Bao, Yong; Ullah, Aman; Wang, Yun; Yu, Jun - School of Economics, Singapore Management University - 2013
This paper develops the approximate finite-sample bias of the ordinary least squares or quasi max- imum likelihood estimator of the mean reversion parameter in continuous-time Levy processes. For the special case of Gaussian processes, our results reduce to those of Tang and Chen (2009) (when...