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Search: subject:"Box–Cox transformation"
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Mean reversion
Box-Cox transformation
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Estimation theory
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Testing for the Box–Cox parameter for an integrated process
Huang, Jian
;
Kobayashi, Masahito
;
McAleer, Michael
- In:
Mathematics and Computers in Simulation (MATCOM)
83
(
2012
)
C
,
pp. 1-9
Finance 47 (1992) 1209–1227]. The CEV model without mean reversion is shown to be the inverse
Box–Cox
transformation
of …
Persistent link: https://www.econbiz.de/10010870679
Saved in:
2
Testing the Box-Cox parameter for an integrated process
Huang, Jian
;
Kobayashi, Masahito
-
2010
-
Rev.
without mean reversion is shown to be the inverse
Box-Cox
transformation
of integrated processes asymptotically. It is …
Persistent link: https://www.econbiz.de/10008840787
Saved in:
3
Testing the Box-Cox parameter for an integrated process
Huang, Jian
;
Kobayashi, Masahito
;
McAleer, Michael
-
2010
-
Rev.
Persistent link: https://www.econbiz.de/10008760495
Saved in:
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