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