Asymptotic properties for spot volatility estimation of diffusions with compound Poisson jumps

DOI10.13548/J.SXZZ.20170526.001MaRDI QIDQ4640668zbMATH OpenFDO

Authors Yingying Chen, Hui Jiang

Publication date 25 May 2018

Full work available at URL https://doi.org/10.13548/J.SXZZ.20170526.001

zbMATH Keywords

asymptotic normalitycompound Poisson processdiffusion processmoderate deviationsspot volatilitythreshold criterion

Mathematics Subject Classification ID

Diffusion processes (60J60) Asymptotic properties of parametric estimators (62F12)

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• Nonparametric threshold estimation of spot volatility based on high-frequency data for time-dependent diffusion models with jumps
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Cited in

(3)

• Large deviations of the threshold estimator of integrated (co-)volatility vector in the presence of jumps
• Nonparametric threshold estimation of spot volatility based on high-frequency data for time-dependent diffusion models with jumps
• Moderate deviations for estimators of quadratic variational process of diffusion with compound Poisson jumps

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