Local Linear Estimation of Recurrent Jump—Diffusion Models
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Cites work
- scientific article; zbMATH DE number 2150787 (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 inference for diffusion processes with jumps
- Empirical likelihood-based inference for nonparametric recurrent diffusions
- Estimating stochastic volatility diffusion using conditional moments of integrated volatility
- Fully Nonparametric Estimation of Scalar Diffusion Models
- Local linear regression smoothers and their minimax efficiencies
- Mesure invariante sur les classes r�currentes des processus de Markov
- Multivariate locally weighted least squares regression
- On estimating the diffusion coefficient from discrete observations
- On the functional estimation of jump-diffusion models.
- Optimal global rates of convergence for nonparametric regression
- Reweighted Nadaraya-Watson estimation of jump-diffusion models
- Testing for jumps in a discretely observed process
- Threshold estimation of Markov models with jumps and interest rate modeling
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Variable bandwidth and local linear regression smoothers
Cited in
(20)- Bias free threshold estimation for jump intensity function
- Nonparametric estimation of periodic signal disturbed by α-stable noises
- Local M-estimation for jump-diffusion processes
- Local SIML estimation of some Brownian and jump functionals under market micro-structure noise
- Local Linear Approximations of Jump Diffusion Processes
- On the functional estimation of jump-diffusion models.
- A nonparametric approach to the estimation of jump-diffusion models with asymmetric kernels
- Nonparametric Gaussian inference for stable processes
- Bias correction estimation for a continuous-time asset return model with jumps
- Double smoothed volatility estimation of potentially non-stationary jump-diffusion model of Shibor
- Estimation of state-dependent jump activity and drift for Markovian semimartingales
- Local linear estimation of jump-diffusion models by using asymmetric kernels
- Nonparametric estimation of jump diffusion models
- Local linear estimation of second-order jump-diffusion model
- Bias reduction estimation for drift coefficient in diffusion models with jumps
- Non Parametric Estimation of Second-Order Diffusion Equation by Using Asymmetric Kernels
- Local linear estimator for stochastic differential equations driven by \(\alpha\)-stable Lévy motions
- Nonparametric estimation of volatility function in the jump-diffusion model with noisy data
- Reweighted functional estimation of diffusion models
- Local linear estimation of second-order diffusion models
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