Asymptotic theory for rough fractional Vasicek models
type: Item
instance of: scholarly article
title: Asymptotic theory for rough fractional Vasicek models
zbMATH Open document ID: 1411.91592
author: Jun Yu
author: Wei-Lin Xiao
published in: Economics Letters
publication date: 2019-04-18T00:00:00Z
full work available at URL: https://ink.library.smu.edu.sg/soe_research/2158
Mathematics Subject Classification ID: 91G30
Mathematics Subject Classification ID: 60G22
Mathematics Subject Classification ID: 62E20
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 7045814
zbMATH Keywords: least squares
zbMATH Keywords: roughness
zbMATH Keywords: strong consistency
zbMATH Keywords: asymptotic distribution
MaRDI profile type: Publication
OpenAlex ID: W2792752143
cites work: Mildly Explosive Autoregression Under Stationary Conditional Heteroskedasticity
cites work: Pricing under rough volatility
cites work: Fractional {O}rnstein-{U}hlenbeck processes
cites work: Stochastic integral of divergence type with respect to fractional Brownian motion with Hurst parameter \(H \in (0,\frac {1}{2})\)
cites work: Estimation and pricing under long-memory stochastic volatility
cites work: Stochastic volatility and option pricing with long-memory in discrete and continuous time
cites work: Affine fractional stochastic volatility models
cites work: Long memory in continuous-time stochastic volatility models
cites work: Least squares estimator for non-ergodic Ornstein-Uhlenbeck processes driven by Gaussian processes
cites work: Maximum likelihood estimation for continuous-time stochastic processes
cites work: Volatility is rough
cites work: Parameter estimation for fractional Ornstein-Uhlenbeck processes
cites work: The Pathwise Convergence of Approximation Schemes for Stochastic Differential Equations
cites work: Mildly explosive autoregression under weak and strong dependence
cites work: The Malliavin Calculus and Related Topics
cites work: Time Series Regression with a Unit Root
cites work: Limit theory for moderate deviations from a unit root
cites work: Law of the iterated logarithm for sums of non-linear functions of Gaussian variables that exhibit a long range dependence
cites work: Limit theory for an explosive autoregressive process
cites work: Double asymptotics for explosive continuous time models
DOI: 10.1016/J.ECONLET.2019.01.020
description: scientific article; zbMATH DE number 7045814