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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| Main Authors: | , , , |
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| 格式: | text |
| 語言: | English |
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Institutional Knowledge at Singapore Management University
2013
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| 主題: | |
| 在線閱讀: | 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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