Bias in the Mean Reversion Estimator in Continuous-Time Gaussian and Lévy Processes
Continuous-time Levy processes have become increasingly popular in the asset pricing literature and estimation of the mean reversion parameter has attracted attention recently. This paper develops the approximate nite-sample bias of the ordinary least squares or quasi maximum likelihood estimator of...
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| المؤلفون الرئيسيون: | , , , |
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| التنسيق: | text |
| اللغة: | English |
| منشور في: |
Institutional Knowledge at Singapore Management University
2013
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| الموضوعات: | |
| الوصول للمادة أونلاين: | https://ink.library.smu.edu.sg/soe_research/1503 https://ink.library.smu.edu.sg/context/soe_research/article/2502/viewcontent/02_2013.pdf |
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