ASYMPTOTIC THEORY FOR ESTIMATING DRIFT PARAMETERS IN THE FRACTIONAL VASICEK MODEL

Xiao, WL; Yu, J

Yu, J (reprint author), Singapore Management Univ, Sch Econ, 90 Stamford Rd, Singapore 178903, Singapore.; Yu, J (reprint author), Singapore Management Univ, Lee Kong Chian Sch Business, 90 Stamford Rd, Singapore 178903, Singapore.

ECONOMETRIC THEORY, 2019; 35 (1): 198

Abstract

This article develops an asymptotic theory for estimators of two parameters in the drift function in the fractional Vasicek model when a continuous re......

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