Asymptotic Theory for Estimating the Persistent Parameter in the Fractional Vasicek Model
This paper develops the asymptotic theory for the least squares (LS) estimator of the persistent parameter in the fractional Vasicek model when a continuous record of observations is available. The fractional Vasicek model is assumed to be driven by the fractional Brownian motion with a known Hurst...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2016
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/1861 https://ink.library.smu.edu.sg/context/soe_research/article/2861/viewcontent/FVasicek05.pdf |
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| Institution: | Singapore Management University |
| Language: | English |