Showing 1 - 5 of 5
Persistent link: https://www.econbiz.de/10003378339
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
This paper proposes the Lagrange multiplier test for the null hypothesis thatthe bivariate time series has only a single common stochastic volatility factor and noidiosyncratic volatility factor. The test statistic is derived by representing the model in alinear state-space form under the...
Persistent link: https://www.econbiz.de/10011555751
Persistent link: https://www.econbiz.de/10008760495
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