Huang, Jian; Kobayashi, Masahito; McAleer, Michael - Institute of Economic Research, Kyoto University - 2010
This paper analyses the constant elasticity of volatility (CEV) model suggested by Chan et al. (1992). The CEV model without mean reversion is shown to be the inverse Box-Cox transformation of integrated processes asymptotically. It is demonstrated that the maximum likelihood estimator of the...
