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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| Main Authors: | , |
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2019
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| Subjects: | |
| 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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