Asymptotic theory for estimating drift parameters in the fractional Vasicek model
This paper develops the asymptotic theory for estimators of two parameters in the drift function 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 parameter...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2017
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/1966 https://ink.library.smu.edu.sg/context/soe_research/article/2965/viewcontent/FVasicek07_.pdf |
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| Institution: | Singapore Management University |
| Language: | English |