties according to ergodic and non-ergodic cases.
This paper introduces as well some moment results relative to the AD(1, n)
model.
