Asymptotic theory for rough fractional Vasicek models

• 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
• Institution: Singapore Management University

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 > 0, the asymptotic distribution for the estimator of k is different when H ∈ (0, 1/2) from that when H ∈ (1/2, 1).