Bandwidth selection of nonparametric threshold estimator in jump-diffusion models

DOI10.1016/j.camwa.2016.11.011zbMath1368.62236OpenAlexW2557956804MaRDI QIDQ2013803

Likai Zhou, Han Chao Wang

Publication date: 9 August 2017

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2016.11.011

zbMATH Keywords

kernel estimatorslocal timebandwidth selectionjump-diffusionthreshold estimation

Mathematics Subject Classification ID

Related Items (10)

Convoluted smoothed kernel estimation for drift coefficients in jump-diffusion models ⋮ Nonparametric two-step estimation of drift function in the jump-diffusion model with noisy data ⋮ Variance reduction estimation for return models with jumps using gamma asymmetric kernels ⋮ Data driven confidence intervals for diffusion process using double smoothing empirical likelihood ⋮ Estimating functions for jump-diffusions ⋮ Computation and application of robust data-driven bandwidth selection for gradient function estimation ⋮ Nonparametric estimation of volatility function in the jump-diffusion model with noisy data ⋮ Bias free threshold estimation for jump intensity function ⋮ Nonparametric threshold estimation of spot volatility based on high-frequency data for time-dependent diffusion models with jumps ⋮ Double Smoothed Volatility Estimation of Potentially Non‐stationary Jump‐diffusion Model of Shibor

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