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

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

Jun Yu2012

Article2012

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

79 citations·0/0 files stored·Journal of Econometrics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1977An equilibrium characterization of the term structure 1980On estimating the expected return on the market 1996A YIELD‐FACTOR MODEL OF INTEREST RATES 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models 2001The Distribution of Realized Exchange Rate Volatility 1991Continuous-Time Finance.2000Specification Analysis of Affine Term Structure Models 1992An Empirical Comparison of Alternative Models of the Short-Term Interest Rate

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2017Discrete- vs. Continuous-Time Modeling of Unequally Spaced Experience Sampling Method Data 2010Bias in estimating multivariate and univariate diffusions 2018Exploring Mispricing in the Term Structure of CDS Spreads 2018New distribution theory for the estimation of structural break point in mean 2015Asymptotic theory for linear diffusions under alternative sampling schemes 2009ESTIMATING CONTINUOUS-TIME MODELS ON THE BASIS OF DISCRETE DATA VIA AN EXACT DISCRETE ANALOG

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Year2012

Typearticle

Published2012-01-28

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations79

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.jeconom.2012.01.004

openalex_workW2129779124

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