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: | , , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2015
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| Subjects: | |
| 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 |