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 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.