Bias in the estimation of the mean reversion parameter in continuous time models

DOI10.1016/j.jeconom.2012.01.004zbMath1443.62225OpenAlexW2129779124MaRDI QIDQ527981

Jun Yu

Publication date: 12 May 2017

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://ink.library.smu.edu.sg/soe_research/1152

zbMATH Keywords

maximum likelihoodleast squaresdiscrete samplingcontinuous recordnear unit root

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05)

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