Empirical likelihood inference for diffusion processes with jumps
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Cites work
- scientific article; zbMATH DE number 3723610 (Why is no real title available?)
- scientific article; zbMATH DE number 1245556 (Why is no real title available?)
- scientific article; zbMATH DE number 2006037 (Why is no real title available?)
- scientific article; zbMATH DE number 1515832 (Why is no real title available?)
- scientific article; zbMATH DE number 1834045 (Why is no real title available?)
- A Reexamination of Diffusion Estimators With Applications to Financial Model Validation
- Empirical likelihood confidence intervals for local linear smoothers
- Empirical likelihood estimation of discretely sampled processes of OU type
- Empirical likelihood methods in econometrics: theory and practice
- Empirical likelihood ratio confidence intervals for a single functional
- Empirical likelihood ratio confidence regions
- Empirical likelihood-based inference for nonparametric recurrent diffusions
- Fully Nonparametric Estimation of Scalar Diffusion Models
- Mesure invariante sur les classes r�currentes des processus de Markov
- On the functional estimation of jump-diffusion models.
- Reweighted functional estimation of diffusion models
- Testing for jumps in a discretely observed process
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
Cited in
(21)- Local linear estimation of second-order jump-diffusion model
- Threshold reweighted Nadaraya-Watson estimation of jump-diffusion models
- Data driven confidence intervals for diffusion process using double smoothing empirical likelihood
- Local linear estimation of jump-diffusion models by using asymmetric kernels
- A practical inference for discretely observed jump-diffusions from finite samples
- Local Linear Estimation of Recurrent Jump—Diffusion Models
- Double smoothed volatility estimation of potentially non-stationary jump-diffusion model of Shibor
- Bias free threshold estimation for jump intensity function
- Empirical Likelihood Inference for Nonparametric Regression Functions with Functional Stationary Ergodic Data
- Bandwidth selection of nonparametric threshold estimator in jump-diffusion models
- Nonparametric estimation of volatility function in the jump-diffusion model with noisy data
- Empirical likelihood based inference for second-order diffusion models
- Convoluted smoothed kernel estimation for drift coefficients in jump-diffusion models
- Asymptotic normality of bias reduction estimation for jump intensity function in financial markets
- Empirical likelihood inference for the second-order jump-diffusion model
- Reweighted Nadaraya-Watson estimation of jump-diffusion models
- A bootstrap likelihood approach to Bayesian computation
- Double-smoothed drift estimation of jump-diffusion model
- Empirical likelihood-based inference for nonparametric recurrent diffusions
- Bias reduction estimation for drift coefficient in diffusion models with jumps
- A nonparametric approach to the estimation of jump-diffusion models with asymmetric kernels
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