Double Asymptotics for Explosive Fractional Ornstein-Uhlenbeck processes

15:30-17:00, Friday, March 31, 2023

Tencent Meeting(Meeting ID:551 397 882)


Dr. Weilin XIAO is now an associate Professor at School of Management, Zhejiang University. He received his Ph.D from South China University of Technology. His research fields are Financial Risk Management, Financial Econometrics, Carbon Finance and Machine Learning. His papers have been published in Journal of Econometrics, Journal of Business and Economics Statistics, Econometric Theory, Science China: Mathematics, Oxford Bulletin of Economics and Statistics, Journal of Management Sciences in China, among others.

Estimators of parameters of an explosive fractional Ornstein-Uhlenbeck process are proposed. The asymptotic properties of the diffusion estimators are developed under the in-fill asymptotic scheme while the asymptotic properties of the drift estimators are developed under the double asymptotic scheme for the full range of the Hurst parameter. Simulations show that the proposed estimators work well and the asymptotic distributions deliver a good approximation to in finite samples. Empirical applications illustrate the usefulness of the model and the asymptotic theory.

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