Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models
It is well known that for continuous time models with a linear drift standard estimation methods yield biased estimators for the mean reversion parameter both in finite discrete samples and in large in-fill samples. In this paper, we obtain two expressions to approximate the bias of the least square...
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2012
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| Online Access: | https://ink.library.smu.edu.sg/soe_research/1348 https://ink.library.smu.edu.sg/context/soe_research/article/2347/viewcontent/bias_estimation_MRP_2011_av.pdf |
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| Institution: | Singapore Management University |
| Language: | English |