Search Results - subject:"mean-reversion parameter"

Wang, Xiaohu - In: Financial econometrics : theory and applications, (pp. 97-131). 2025

Persistent link: https://www.econbiz.de/10015426487

Hohn, Jan-Moritz - In: Economics Bulletin 34 (2014) 3, pp. 1891-1904

the relation of mean reversion parameter to inertia parameter is calculated characterizing the underlying US merger system. …

Persistent link: https://www.econbiz.de/10010890864

Bao, Yong; Ullah, Aman; Zinde-Walsh, Victoria - In: Economics letters 120 (2013) 2, pp. 146-148

Persistent link: https://www.econbiz.de/10010127806

Bao, Yong; Ullah, Aman; Zinde-Walsh, Victoria - In: Economics Letters 120 (2013) 2, pp. 146-148

In this note it is shown that the expectation of the usual MLE estimator of the mean-reversion parameter in linear …

Persistent link: https://www.econbiz.de/10010678801

Bao, Yong; Ullah, Aman; Wang, Yun; Yu, Jun - In: Economics letters 134 (2015), pp. 16-19

Persistent link: https://www.econbiz.de/10011432138