Asymptotic Theory for Rough Fractional Vasicek Models
Weilin Xiao () and
Jun Yu ()
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Weilin Xiao: Zhejiang University
No 7-2018, Economics and Statistics Working Papers from Singapore Management University, School of Economics
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 the case where H ∈ (0, 1/2). It is found that the asymptotic theory of the persistence parameter (k) critically depends on the sign of k. Moreover, if k > 0, the asymptotic distribution for the estimator of k 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)
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-sea
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Journal Article: Asymptotic theory for rough fractional Vasicek models (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:ris:smuesw:2018_007
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