Bias in the estimation of mean reversion in continuous-time Levy processes

This paper develops the approximate bias of the ordinary least squares estimator of the mean reversion parameter in continuous-time Levy processes. Several cases are considered, depending on whether the long-run mean is known or unknown and whether the initial condition is fixed or random. The appro...

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Main Authors:	BAO, Yong, ULLAH, Aman, WANG, Yun, YU, Jun
Format:	text
Language:	English
Published:	Institutional Knowledge at Singapore Management University 2015
Subjects:	Bias Mean reversion parameter Levy processes Econometrics
Online Access:	https://ink.library.smu.edu.sg/soe_research/1985 https://ink.library.smu.edu.sg/context/soe_research/article/2984/viewcontent/BUWY_afv.pdf
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Institution:	Singapore Management University
Language:	English

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spelling	sg-smu-ink.soe_research-29842020-04-01T02:46:32Z Bias in the estimation of mean reversion in continuous-time Levy processes BAO, Yong ULLAH, Aman WANG, Yun YU, Jun This paper develops the approximate bias of the ordinary least squares estimator of the mean reversion parameter in continuous-time Levy processes. Several cases are considered, depending on whether the long-run mean is known or unknown and whether the initial condition is fixed or random. The approximate bias is used to construct a bias corrected estimator. The performance of the approximate bias and the bias corrected estimator is examined using simulated data. 2015-09-01T07:00:00Z text application/pdf https://ink.library.smu.edu.sg/soe_research/1985 info:doi/10.1016/j.econlet.2015.06.002 https://ink.library.smu.edu.sg/context/soe_research/article/2984/viewcontent/BUWY_afv.pdf http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection School Of Economics eng Institutional Knowledge at Singapore Management University Bias Mean reversion parameter Levy processes Econometrics
institution	Singapore Management University
building	SMU Libraries
continent	Asia
country	Singapore Singapore
content_provider	SMU Libraries
collection	InK@SMU
language	English
topic	Bias Mean reversion parameter Levy processes Econometrics
spellingShingle	Bias Mean reversion parameter Levy processes Econometrics BAO, Yong ULLAH, Aman WANG, Yun YU, Jun Bias in the estimation of mean reversion in continuous-time Levy processes
description	This paper develops the approximate bias of the ordinary least squares estimator of the mean reversion parameter in continuous-time Levy processes. Several cases are considered, depending on whether the long-run mean is known or unknown and whether the initial condition is fixed or random. The approximate bias is used to construct a bias corrected estimator. The performance of the approximate bias and the bias corrected estimator is examined using simulated data.
format	text
author	BAO, Yong ULLAH, Aman WANG, Yun YU, Jun
author_facet	BAO, Yong ULLAH, Aman WANG, Yun YU, Jun
author_sort	BAO, Yong
title	Bias in the estimation of mean reversion in continuous-time Levy processes
title_short	Bias in the estimation of mean reversion in continuous-time Levy processes
title_full	Bias in the estimation of mean reversion in continuous-time Levy processes
title_fullStr	Bias in the estimation of mean reversion in continuous-time Levy processes
title_full_unstemmed	Bias in the estimation of mean reversion in continuous-time Levy processes
title_sort	bias in the estimation of mean reversion in continuous-time levy processes
publisher	Institutional Knowledge at Singapore Management University
publishDate	2015
url	https://ink.library.smu.edu.sg/soe_research/1985 https://ink.library.smu.edu.sg/context/soe_research/article/2984/viewcontent/BUWY_afv.pdf
_version_	1770573490095652864

Bias in the estimation of mean reversion in continuous-time Levy processes

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