This paper proposes to model and forecast realized volatility (RV) using the fractional
Ornstein–Uhlenbeck (fO–U) process with a general Hurst parameter, H. A two-stage method …

The logarithmic prices of financial assets are conventionally assumed to follow a drift–
diffusion process. While the drift term is typically ignored in the infill asymptotic theory and …

While the statistical inference of Vasicek processes driven by both Brownian motions and
fractional Brownian motions has a long history, the statistical analysis for the Vasicek model …

Based on the Girsanov theorem, this paper obtains the exact distribution of the maximum
likelihood estimator of structural break point in a continuous time model. The exact …

This paper establishes a double asymptotic theory for explosive continuous time Lévy-driven
processes and the corresponding exact discrete time models. The double asymptotic theory …

Deviations of asset prices from the random walk dynamic imply the predictability of asset
returns and thus have important implications for portfolio construction and risk management …

This article obtains the exact distribution of the maximum likelihood estimator of structural
break point in the Ornstein–Uhlenbeck process when a continuous record is available. The …

Based on a continuous-time stochastic volatility model with a linear drift, we develop a test
for explosive behavior in financial asset prices at a low frequency when prices are sampled …

This paper obtains the exact distribution of the maximum likelihood estimatorof structural
break point in the OrnsteinñUhlenbeck process when a continuousrecord is available. The …

We investigated the out‐of‐sample forecasting performance of six bias‐corrected estimators
that have recently emerged in the literature for the Ornstein–Uhlenbeck process: the naïve …