Distribution of the mean reversion estimator in the Ornstein–Uhlenbeck process-Reference-Cited by-同舟云学术

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Distribution of the mean reversion estimator in the Ornstein–Uhlenbeck process

Published:2017-05-16 Issue:6-9 Volume:36 Page:1039-1056
ISSN:0747-4938
Container-title:Econometric Reviews
language:en
Short-container-title:Econometric Reviews

Author:

Bao Yong¹,Ullah Aman²,Wang Yun³

Affiliation:

1. Department of Economics, Purdue University, West Lafayette, Indiana, USA

2. Department of Economics, University of California, Riverside, California, USA

3. School of International Trade and Economics, University of International Business and Economics, Beijing, China

Publisher

Informa UK Limited

Subject

Economics and Econometrics

Link

https://www.tandfonline.com/doi/pdf/10.1080/07474938.2017.1307977

Reference28 articles.

1. DISTRIBUTION OF THE LEAST SQUARES ESTIMATOR IN A FIRST-ORDER AUTOREGRESSIVE MODEL

2. Computing p-values for the generalized Durbin-Watson and other invariant test statistics

3. The Pricing of Options and Corporate Liabilities

4. Numerical inversion of a characteristic function

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