Publication Type
Journal Article
Version
publishedVersion
Publication Date
9-2020
Abstract
This paper estimates the drift parameters in the fractional Vasicek model from a continuous record of observations via maximum likelihood (ML). The asymptotic theory for the ML estimates (MLE) is established in the stationary case, the explosive case, and the boundary case for the entire range of the Hurst parameter, providing a complete treatment of asymptotic analysis. It is shown that changing the sign of the persistence parameter changes the asymptotic theory for the MLE, including the rate of convergence and the limiting distribution. It is also found that the asymptotic theory depends on the value of the Hurst parameter.
Keywords
Maximum likelihood estimate, fractional Vasicek model, asymptotic distribution, stationary process, explosive process, boundary process
Discipline
Econometrics
Research Areas
Econometrics
Publication
Econometrics
Volume
8
Issue
3
First Page
1
Last Page
28
ISSN
2225-1146
Identifier
10.3390/econometrics8030032
Publisher
MDPI
Citation
1
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/10.3390/econometrics8030032