On the spectral density of fractional Ornstein-Uhlenbeck Process: Approximation, Estimation, and Model Comparison

• Main Authors: SHI, Shuping, Jun YU, ZHANG, Chen
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2023
• Subjects: Fractional Brownian motion; fractional Ornstein-Uhlenbeck process; spectral density; Paxson approximation; Whittle likelihood; Realized volatility; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/2680; https://ink.library.smu.edu.sg/context/soe_research/article/3679/viewcontent/Paxson_approximation_fOU08__2_.pdf
• Institution: Singapore Management University

This paper introduces a novel method for accurately approximating the spectral density of the discretely-sampled fractional Ornstein-Uhlenbeck (fOU) process. We utilize this approximated spec-tral density to develop an estimation method called the approximated Whittle maximum likelihood method (AWML...