EconPapers    
Economics at your fingertips  
 

ASYMPTOTIC THEORY FOR ESTIMATING DRIFT PARAMETERS IN THE FRACTIONAL VASICEK MODEL

Weilin Xiao and Jun Yu ()

Econometric Theory, 2019, vol. 35, issue 1, 198-231

Abstract: This article develops an asymptotic theory for estimators of two parameters in the drift function in the fractional Vasicek model when a continuous record of observations is available. The fractional Vasicek model with long-range dependence is assumed to be driven by a fractional Brownian motion with the Hurst parameter greater than or equal to one half. It is shown that, when the Hurst parameter is known, the asymptotic theory for the persistence parameter depends critically on its sign, corresponding asymptotically to the stationary case, the explosive case, and the null recurrent case. In all three cases, the least squares method is considered, and strong consistency and the asymptotic distribution are obtained. When the persistence parameter is positive, the estimation method of Hu and Nualart (2010) is also considered.

Date: 2019
References: Add references at CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
https://www.cambridge.org/core/product/identifier/ ... type/journal_article link to article abstract page (text/html)

Related works:
Working Paper: Asymptotic Theory for Estimating Drift Parameters in the Fractional Vasicek Model (2017) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cup:etheor:v:35:y:2019:i:01:p:198-231_00

Access Statistics for this article

More articles in Econometric Theory from Cambridge University Press Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
Bibliographic data for series maintained by Keith Waters ().

 
Page updated 2020-09-19
Handle: RePEc:cup:etheor:v:35:y:2019:i:01:p:198-231_00