A nonparametric approach to the estimation of jump-diffusion models with asymmetric kernels

DOI10.1080/23311835.2016.1179247zbMath1426.62243OpenAlexW2338968327MaRDI QIDQ4966763

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Publication date: 27 June 2019

Published in: Cogent Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/23311835.2016.1179247

zbMATH Keywords

stochastic differential equationlocal timenonparametric estimationjump-diffusion modelHarris recurrencegamma Nadaraya-Watson estimators

Mathematics Subject Classification ID

Related Items (2)

Variance reduction estimation for return models with jumps using gamma asymmetric kernels ⋮ Bias free threshold estimation for jump intensity function

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