Asymptotic theory for rough fractional Vasicek models
From MaRDI portal
Publication:1738407
DOI10.1016/j.econlet.2019.01.020zbMath1411.91592OpenAlexW2792752143MaRDI QIDQ1738407
Publication date: 18 April 2019
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://ink.library.smu.edu.sg/soe_research/2158
Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Fractional processes, including fractional Brownian motion (60G22) Interest rates, asset pricing, etc. (stochastic models) (91G30)
Related Items (14)
A delayed avian influenza model with avian slaughter: stability analysis and optimal control ⋮ Least squares estimator for Ornstein–Uhlenbeck processes driven by small fractional Lévy noises ⋮ Least-squares estimation for the Vasicek model driven by the complex fractional Brownian motion ⋮ Central limit theorems and minimum-contrast estimators for linear stochastic evolution equations ⋮ Parameter estimation for Vasicek model driven by a general Gaussian noise ⋮ Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process ⋮ Calibrating fractional Vasicek model ⋮ Maximum likelihood estimators of a long-memory process from discrete observations ⋮ Volatility estimation of general Gaussian Ornstein-Uhlenbeck process ⋮ Asymptotic distribution of the maximum likelihood estimator in the fractional Vašíček model ⋮ Least squares estimator of fractional Ornstein-Uhlenbeck processes with periodic mean for general Hurst parameter ⋮ Maximum likelihood estimation for sub-fractional Vasicek model ⋮ Maximum likelihood estimation in the non-ergodic fractional Vasicek model ⋮ Parameter estimation for discretized geometric fractional Brownian motions with applications in Chinese financial markets
Cites Work
- Limit theory for moderate deviations from a unit root
- Double asymptotics for explosive continuous time models
- Affine fractional stochastic volatility models
- Estimation and pricing under long-memory stochastic volatility
- Limit theory for an explosive autoregressive process
- Mildly explosive autoregression under weak and strong dependence
- Least squares estimator for non-ergodic Ornstein-Uhlenbeck processes driven by Gaussian processes
- Parameter estimation for fractional Ornstein-Uhlenbeck processes
- Fractional {O}rnstein-{U}hlenbeck processes
- Stochastic integral of divergence type with respect to fractional Brownian motion with Hurst parameter \(H \in (0,\frac {1}{2})\)
- Long memory in continuous-time stochastic volatility models
- Stochastic volatility and option pricing with long-memory in discrete and continuous time
- The Pathwise Convergence of Approximation Schemes for Stochastic Differential Equations
- The Malliavin Calculus and Related Topics
- Maximum likelihood estimation for continuous-time stochastic processes
- Law of the iterated logarithm for sums of non-linear functions of Gaussian variables that exhibit a long range dependence
- Volatility is rough
- Mildly Explosive Autoregression Under Stationary Conditional Heteroskedasticity
- Time Series Regression with a Unit Root
- Pricing under rough volatility
This page was built for publication: Asymptotic theory for rough fractional Vasicek models
