Asymptotic theory for estimating drift parameters in the fractional Vasicek model
This article develops an 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 with long-range dependence is assumed to be driven by a fractional Brownian motion wit...
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sg-smu-ink.soe_research-32522020-07-06T08:22:19Z Asymptotic theory for estimating drift parameters in the fractional Vasicek model XIAO, Weilin YU, Jun This article develops an 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 with long-range dependence is assumed to be driven by a fractional Brownian motion with the Hurst parameter greater than or equal to one half. It is shown that, when the Hurst parameter is known, the asymptotic theory for the persistence parameter depends critically on its sign, corresponding asymptotically to the stationary case, the explosive case, and the null recurrent case. In all three cases, the least squares method is considered, and strong consistency and the asymptotic distribution are obtained. When the persistence parameter is positive, the estimation method of Hu and Nualart (2010) is also considered. 2019-02-01T08:00:00Z text application/pdf https://ink.library.smu.edu.sg/soe_research/2253 info:doi/10.1017/S0266466618000051 https://ink.library.smu.edu.sg/context/soe_research/article/3252/viewcontent/ET_XiaoYu_2019_av.pdf http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection School Of Economics eng Institutional Knowledge at Singapore Management University Least squares Fractional Vasicek model Stationary process Explosive process Null recurrent Strong consistency Asymptotic distribution Econometrics |
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Least squares Fractional Vasicek model Stationary process Explosive process Null recurrent Strong consistency Asymptotic distribution Econometrics XIAO, Weilin YU, Jun Asymptotic theory for estimating drift parameters in the fractional Vasicek model |
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This article develops an 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 with long-range dependence is assumed to be driven by a fractional Brownian motion with the Hurst parameter greater than or equal to one half. It is shown that, when the Hurst parameter is known, the asymptotic theory for the persistence parameter depends critically on its sign, corresponding asymptotically to the stationary case, the explosive case, and the null recurrent case. In all three cases, the least squares method is considered, and strong consistency and the asymptotic distribution are obtained. When the persistence parameter is positive, the estimation method of Hu and Nualart (2010) is also considered. |
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text |
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XIAO, Weilin YU, Jun |
author_facet |
XIAO, Weilin YU, Jun |
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XIAO, Weilin |
title |
Asymptotic theory for estimating drift parameters in the fractional Vasicek model |
title_short |
Asymptotic theory for estimating drift parameters in the fractional Vasicek model |
title_full |
Asymptotic theory for estimating drift parameters in the fractional Vasicek model |
title_fullStr |
Asymptotic theory for estimating drift parameters in the fractional Vasicek model |
title_full_unstemmed |
Asymptotic theory for estimating drift parameters in the fractional Vasicek model |
title_sort |
asymptotic theory for estimating drift parameters in the fractional vasicek model |
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Institutional Knowledge at Singapore Management University |
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2019 |
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https://ink.library.smu.edu.sg/soe_research/2253 https://ink.library.smu.edu.sg/context/soe_research/article/3252/viewcontent/ET_XiaoYu_2019_av.pdf |
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