Testing for the Box-Cox parameter for an integrated process

DOI10.1016/j.matcom.2008.04.021zbMath1297.91149OpenAlexW2132572250MaRDI QIDQ1942730

Masahito Kobayashi, Michael McAleer, Jian Huang

Publication date: 13 March 2013

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2008.04.021

zbMATH Keywords

Brownian motionmean reversionBox-Cox transformationconstant elasticity of volatilitynonstandard distribution

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

• Unnamed Item
• A Theory of the Term Structure of Interest Rates
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Realized Volatility: A Review
• An Analysis of Transformations Revisited
• Instrumental Variables Regression with Weak Instruments
• ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
• Nonlinear Regressions with Integrated Time Series
• Tests of Linear and Logarithmic Transformations for Integrated Processes
• A Gaussian approach for continuous time models of the short-term interest rate
• The Dynamics of Short-Term Interest Rate Volatility Reconsidered
• An equilibrium characterization of the term structure
• AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY