Asymptotic theory for rough fractional Vasicek models

被引：25

作者：

Xiao, Weilin ^{[1
]}

Yu, Jun ^{[2
]}

机构：

[1] Zhejiang Univ, Hangzhou, Zhejiang, Peoples R China

[2] Singapore Management Univ, Singapore, Singapore

来源：

ECONOMICS LETTERS | 2019年 / 177卷

基金：

中国国家自然科学基金;

关键词：

Least squares; Roughness; Strong consistency; Asymptotic distribution; STOCHASTIC VOLATILITY; LONG-MEMORY; LIMIT THEORY;

D O I：

10.1016/j.econlet.2019.01.020

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper extends the asymptotic theory for the fractional Vasicek model developed in Xiao and Yu (2018) from the case where H is an element of (1/2, 1) to where H is an element of (0, 1/2). It is found that the asymptotic theory of the persistence parameter (kappa) critically depends on the sign of kappa. Moreover, if kappa > 0, the asymptotic distribution for the estimator of kappa is different when H is an element of (0, 1/2) from that when H is an element of (1/2, 1). (C) 2019 Elsevier B.V. All rights reserved.

引用

页码：26 / 29

页数：4

共 22 条

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