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

DOI10.1016/j.econlet.2015.06.002zbMath1364.62051OpenAlexW626215514MaRDI QIDQ529799

Aman Ullah, Yun Wang, Yong Bao, Jun Yu

Publication date: 9 June 2017

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://ink.library.smu.edu.sg/soe_research/1985

zbMATH Keywords

Lévy processesbiasmean reversion parameter

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to economics (62P20) Point estimation (62F10)

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The use of bias correction versus the jackknife when testing the mean reversion and long term mean parameters in continuous time models ⋮ Further Results on Pseudo‐Maximum Likelihood Estimation and Testing in the Constant Elasticity of Variance Continuous Time Model

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