Bias in the estimation of mean reversion in continuous-time Lévy processes

Yong Bao, Aman Ullah, Yun Wang and Jun Yu

Economics Letters, 2015, vol. 134, issue C, 16-19

Abstract: 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 approximate bias is used to construct a bias corrected estimator. The performance of the approximate bias and the bias corrected estimator is examined using simulated data.

Keywords: Bias; Mean reversion parameter; Lévy processes (search for similar items in EconPapers)
JEL-codes: C10 C22 C58 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:134:y:2015:i:c:p:16-19

DOI: 10.1016/j.econlet.2015.06.002

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