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...

Full description

Saved in:
Bibliographic Details
Main Authors: BAO, Yong, ULLAH, Aman, WANG, Yun, YU, Jun
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2015
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
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Singapore Management University
Language: English
Be the first to leave a comment!
You must be logged in first