Joint estimation for volatility and drift parameters of ergodic jump diffusion processes via contrast function (Q2040941)
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scientific article
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| English | Joint estimation for volatility and drift parameters of ergodic jump diffusion processes via contrast function |
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Joint estimation for volatility and drift parameters of ergodic jump diffusion processes via contrast function (English)
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15 July 2021
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drift estimation
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volatility estimation
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ergodic properties
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high frequency data
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Lévy-driven SDE
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thresholding methods
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0.9463242292404176
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0.8444105386734009
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0.8266100287437439
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0.8232296705245972
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0.8171448707580566
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