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Testing the Box-Cox parameter for an integrated process
Huang, Jian; Kobayashi, Masahito - 2010 - Rev.
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...
Persistent link: https://www.econbiz.de/10008840787
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Testing the Box-Cox parameter for an integrated process
Huang, Jian; Kobayashi, Masahito; McAleer, Michael - 2010 - Rev.
Persistent link: https://www.econbiz.de/10008760495
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Testing the Box-Cox Parameter in an Integrated Process
Huang, Jian - 2009
This paper analyses the constant elasticity of volatility (CEV) model suggested by [6]. 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 power parameter...
Persistent link: https://www.econbiz.de/10013156548
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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
This paper analyses the constant elasticity of volatility (CEV) model suggested by Chan et al. [K.C. Chan, G.A. Karolyi, F.A. Longstaff, A.B. Sanders, An empirical comparison of alternative models of the short-term interest rate, Journal of Finance 47 (1992) 1209–1227]. The CEV model without...
Persistent link: https://www.econbiz.de/10010870679
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"Testing the Box-Cox Parameter in an Integrated Process"
Huang, Jian; Kobayashi, Masahito; McAleer, Michael - Center for International Research on the Japanese … - 2009
This paper analyses the constant elasticity of volatility (CEV) model suggested by [6]. 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 power parameter...
Persistent link: https://www.econbiz.de/10005041986
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Testing the Box-Cox Parameter for an Integrated Process
Huang, Jian; Kobayashi, Masahito; McAleer, Michael - Institute of Economic Research, Kyoto University - 2010
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...
Persistent link: https://www.econbiz.de/10008763554
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Testing the Box-Cox Parameter for an Integrated Process
Huang, Jian; Kobayashi, Masahito; McAleer, Michael - Department of Economics and Finance, College of … - 2010
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...
Persistent link: https://www.econbiz.de/10008765702
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Testing the Box-Cox Parameter for an Integrated Process
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...
Persistent link: https://www.econbiz.de/10009141349