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Long memory score-driven models as approximations for rough Ornstein-Uhlenbeck processes

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  • Yinhao Wu
  • Ping He

Abstract

This paper investigates the continuous-time limit of score-driven models with long memory. By extending score-driven models to incorporate infinite-lag structures with coefficients exhibiting heavy-tailed decay, we establish their weak convergence, under appropriate scaling, to fractional Ornstein-Uhlenbeck processes with Hurst parameter $H

Suggested Citation

  • Yinhao Wu & Ping He, 2025. "Long memory score-driven models as approximations for rough Ornstein-Uhlenbeck processes," Papers 2509.09105, arXiv.org.
    • Handle: RePEc:arx:papers:2509.09105
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    References listed on IDEAS

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