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Asymptotic Theory for Estimating the Persistent Parameter in the Fractional Vasicek Model

Weilin Xiao () and Jun Yu ()
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Weilin Xiao: Zhejiang University

No 13-2016, Economics and Statistics Working Papers from Singapore Management University, School of Economics

Abstract: This paper develops the asymptotic theory for the least squares (LS) estimator of the persistent parameter in the fractional Vasicek model when a continuous record of observations is available. The fractional Vasicek model is assumed to be driven by the fractional Brownian motion with a known Hurst parameter greater than or equal to one half. It is shown that the asymptotic properties depend on the sign of the persistent parameter, corresponding to the stationary case, the explosive case and the null recurrent case. The strong consistency and the asymptotic distribution are obtained in all three cases.

Keywords: Least squares estimation; Fractional Vasicek model; Stationary process; Explosive process; Consistency; Asymptotic distribution (search for similar items in EconPapers)
JEL-codes: C15 C22 C32 (search for similar items in EconPapers)
Pages: 28 pages
Date: 2016-09-03
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-sea
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