Asymptotic theory for rough fractional Vasicek models

Asymptotic theory for rough fractional Vasicek models

This paper extends the asymptotic theory for the fractional Vasicek model developed in Xiao and Yu (2018) from the case where H ∈ (1/2, 1) to the case where H ∈ (0, 1/2). It is found that the asymptotic theory of the persistence parameter (k) critically depends on the sign of k. Moreover, if k >...

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Bibliographic Details
Main Authors: XIAO, Weilin, YU, Jun
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2019
Subjects:
Least squares
Roughness
Strong consistency
Asymptotic distribution.
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/2158
https://ink.library.smu.edu.sg/context/soe_research/article/3158/viewcontent/Asymptotic_theory_for_rough_fractional_Vasicek_models.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/2158
https://ink.library.smu.edu.sg/context/soe_research/article/3158/viewcontent/Asymptotic_theory_for_rough_fractional_Vasicek_models.pdf

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