Quantile regression estimation for discretely observed SDE models with compound Poisson jumps

DOI10.1016/j.econlet.2011.12.067zbMath1283.62070OpenAlexW2066928215MaRDI QIDQ2440438

Yanyan Li

Publication date: 18 March 2014

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2011.12.067

zbMATH Keywords

consistencyjump diffusion processdiscretely observed samplequantile regression estimatorcompound Poisson jumps

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Order statistics; empirical distribution functions (62G30) Diffusion processes (60J60)

Related Items (2)

Monitoring parameter change for time series models with application to location-Scale heteroscedastic models ⋮ Self-weighted quantile regression estimation for diffusion parameter in jump-diffusion models

Uses Software

• CAViaR

Cites Work

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