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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2023
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sg-smu-ink.soe_research-36742023-04-04T05:39:50Z Asymptotic theory for explosive fractional Ornstein–Uhlenbeck processes JIANG, Hui PAN, Yajuan LIAO, Weilin YANG, Qingshan Jun YU, 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. 2023-03-01T08:00:00Z text application/pdf https://ink.library.smu.edu.sg/soe_research/2675 https://ink.library.smu.edu.sg/context/soe_research/article/3674/viewcontent/ExplosiveFOU_V22.pdf http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection School Of Economics eng Institutional Knowledge at Singapore Management University Explosive process Hurst parameter Long memory Anti-persistency Double asymptotics In-fill asymptotics Econometrics |
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Singapore Management University |
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SMU Libraries |
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Asia |
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Singapore Singapore |
| content_provider |
SMU Libraries |
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InK@SMU |
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English |
| topic |
Explosive process Hurst parameter Long memory Anti-persistency Double asymptotics In-fill asymptotics Econometrics |
| spellingShingle |
Explosive process Hurst parameter Long memory Anti-persistency Double asymptotics In-fill asymptotics Econometrics JIANG, Hui PAN, Yajuan LIAO, Weilin YANG, Qingshan Jun YU, Asymptotic theory for explosive fractional Ornstein–Uhlenbeck processes |
| description |
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. |
| format |
text |
| author |
JIANG, Hui PAN, Yajuan LIAO, Weilin YANG, Qingshan Jun YU, |
| author_facet |
JIANG, Hui PAN, Yajuan LIAO, Weilin YANG, Qingshan Jun YU, |
| author_sort |
JIANG, Hui |
| title |
Asymptotic theory for explosive fractional Ornstein–Uhlenbeck processes |
| title_short |
Asymptotic theory for explosive fractional Ornstein–Uhlenbeck processes |
| title_full |
Asymptotic theory for explosive fractional Ornstein–Uhlenbeck processes |
| title_fullStr |
Asymptotic theory for explosive fractional Ornstein–Uhlenbeck processes |
| title_full_unstemmed |
Asymptotic theory for explosive fractional Ornstein–Uhlenbeck processes |
| title_sort |
asymptotic theory for explosive fractional ornstein–uhlenbeck processes |
| publisher |
Institutional Knowledge at Singapore Management University |
| publishDate |
2023 |
| url |
https://ink.library.smu.edu.sg/soe_research/2675 https://ink.library.smu.edu.sg/context/soe_research/article/3674/viewcontent/ExplosiveFOU_V22.pdf |
| _version_ |
1770576520405843968 |