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Testing the Box-Cox Parameter in an Integrated Process
http://hdl.handle.net/2261/26656
http://hdl.handle.net/2261/266567aeac8e9-4b48-4bc1-882d-661506eabf4f
Item type | テクニカルレポート / Technical Report(1) | |||||
---|---|---|---|---|---|---|
公開日 | 2013-05-31 | |||||
タイトル | ||||||
タイトル | Testing the Box-Cox Parameter in an Integrated Process | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題 | Box-Cox transformation | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Brownian motion | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | constant elasticity of volatility | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | mean reversion | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | nonstandard distribution | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | JEL Classifications: C22, C51, C52 | |||||
主題Scheme | Other | |||||
資源タイプ | ||||||
資源 | http://purl.org/coar/resource_type/c_18gh | |||||
タイプ | technical report | |||||
アクセス権 | ||||||
アクセス権 | metadata only access | |||||
アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
著者 |
Huang, Jian
× Huang, Jian× Kobayashi, Masahito× McAleer, Michael |
|||||
著者所属 | ||||||
著者所属 | Guangdong University of Finance Masahito Kobayashi Faculty of Economics Yokohama National University | |||||
著者所属 | ||||||
著者所属 | Econometric Institute Erasmus School of Economics Erasmus University Rotterdam | |||||
著者所属 | ||||||
著者所属 | Tinbergen Institute The Netherlands | |||||
著者所属 | ||||||
著者所属 | Center for International Research on the Japanese Economy (CIRJE) Faculty of Economics University of Tokyo | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | 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 | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | 本文フィルはリンク先を参照のこと | |||||
書誌情報 |
Discussion paper series. CIRJE-F 巻 CIRJE-F-661, 発行日 2009-09 |
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書誌レコードID | ||||||
収録物識別子タイプ | NCID | |||||
収録物識別子 | AA11450569 | |||||
フォーマット | ||||||
内容記述タイプ | Other | |||||
内容記述 | application/pdf | |||||
日本十進分類法 | ||||||
主題 | 335 | |||||
主題Scheme | NDC | |||||
出版者 | ||||||
出版者 | 日本経済国際共同センター | |||||
出版者別名 | ||||||
Center for International Research on the Japanese Economy | ||||||
関係URI | ||||||
識別子タイプ | URI | |||||
関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2009/2009cf661ab.html |