Asymptotic Theory for Estimating the Persistent Parameter in the Fractional Vasicek Model

• Main Authors: XIAO, Weilin, Jun YU
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2016
• Subjects: Least squares estimation; Fractional Vasicek model; Stationary process; Explosive process; Consistency; Asymptotic distribution; Econometrics
• 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
• Institution: Singapore Management University

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...