Bias in the Mean Reversion Estimator in Continuous-Time Gaussian and Lévy Processes
Download full text from publisher
References listed on IDEAS
- John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005. "A Theory Of The Term Structure Of Interest Rates," World Scientific Book Chapters,in: Theory Of Valuation, chapter 5, pages 129-164 World Scientific Publishing Co. Pte. Ltd..
- Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
- Yu, Jun, 2012.
"Bias in the estimation of the mean reversion parameter in continuous time models,"
Journal of Econometrics,
Elsevier, vol. 169(1), pages 114-122.
- Jun Yu, 2009. "Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models," Microeconomics Working Papers 23045, East Asian Bureau of Economic Research.
- Jun Yu, 2009. "Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models," Working Papers 16-2009, Singapore Management University, School of Economics.
- Ullah, Aman, 2004. "Finite Sample Econometrics," OUP Catalogue, Oxford University Press, number 9780198774488.
- Vasicek, Oldrich Alfonso, 1977. "Abstract: An Equilibrium Characterization of the Term Structure," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(04), pages 627-627, November.
- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Iglesias, Emma M., 2014. "Testing of the mean reversion parameter in continuous time models," Economics Letters, Elsevier, vol. 122(2), pages 187-189.
- Bao, Yong & Ullah, Aman & Wang, Yun & Yu, Jun, 2015. "Bias in the estimation of mean reversion in continuous-time Lévy processes," Economics Letters, Elsevier, vol. 134(C), pages 16-19.
More about this item
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-03-30 (All new papers)
- NEP-ECM-2013-03-30 (Econometrics)
- NEP-ETS-2013-03-30 (Econometric Time Series)
- NEP-SEA-2013-03-30 (South East Asia)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:siu:wpaper:02-2013. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (QL THor). General contact details of provider: http://edirc.repec.org/data/sesmusg.html .