Nonparametric Estimation of Second-Order Jump-Diffusion Model

Authors Zhengyan Lin, Yu Ping Song, Hanchao Wang

Publication date 27 June 2011

Abstract: We study the nonparametric estimators of the infinitesimal coefficients of the second-order jump-diffusion models. Under the mild conditions, we obtain the weak consistency and the asymptotic normalities of the estimators.

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