... studies of its performance, boththeoretical and empirical, are provided in Zacks and Sokos [21],Asmussen and Rojas-Nandayapa [1], Levy [18], Henriksen [14] and Hoedemakers [15].Define the process ... mean–reversioncoefficient α. There is both economical and empirical evidence for an explicit depen-dence on the maturity time in the volatility function (see Geman [13] and Eydeland and Wolynieck [10]). Other specifications ... Juselius, K (1990). Maximum likelihood estimation and inference on coin-tegration with applications to the demand for money, Oxford Bulletin of Economics and Statistics, pp. 169–210.May 12, 2010 17:47...