Maximum Likelihood Estimation of Fractional Ornstein-Uhlenbeck Process with Discretely Sampled Data
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More about this item
Keywords
Fractional Ornstein-Uhlenbeck process; Hurst parameter; Out-of-sample forecast; Maximum likelihood; Whittle likelihood; Composite likelihood;All these keywords.
JEL classification:
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2025-04-07 (Econometrics)
- NEP-ETS-2025-04-07 (Econometric Time Series)
- NEP-FOR-2025-04-07 (Forecasting)
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