Maximum likelihood estimation for the fractional Vasicek model
This paper estimates the drift parameters in the fractional Vasicek model from a continuous record of observations via maximum likelihood (ML). The asymptotic theory for the ML estimates (MLE) is established in the stationary case, the explosive case, and the boundary case for the entire range of th...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2020
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/2432 https://ink.library.smu.edu.sg/context/soe_research/article/3431/viewcontent/MLE_FM_econometrics_08_00032_pvoa.pdf |
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| Institution: | Singapore Management University |
| Language: | English |