The use of bias correction versus the Jackknife when testing the mean reversion and long term mean parameters in continuous time models-Reference-Cited by-同舟云学术

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The use of bias correction versus the Jackknife when testing the mean reversion and long term mean parameters in continuous time models

Published:2017-01-01 Issue:3 Volume:23 Page:
ISSN:0929-9629
Container-title:Monte Carlo Methods and Applications
language:
Short-container-title:

Author:

Iglesias Emma M.,Phillips Garry D. A.

Abstract

AbstractIn this paper we extend the results in [

Funder

Ministry of Science and Technology

Publisher

Walter de Gruyter GmbH

Subject

Applied Mathematics,Statistics and Probability

Link

https://www.degruyter.com/document/doi/10.1515/mcma-2017-0111/pdf

Reference26 articles.

1. Confidence intervals for quantile estimation using jackknife techniques;Comput. Statist.,2008

2. Jackknifing bond option prices;Rev. Financial Stud.,2005

3. Finite-sample bias-correction factors for the median absolute deviation;Comm. Statist. Simulation Comput.,2014

4. An equilibrium characterization of the term structure;J. Financial Econ.,1977

5. Bias in the estimation of the mean reversion parameter in continuous time models;J. Econometrics,2012

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