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).
Least squares, Roughness, Strong consistency, Asymptotic distribution.
SMU Economics and Statistics Working Paper Series
XIAO, Weilin and YU, Jun.
Asymptotic theory for rough fractional vasicek models. (2018). 1-15. Research Collection School Of Economics.
Available at: http://ink.library.smu.edu.sg/soe_research/2158
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