Kumar, Dilip; Maheswaran, S. - In: Economic Modelling 38 (2014) C, pp. 33-44
In this paper, we derive a reflection principle for a random walk with the symmetric double exponential distribution … value of the random walk. Based on this new theoretical result, we propose an extreme value estimator for the variance of … the random walk that is not just approximately unbiased but exactly so. In simulations, we find that this estimator …