Asymptotic theory for rough fractional Vasicek models

Weilin Xiao and Jun Yu

Economics Letters, 2019, vol. 177, issue C, 26-29

Abstract: This paper extends the asymptotic theory for the fractional Vasicek model developed in Xiao and Yu (2018) from the case where H∈(1∕2,1) to where H∈(0,1∕2). It is found that the asymptotic theory of the persistence parameter (κ) critically depends on the sign of κ . Moreover, if κ>0, the asymptotic distribution for the estimator of κ is different when H∈(0,1∕2) from that when H∈(1∕2,1).

Keywords: Least squares; Roughness; Strong consistency; Asymptotic distribution (search for similar items in EconPapers)
JEL-codes: C15 C22 C32 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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Related works:
Working Paper: Asymptotic Theory for Rough Fractional Vasicek Models (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:177:y:2019:i:c:p:26-29

DOI: 10.1016/j.econlet.2019.01.020

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