Double Smoothed Volatility Estimation of Potentially Non‐stationary Jump‐diffusion Model of Shibor
From MaRDI portal
Publication:5030951
DOI10.1111/jtsa.12592zbMath1493.62591OpenAlexW3161588283MaRDI QIDQ5030951
Zheng Yan Lin, Weijie Hou, Yu Ping Song
Publication date: 18 February 2022
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/jtsa.12592
consistency and asymptotic normalitybias and variance reductiondiffusion models with jumpsinfinitesimal conditional momentnon-stationary high frequency financial data
Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05) Interest rates, asset pricing, etc. (stochastic models) (91G30)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Local \(M\)-estimation for jump-diffusion processes
- Jump tails, extreme dependencies, and the distribution of stock returns
- Empirical likelihood inference for diffusion processes with jumps
- Estimation of parameters for diffusion processes with jumps from discrete observations
- Invariance principles for martingales and sums of independent random variables
- On the functional estimation of jump-diffusion models.
- Strong approximation of locally square-integrable martingales
- Reweighted Nadaraya-Watson estimation of jump-diffusion models
- Bandwidth selection of nonparametric threshold estimator in jump-diffusion models
- Local Linear Estimation of Second-Order Diffusion Models
- Local Linear Estimation of Second-order Jump-diffusion Model
- Financial Modelling with Jump Processes
- Local Linear Estimation of Recurrent Jump—Diffusion Models
- Double-smoothed drift estimation of jump-diffusion model
- Nonparametric Transition-Based Tests for Jump Diffusions
- Dynamic Integration of Time- and State-Domain Methods for Volatility Estimation
- Fully Nonparametric Estimation of Scalar Diffusion Models
- Local Linear Estimation of Jump-Diffusion Models by Using Asymmetric Kernels
- Nonparametric localized bandwidth selection for Kernel density estimation
