Double smoothed volatility estimation of potentially non-stationary jump-diffusion model of Shibor (Q5030951)
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scientific article; zbMATH DE number 7476227
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| English | Double smoothed volatility estimation of potentially non-stationary jump-diffusion model of Shibor |
scientific article; zbMATH DE number 7476227 |
Statements
Double Smoothed Volatility Estimation of Potentially Non‐stationary Jump‐diffusion Model of Shibor (English)
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18 February 2022
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diffusion models with jumps
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infinitesimal conditional moment
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consistency and asymptotic normality
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bias and variance reduction
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non-stationary high frequency financial data
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0.7938975691795349
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0.7836447358131409
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0.7806145548820496
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0.7680014967918396
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0.7641624212265015
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