Asymptotic theory for explosive fractional Ornstein–Uhlenbeck processes

• Main Authors: JIANG, Hui, PAN, Yajuan, LIAO, Weilin, YANG, Qingshan, Jun YU
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2023
• Subjects: Explosive process; Hurst parameter; Long memory; Anti-persistency; Double asymptotics; In-fill asymptotics; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/2675; https://ink.library.smu.edu.sg/context/soe_research/article/3674/viewcontent/ExplosiveFOU_V22.pdf
• Institution: Singapore Management University

This paper proposes estimators for the parameters of an explosive fractional Ornstein-Uhlenbeck process. The asymptotic properties for the diffusion estimators are developed under the in-fill asymptotic scheme, while the asymptotic properties for the drift estimators are developed under the double a...