{"created":"2021-03-01T07:01:56.254712+00:00","id":42095,"links":{},"metadata":{"_buckets":{"deposit":"40cb0717-f9fb-4df3-bda8-5c451bc50332"},"_deposit":{"id":"42095","owners":[],"pid":{"revision_id":0,"type":"depid","value":"42095"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00042095","sets":["62:7433:7434","9:7435:7436"]},"item_8_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2009-09","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"CIRJE-F-661","bibliographic_titles":[{"bibliographic_title":"Discussion paper series. CIRJE-F"}]}]},"item_8_description_13":{"attribute_name":"フォーマット","attribute_value_mlt":[{"subitem_description":"application/pdf","subitem_description_type":"Other"}]},"item_8_description_5":{"attribute_name":"抄録","attribute_value_mlt":[{"subitem_description":"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","subitem_description_type":"Abstract"}]},"item_8_description_6":{"attribute_name":"内容記述","attribute_value_mlt":[{"subitem_description":"本文フィルはリンク先を参照のこと","subitem_description_type":"Other"}]},"item_8_publisher_20":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"日本経済国際共同センター"}]},"item_8_relation_25":{"attribute_name":"関係URI","attribute_value_mlt":[{"subitem_relation_type_id":{"subitem_relation_type_id_text":"http://www.cirje.e.u-tokyo.ac.jp/research/dp/2009/2009cf661ab.html","subitem_relation_type_select":"URI"}}]},"item_8_source_id_10":{"attribute_name":"書誌レコードID","attribute_value_mlt":[{"subitem_source_identifier":"AA11450569","subitem_source_identifier_type":"NCID"}]},"item_8_subject_15":{"attribute_name":"日本十進分類法","attribute_value_mlt":[{"subitem_subject":"335","subitem_subject_scheme":"NDC"}]},"item_8_text_21":{"attribute_name":"出版者別名","attribute_value_mlt":[{"subitem_text_value":"Center for International Research on the Japanese Economy"}]},"item_8_text_4":{"attribute_name":"著者所属","attribute_value_mlt":[{"subitem_text_value":"Guangdong University of Finance Masahito Kobayashi Faculty of Economics Yokohama National University"},{"subitem_text_value":"Econometric Institute Erasmus School of Economics Erasmus University Rotterdam"},{"subitem_text_value":"Tinbergen Institute The Netherlands"},{"subitem_text_value":"Center for International Research on the Japanese Economy (CIRJE) Faculty of Economics University of Tokyo"}]},"item_access_right":{"attribute_name":"アクセス権","attribute_value_mlt":[{"subitem_access_right":"metadata only access","subitem_access_right_uri":"http://purl.org/coar/access_right/c_14cb"}]},"item_creator":{"attribute_name":"著者","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"Huang, Jian"}],"nameIdentifiers":[{"nameIdentifier":"96876","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Kobayashi, Masahito"}],"nameIdentifiers":[{"nameIdentifier":"96877","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"McAleer, Michael"}],"nameIdentifiers":[{"nameIdentifier":"96878","nameIdentifierScheme":"WEKO"}]}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"Box-Cox transformation","subitem_subject_scheme":"Other"},{"subitem_subject":"Brownian motion","subitem_subject_scheme":"Other"},{"subitem_subject":"constant elasticity of volatility","subitem_subject_scheme":"Other"},{"subitem_subject":"mean reversion","subitem_subject_scheme":"Other"},{"subitem_subject":"nonstandard distribution","subitem_subject_scheme":"Other"},{"subitem_subject":"JEL Classifications: C22, C51, C52","subitem_subject_scheme":"Other"}]},"item_language":{"attribute_name":"言語","attribute_value_mlt":[{"subitem_language":"eng"}]},"item_resource_type":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"resourcetype":"technical report","resourceuri":"http://purl.org/coar/resource_type/c_18gh"}]},"item_title":"Testing the Box-Cox Parameter in an Integrated Process","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"Testing the Box-Cox Parameter in an Integrated Process"}]},"item_type_id":"8","owner":"1","path":["7436","7434"],"pubdate":{"attribute_name":"公開日","attribute_value":"2013-05-31"},"publish_date":"2013-05-31","publish_status":"0","recid":"42095","relation_version_is_last":true,"title":["Testing the Box-Cox Parameter in an Integrated Process"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2022-12-19T04:17:22.458838+00:00"}