Wang, Xiaohu; Phillips, Peter C.B.; Yu, Jun - Cowles Foundation for Research in Economics, Yale University - 2011
and bias formulae are obtained for estimates of the mean reversion parameter. Explicit expressions are given for the … discretization bias and its relationship to estimation bias in both multivariate and in univariate settings. In the univariate … bias and variance for the Vasicek process. The bias and the variance of the Euler method are found to be smaller than the …
