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Bias in the estimation of mean reversion in continuous-time Lévy processes

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

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

Distribution of the mean reversion estimator in the Ornstein-Uhlenbeck process

Bao, Yong; Ullah, Aman; Wang, Yun - In: Econometric reviews 36 (2017) 6/9, pp. 1039-1056

Persistent link: https://www.econbiz.de/10011795564

The special issue in honor of Anirudh Lal Nagar : an introduction

Bao, Yong; Ullah, Aman - In: Journal of quantitative economics 19 (2021), pp. 1-8

Persistent link: https://www.econbiz.de/10013441701

Analytical finite sample econometrics : from A.L. Nagar to now

Bao, Yong; Ullah, Aman - In: Journal of quantitative economics 19 (2021), pp. 17-37

Persistent link: https://www.econbiz.de/10013441704

Special issue in honor of Anirudh Lal Nagar

Bao, Yong (ed.); Ullah, Aman (ed.); … - 2021

Persistent link: https://www.econbiz.de/10013441796

Bias of a Value-at-Risk estimator

Bao, Yong; Ullah, Aman - In: Finance Research Letters 1 (2004) 4, pp. 241-249

Persistent link: https://www.econbiz.de/10005397386

Moments of the estimated Sharpe ratio when the observations are not IID

Bao, Yong; Ullah, Aman - In: Finance Research Letters 3 (2006) 1, pp. 49-56

Persistent link: https://www.econbiz.de/10005397438

Finite sample properties of maximum likelihood estimator in spatial models

Bao, Yong; Ullah, Aman - In: Journal of Econometrics 137 (2007) 2, pp. 396-413

Persistent link: https://www.econbiz.de/10005122738

The second-order bias and mean squared error of estimators in time-series models

Bao, Yong; Ullah, Aman - In: Journal of Econometrics 140 (2007) 2, pp. 650-669

Persistent link: https://www.econbiz.de/10005192752

On existence of moment of mean reversion estimator in linear diffusion models

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 diffusion models does not exist. However, the moment does exist conditionally on the estimator of the autoregressive parameter in the discretized model being positive.

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