http://swrc.ontoware.org/ontology#TechnicalReport
Testing the Box-Cox Parameter in an Integrated Process
en
Box-Cox transformation
Brownian motion
constant elasticity of volatility
mean reversion
nonstandard distribution
JEL Classifications: C22, C51, C52
Huang Jian
Kobayashi Masahito
McAleer Michael
This paper analyses the constant elasticity of volatility (CEV) model suggested by [6]. 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 power parameter has a nonstandard asymptotic distribution, which is expressed as an integral of Brownian motions, when the data generating process is not mean reverting. However, it is shown that the t-ratio follows a standard normal distribution asymptotically, so that the use of the conventional t-test in analyzing the power parameter of the CEV model is justified even if there is no mean reversion, as is often the case in empirical research. The model may applied to ultra high frequency data
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Discussion paper series. CIRJE-F
CIRJE-F-661
2009-09
AA11450569
application/pdf
335
日本経済国際共同センター
http://www.cirje.e.u-tokyo.ac.jp/research/dp/2009/2009cf661ab.html