Publication Type
Journal Article
Version
acceptedVersion
Publication Date
4-2019
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 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.
Discipline
Econometrics
Research Areas
Econometrics
Publication
Economics Letters
Volume
177
First Page
26
Last Page
29
ISSN
0165-1765
Identifier
10.1016/j.econlet.2019.01.020
Publisher
Elsevier
Citation
XIAO, Weilin and YU, Jun.
Asymptotic theory for rough fractional Vasicek models. (2019). Economics Letters. 177, 26-29.
Available at: https://ink.library.smu.edu.sg/soe_research/2158
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1016/j.econlet.2019.01.020