McAleer, Michael; Huang, Jian; Kobayashi, Masahito - Facultad de Ciencias Económicas y Empresariales, … - 2011
This paper analyses the constant elasticity of volatility (CEV) model suggested by Chan et al. (1992). The CEV model without mean reversion is shown to be the inverse Box-Cox transformation of integrated processes asymptotically. It is demonstrated that the maximum likelihood estimator of the...