Asymptotic Distributions of the Least Squares Estimator for Diffusion Processes
Year of publication: |
2010-01
|
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Authors: | Zhou, Qiankun ; Yu, Jun |
Institutions: | School of Economics, Singapore Management University |
Subject: | Vasicek Model | One-factor Model | Mean Reversion | In-fill Asymptotics | Long-span Asymptotics | Unit Root Test |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Published in SMU Economics and Statistics Working Paper Series Number 20-2010 40 pages |
Classification: | C12 - Hypothesis Testing ; C22 - Time-Series Models ; G12 - Asset Pricing |
Source: |
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