Nonparametric two-step estimation of drift function in the jump-diffusion model with noisy data
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Cites work
- A two-step estimation of diffusion processes using noisy observations
- Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models
- Bandwidth selection of nonparametric threshold estimator in jump-diffusion models
- Efficient estimation of integrated volatility in presence of infinite variation jumps
- Financial Modelling with Jump Processes
- Fully Nonparametric Estimation of Scalar Diffusion Models
- scientific article; zbMATH DE number 2006037 (Why is no real title available?)
- Local linear estimation of jump-diffusion models by using asymmetric kernels
- Microstructure noise in the continuous case: the pre-averaging approach
- Non parametric estimation of the diffusion coefficients of a diffusion with jumps
- Non-parametric adaptive estimation of the drift for a jump diffusion process
- Non-parametric drift estimation for diffusions from noisy data
- Non-parametric threshold estimation for models with stochastic diffusion coefficient and jumps
- Nonparametric drift estimation from ergodic samples
- Nonparametric Pricing of Interest Rate Derivative Securities
- Nonparametric Sequential Minimax Estimation of the Drift Coefficient in Diffusion Processes
- On estimating the diffusion coefficient from discrete observations
- On the functional estimation of jump-diffusion models.
- Parameter estimation by contrast minimization for noisy observations of a diffusion process
- Penalized nonparametric drift estimation for a continuously observed one-dimensional diffusion process
- Penalized nonparametric mean square estimation of the coefficients of diffusion processes
- Pre-averaged kernel estimators for the drift function of a diffusion process in the presence of microstructure noise
- Reversible jump MCMC for nonparametric drift estimation for diffusion processes
- Reweighted Nadaraya-Watson estimation of jump-diffusion models
- Sharp adaptive estimation of the drift function for ergodic diffusions
- Testing for jumps in a discretely observed process
- Testing for pure-jump processes for high-frequency data
- Threshold estimation of Markov models with jumps and interest rate modeling
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