Nonparametric estimation of volatility function in the jump-diffusion model with noisy data

DOI10.1080/10485252.2020.1759599zbMath1465.62164OpenAlexW3017438295MaRDI QIDQ4987543

Yan-Yong Zhao, Xu-Guo Ye, Kong-Sheng Zhang

Publication date: 3 May 2021

Published in: Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10485252.2020.1759599

zbMATH Keywords

jump-diffusion processesmicrostructure noisevolatility functionnonparametric technique

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Diffusion processes (60J60)

Cites Work

• Unnamed Item
• Unnamed Item
• Estimating functions for noisy observations of ergodic diffusions
• Estimating the diffusion coefficient function for a diversified world stock index
• Empirical likelihood inference for diffusion processes with jumps
• Threshold estimation of Markov models with jumps and interest rate modeling
• On the jump activity index for semimartingales
• Estimating the degree of activity of jumps in high frequency data
• On the functional estimation of jump-diffusion models.
• Estimation and test of jump discontinuities in varying coefficient models with empirical applications
• Bandwidth selection of nonparametric threshold estimator in jump-diffusion models
• Non parametric estimation of the diffusion coefficients of a diffusion with jumps
• An application of nonparametric volatility estimators to option pricing
• Testing for pure-jump processes for high-frequency data
• Microstructure noise in the continuous case: the pre-averaging approach
• Jump-detection-based estimation in time-varying coefficient models and empirical applications
• Pre-averaged kernel estimators for the drift function of a diffusion process in the presence of microstructure noise
• Non-parametric adaptive estimation of the drift for a jump diffusion process
• Penalized nonparametric mean square estimation of the coefficients of diffusion processes
• Efficient estimation of integrated volatility in presence of infinite variation jumps
• A Theory of the Term Structure of Interest Rates
• Nonparametric estimation of diffusions: a differential equations approach
• Parameter estimation by contrast minimization for noisy observations of a diffusion process
• Estimating the Jump Activity Index Under Noisy Observations Using High-Frequency Data
• NONPARAMETRIC ESTIMATION OF THE DIFFUSION COEFFICIENT OF STOCHASTIC VOLATILITY MODELS
• On estimating the diffusion coefficient from discrete observations
• A Reexamination of Diffusion Estimators With Applications to Financial Model Validation
• Diffusions with measurement errors. II. Optimal estimators
• A two-step estimation of diffusion processes using noisy observations
• Central Limit Theorems of Local Polynomial Threshold Estimator for Diffusion Processes with Jumps
• Nonparametric Pricing of Interest Rate Derivative Securities
• Local Linear Estimation of Recurrent Jump—Diffusion Models
• Estimating functions for diffusion-type processes
• Volatility estimation from short time series of stock prices
• Fully Nonparametric Estimation of Scalar Diffusion Models
• Local Linear Estimation of Jump-Diffusion Models by Using Asymmetric Kernels
• A Tale of Two Time Scales
• Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models

This page was built for publication: Nonparametric estimation of volatility function in the jump-diffusion model with noisy data