Reweighted Nadaraya-Watson estimation of stochastic volatility jump-diffusion models

DOI10.1016/j.camwa.2024.09.029MaRDI QIDQ6647605

Shaolin Ji, Linlin Zhu

Publication date: 3 December 2024

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

zbMATH Keywords

asymptotic normalityjump-diffusion processstochastic volatility modelreweighted Nadaraya-Watson estimators

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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