Sharp Large Deviations for the Fractional Ornstein–Uhlenbeck Process

By Bernard Bercu, Laure Coutin, Nicolas Savy. 2008

67 citations recorded by the source corpus.

We investigate the sharp large deviation properties of the energy and the maximum likelihood estimator for the Ornstein-Uhlenbeck process driven by a fractional Brownian motion with Hurst index greater than one half.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/5f112a5571e170671f5a15491c149b02ca750033

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In Economics and Econometrics

1. David Nualart
2. Yaozhong Hu
3. Hongjuan Zhou
4. Christian Bender
5. Ciprian A. Tudor
6. Fred Espen Benth
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In Finance

1. David Nualart
2. Yaozhong Hu
3. Hongjuan Zhou
4. Ciprian A. Tudor
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6. Ivan Nourdin
7. Khalifa Es-Sebaiy
8. Giovanni Peccati

Citations in the corpus

• Parameter estimation for fractional Ornstein–Uhlenbeck processes of general Hurst parameter (2017, methodology): “Bercu, Courtin and Savy used a different approach to prove the above central limit theorem for the MLE in the case of H > 12 (see Bercu et al. 2011).”