TY  - RPRT
AU  - Huang, Jian
AU  - Kobayashi, Masahito
AU  - McAleer, Michael
PY  - 2011
UR  - https://hdl.handle.net/20.500.14352/49008
AB  - This 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 demonstrated...
LA  - eng
A3  - Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid
KW  - Box-Cox transformation
KW  - Brownian Motion
KW  - Constant Elasticity of Volatility
KW  - Mean Reversion
KW  - Nonstandard distribution.
TI  - Testing the Box-Cox Parameter for an Integrated Process
TY  - technical report
VL  - 2011
ER  -