Testing for Mean Reversion in Processes of Ornstein-Uhlenbeck Type
| Year of publication: |
2004
|
|---|---|
| Authors: | Szimayer, A. ; Maller, R. |
| Published in: |
Statistical Inference for Stochastic Processes. - Springer. - Vol. 7.2004, 2, p. 95-113
|
| Publisher: |
Springer |
| Subject: | autoregression | Dickey-Fuller | Lévy process | nuisance parameter | pseudo-likelihood ratio test | unit root | variance-gamma process |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005616007