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• W2938406712 startingPage "32" @default.
• W2938406712 abstract "This paper estimates the drift parameters in the fractional Vasicek model from a continuous record of observations via maximum likelihood (ML). The asymptotic theory for the ML estimates (MLE) is established in the stationary case, the explosive case, and the boundary case for the entire range of the Hurst parameter, providing a complete treatment of asymptotic analysis. It is shown that changing the sign of the persistence parameter changes the asymptotic theory for the MLE, including the rate of convergence and the limiting distribution. It is also found that the asymptotic theory depends on the value of the Hurst parameter." @default.
• W2938406712 created "2019-04-25" @default.
• W2938406712 creator A5024369934 @default.
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• W2938406712 date "2020-08-12" @default.
• W2938406712 modified "2023-10-14" @default.
• W2938406712 title "Maximum Likelihood Estimation for the Fractional Vasicek Model" @default.
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• W2938406712 doi "https://doi.org/10.3390/econometrics8030032" @default.
• W2938406712 hasPublicationYear "2020" @default.
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