Further Results on Pseudo-Maximun Likelihood Estimation and Testing the Constant Elasticity of Variance Continuous Time Model
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Further Results on Pseudo-Maximun Likelihood Estimation and Testing the Constant Elasticity of Variance Continuous Time ModelData
2019Cita bibliográfica
Iglesias, E. M., & Phillips, G. D. (2020). Further Results on Pseudo‐Maximum Likelihood Estimation and Testing in the Constant Elasticity of Variance Continuous Time Model. Journal of Time Series Analysis, 41(2), 357-364.
Resumo
[Abstract]: Constant elasticity volatility processes have been shown to be useful, for example, to encompass a number of existing models that have closed-form likelihood functions. In this article, we extend the existing literature in two directions: first we find explicit closed form solutions of the pseudo maximum likelihood estimators (MLEs) by discretizing the diffusion function and we provide their asymptotic theory in the context of the constant elasticity of variance (CEV) model characterized by a general CEV parameter 𝜌������� ≥ 0. Second we obtain bias expansions for those pseudo MLEs also in terms of 𝜌������� ≥ 0. We provide a general framework since only the cases with 𝜌������� = 0 and 𝜌������� = 0.5 have been considered in the literature so far. When the time series is not positive almost surely, we need to impose the restriction that 𝜌������� is a non-negative integer.
Palabras chave
Least squares
Quasi-maximum likelihood
Continuous record
Estimation
Testing
Bias correction
Difussion Processes
Quasi-maximum likelihood
Continuous record
Estimation
Testing
Bias correction
Difussion Processes
Versión do editor
Dereitos
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ISSN
0143-9782