Testing the Box-Cox Parameter for an Integrated Process

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Summary, etc.：: This paper analyses the constant elasticity of volatility (CEV) model suggested by Chan et al. (1992). The CEV model without mean reversion is shown t...

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Material Type: 文書・図像類
Title: Testing the Box-Cox Parameter for an Integrated Process
Author/Editor: Huang, Jian
Kobayashi, Masahito
McAleer, Michael
Author Heading: Huang, Jian
Kobayashi, Masahito
McAleer, Michael
Publication, Distribution, etc.: Institute of Economic Research, Kyoto University
Publication Date: 2010-12
Publication Date (W3CDTF): 2010-12
Periodical title: KIER Discussion Paper
No. or year of volume/issue: 750
Volume: 750
Text Language Code: eng
Subject Heading: Box-Cox transformation
Brownian Motion
Constant Elasticity of Volatility
Mean Reversion
Nonstandard distribution
NDC: 330
Target Audience: 一般
Format (IMT): application/pdf
Source: DP750.pdf （fulltext）
http://repository.kulib.kyoto-u.ac.jp/dspace/bitstream/2433/134632/1/DP750.pdf
Access Restrictions: インターネット公開
Data Provider (Database): 国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）
https://irdb.nii.ac.jp
Original Data Provider (Database): 京都大学 : 京都大学学術情報リポジトリ