Nonparametric estimation of jump diffusion models
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Publication:2024442
DOI10.1016/j.jeconom.2020.07.020zbMath1471.62450OpenAlexW3080666003MaRDI QIDQ2024442
Publication date: 4 May 2021
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2020.07.020
asymptoticslocal timeLévy measurenonparametric estimationdriftthreshold estimationoptimal bandwidthjump diffusiondiffusive and jump volatility
Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60)
Related Items
Testing for the presence of jump components in jump diffusion models ⋮ Bias reduction estimation for drift coefficient in diffusion models with jumps
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