Bandwidth selection of nonparametric threshold estimator in jump-diffusion models
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Cites work
- scientific article; zbMATH DE number 48952 (Why is no real title available?)
- scientific article; zbMATH DE number 1834045 (Why is no real title available?)
- Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models
- Discretization of processes.
- Empirical likelihood inference for diffusion processes with jumps
- Estimating the degree of activity of jumps in high frequency data
- Fully Nonparametric Estimation of Scalar Diffusion Models
- Is Brownian motion necessary to model high-frequency data?
- On estimating the diffusion coefficient from discrete observations
- On the continuity of local times of Borel right Markov processes
- On the functional estimation of jump-diffusion models.
- On the jump activity index for semimartingales
- Realized Laplace transforms for estimation of jump diffusive volatility models
- Reweighted Nadaraya-Watson estimation of jump-diffusion models
- Robust estimation and inference for jumps in noisy high frequency data: a local-to-continuity theory for the pre-averaging method
- Testing for jumps in a discretely observed process
- Threshold estimation of Markov models with jumps and interest rate modeling
Cited in
(15)- Threshold selection in jump-discriminant filter for discretely observed jump processes
- Bias free threshold estimation for jump intensity function
- Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models
- Nonparametric threshold estimation of spot volatility based on high-frequency data for time-dependent diffusion models with jumps
- Convoluted smoothed kernel estimation for drift coefficients in jump-diffusion models
- Data driven confidence intervals for diffusion process using double smoothing empirical likelihood
- Nonparametric two-step estimation of drift function in the jump-diffusion model with noisy data
- Estimating functions for jump-diffusions
- Double smoothed volatility estimation of potentially non-stationary jump-diffusion model of Shibor
- Computation and application of robust data-driven bandwidth selection for gradient function estimation
- Asymptotic normality of bias reduction estimation for jump intensity function in financial markets
- Nonparametric estimation of jump diffusion models
- Nonparametric estimation of volatility function in the jump-diffusion model with noisy data
- Variance reduction estimation for return models with jumps using gamma asymmetric kernels
- Threshold reweighted Nadaraya-Watson estimation of jump-diffusion models
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