Calibrating fractional Vasicek model

Yuecai Han and Nan Li

Communications in Statistics - Theory and Methods, 2023, vol. 52, issue 13, 4429-4443

Abstract: In this paper, the estimators for the Hurst parameter and diffusion parameter of a Vasicek model driven by fractional Brownian motion are studied, where the observations are in discrete time. Asymptotic properties of these estimators are proved. Using our methods, the smoothness of volatility process of main financial markets is evaluated, corresponding interval estimations are constructed. Our results imply the existence of roughness phenomenon in volatility process.

Date: 2023
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/03610926.2021.1994609 (text/html)
Access to full text is restricted to subscribers.

Related works:
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:taf:lstaxx:v:52:y:2023:i:13:p:4429-4443

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/lsta20

DOI: 10.1080/03610926.2021.1994609

Access Statistics for this article

Communications in Statistics - Theory and Methods is currently edited by Debbie Iscoe

More articles in Communications in Statistics - Theory and Methods from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().