Información del autor
Autor Huang, Jian |
Documentos disponibles escritos por este autor (1)
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Huang, Jian ; Kobayashi, Masahito ; McAleer, Michael | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2011-05This paper analyses the constant elasticity of volatility (CEV) model suggested by Chan et al. (1992). The CEV model without mean reversion is shown to be the inverse Box-Cox transformation of integrated processes asymptotically. It is demonstra[...]