Tanaka, Katsuto; Xiao, Weilin; Yu, Jun - In: Econometrics : open access journal 8 (2020) 3/32, pp. 1-28
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...
