When trading, investors make decisions based on not only the security and market variances but also the technical price range. However, academic literature investigating its properties is scarce. Better understandings of this risk measurement candidate are supposed to provide guidance for...

This paper develops the approximate bias of the ordinary least squares estimator of the mean reversion parameter in continuous-time Lévy processes. Several cases are considered, depending on whether the long-run mean is known or unknown and whether the initial condition is fixed or random. The...