Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models

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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Bibliographic Details
Main Author: YU, Jun
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2012
Subjects:
Least squares
Maximum likelihood
Discrete sampling
Continuous record
Near unit root.
Econometrics
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

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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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