Publication Type
Working Paper
Version
publishedVersion
Publication Date
3-2023
Abstract
This paper proposes estimators for the parameters of an explosive fractional Ornstein-Uhlenbeck process. The asymptotic properties for the diffusion estimators are developed under the in-fill asymptotic scheme, while the asymptotic properties for the drift estimators are developed under the double asymptotic scheme for the full range of the Hurst parameter. Simulation results demonstrate the effectiveness of the proposed estimators, and the asymptotic distributions provide a good approximation in finite samples. Empirical applications are presented to demonstrate the model’s usefulness and the practical value of the asymptotic theory.
Keywords
Explosive process, Hurst parameter, Long memory, Anti-persistency, Double asymptotics, In-fill asymptotics
Discipline
Econometrics
Research Areas
Econometrics
First Page
1
Last Page
85
Publisher
Paper No. 07-2023
Citation
JIANG, Hui; PAN, Yajuan; LIAO, Weilin; YANG, Qingshan; and Jun YU.
Asymptotic theory for explosive fractional Ornstein–Uhlenbeck processes. (2023). 1-85.
Available at: https://ink.library.smu.edu.sg/soe_research/2675
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.