Bias in the Mean Reversion Estimator in Continuous-Time Gaussian and Levy Processes
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- Yong Bao & Aman Ullah & Yun Wang & Jun Yu, 2013. "Bias in the Mean Reversion Estimator in Continuous-Time Gaussian and Lévy Processes," Working Papers 02-2013, Singapore Management University, School of Economics.
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Cited by:
- 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.
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Keywords
Date-stamping strategy; Flexible window; Generalized sup ADF test; Multiple bubbles; Rational bubble; Periodically collapsing bubbles; Sup ADF test;All these keywords.
JEL classification:
- 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 fields
This paper has been announced in the following NEP Reports:- NEP-HIS-2013-10-05 (Business, Economic and Financial History)
- NEP-RMG-2013-10-05 (Risk Management)
- NEP-SEA-2013-10-05 (South East Asia)
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