Asymptotic theory for explosive fractional Ornstein–Uhlenbeck processes

Asymptotic theory for explosive fractional Ornstein–Uhlenbeck processes

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...

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Bibliographic Details
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
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Institution: Singapore Management University
Language: English
Description
Summary: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 asymptotic scheme for the full range of the Hurst parameter. Simulation results demonstrate the effectiveness of the proposed estimators, and the asymptotic distributions provide a good approximation in finite samples. Empirical applications are presented to demonstrate the model’s usefulness and the practical value of the asymptotic theory.

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