Bias in the estimation of mean reversion in continuous-time Lévy processes
type: Item
instance of: scholarly article
title: Bias in the estimation of mean reversion in continuous-time Lévy processes
zbMATH Open document ID: 1364.62051
author: Aman Ullah
author: Yong Bao
author: Yun Wang
author: Jun Yu
published in: Economics Letters
publication date: 2017-06-09T00:00:00Z
full work available at URL: https://ink.library.smu.edu.sg/soe_research/1985
Mathematics Subject Classification ID: 62F10
Mathematics Subject Classification ID: 60G51
Mathematics Subject Classification ID: 62P20
zbMATH DE Number: 6728401
zbMATH Keywords: bias
zbMATH Keywords: mean reversion parameter
zbMATH Keywords: Lévy processes
MaRDI profile type: Publication
OpenAlex ID: W626215514
cites work: Q3703094
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cites work: Processes of normal inverse Gaussian type
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cites work: Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance
cites work: Parameter estimation and bias correction for diffusion processes
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cites work: Bias in the estimation of the mean reversion parameter in continuous time models
DOI: 10.1016/J.ECONLET.2015.06.002
description: scientific article; zbMATH DE number 6728401