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math.ST2020
A Note On Inference for the Mixed Fractional Ornstein-Uhlenbeck Process with Drift
Chunhao Cai, Min Zhang
This paper is devoted to parameter estimation of the mixed fractional Ornstein-Uhlenbeck process with a drift. Large sample asymptotical properties of the Maximum Likelihood Estima…
math.PR2020
Maximum likelihood estimation for mixed fractional Vasicek processes
Chunhao Cai, Yinzhong Huang, Weilin Xiao
The mixed fractional Vasicek model, which is an extended model of the traditional Vasicek model, has been widely used in modelling volatility, interest rate and exchange rate. Obvi…