Local linear estimation of second-order jump-diffusion model

DOI10.1080/03610926.2013.788718MaRDI QIDQ3458130zbMATH OpenOpenAlexFDO

Authors Yingyu Chen, Lixin Zhang

Publication date 8 December 2015

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2013.788718

zbMATH Keywords

asymptotic normalitylocal linear estimationsecond-order jump-diffusion modelweak consistency

Mathematics Subject Classification ID

Diffusion processes (60J60) Nonparametric tolerance and confidence regions (62G15) Markov processes: estimation; hidden Markov models (62M05)

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Cites work

• A Reexamination of Diffusion Estimators With Applications to Financial Model Validation
• Approximate discrete-time schemes for statistics of diffusion processes
• Choosing a kernel regression estimator. With comments and a rejoinder by the authors
• 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
• Estimation of parameters for diffusion processes with jumps from discrete observations
• Fully Nonparametric Estimation of Scalar Diffusion Models
• Inference for Observations of Integrated Diffusion Processes
• Local Linear Estimation of Recurrent Jump—Diffusion Models
• Local linear estimation of second-order diffusion models
• Local linear regression smoothers and their minimax efficiencies
• Nonparametric estimation of second-order stochastic differential equations
• On the functional estimation of jump-diffusion models.
• Probability inequalities.
• Re-weighted functional estimation of second-order diffusion processes
• Reweighted functional estimation of diffusion models
• Threshold estimation of Markov models with jumps and interest rate modeling

Cited in

(14)

• Re-weighted functional estimation of second-order diffusion processes
• Empirical likelihood inference for the second-order jump-diffusion model
• Local SIML estimation of some Brownian and jump functionals under market micro-structure noise
• Variance reduction estimation for return models with jumps using gamma asymmetric kernels
• Local linear estimation of second-order diffusion models
• Bias correction estimation for a continuous-time asset return model with jumps
• Local M-estimation for jump-diffusion processes
• Local Linear Estimation of Recurrent Jump—Diffusion Models
• Nonparametric estimation of periodic signal disturbed by α-stable noises
• Double smoothed volatility estimation of potentially non-stationary jump-diffusion model of Shibor
• Convoluted smoothed kernel estimation for drift coefficients in jump-diffusion models
• Local Linear Approximations of Jump Diffusion Processes
• Local linear estimation of jump-diffusion models by using asymmetric kernels
• Asymptotic normality of bias reduction estimation for jump intensity function in financial markets

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