On the functional estimation of jump-diffusion models.
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Cites work
- scientific article; zbMATH DE number 3723610 (Why is no real title available?)
- scientific article; zbMATH DE number 1402217 (Why is no real title available?)
- scientific article; zbMATH DE number 3383329 (Why is no real title available?)
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Cited in
(72)- Bias free threshold estimation for jump intensity function
- Data-driven reconstruction of stochastic dynamical equations based on statistical moments
- A simple approach to the parametric estimation of potentially nonstationary diffusions
- Positive Harris recurrence and exponential ergodicity of the basic affine jump-diffusion
- Local \(M\)-estimation for jump-diffusion processes
- Comparison of jump-diffusion parameters using passage times estimation
- ELECTRICITY PRICES: A NONPARAMETRIC APPROACH
- Convoluted smoothed kernel estimation for drift coefficients in jump-diffusion models
- Double-smoothed drift estimation of jump-diffusion model
- Non parametric estimation of transition density for second-order diffusion processes
- Jump‐robust testing of volatility functions in continuous time models
- Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese yuan
- A multiplicative seasonal component in commodity derivative pricing
- Regulating stochastic clocks§
- Enhancing the accuracy of a data-driven reconstruction of bivariate jump-diffusion models with corrections for higher orders of the sampling interval
- Testing for jumps when asset prices are observed with noise -- a ``swap variance approach
- Efficient estimation and filtering for multivariate jump-diffusions
- Local Linear Estimation of Recurrent Jump—Diffusion Models
- Strong consistency of the kernel estimator of spot volatility for diffusion process
- Non-parametric threshold estimation for models with stochastic diffusion coefficient and jumps
- HOW LARGE IS THE JUMP DISCONTINUITY IN THE DIFFUSION COEFFICIENT OF A TIME-HOMOGENEOUS DIFFUSION?
- Nonparametric two-step estimation of drift function in the jump-diffusion model with noisy data
- Asymptotic inference for jump diffusions with state-dependent intensity
- On the complete consistency of the kernel estimator of spot volatility
- Bandwidth selection of nonparametric threshold estimator in jump-diffusion models
- Statistical specification of jumps under semiparametric semimartingale models
- A new technique to estimate the risk-neutral processes in jump-diffusion commodity futures models
- Likelihood-based estimation of a semiparametric time-dependent jump diffusion model of the short-term interest rate
- Data-driven inference for stationary jump-diffusion processes with application to membrane voltage fluctuations in pyramidal neurons
- G-M integrated type instantaneous volatility estimation
- Estimation of risk-neutral processes in single-factor jump-diffusion interest rate models
- On the nonparametric inference of coefficients of self-exciting jump-diffusion
- A nonparametric approach to the estimation of jump-diffusion models with asymmetric kernels
- Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
- Nonparametric Gaussian inference for stable processes
- Bias correction estimation for a continuous-time asset return model with jumps
- The jump size distribution of the commodity spot price and its effect on futures and option prices
- Estimating functions for jump-diffusions
- Empirical likelihood inference for diffusion processes with jumps
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- 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
- Asymptotic normality of bias reduction estimation for jump intensity function in financial markets
- NONPARAMETRIC STOCHASTIC VOLATILITY
- Structural estimation of jump-diffusion processes in macroeconomics
- The invariant distribution of wealth and employment status in a small open economy with precautionary savings
- Jump-robust volatility estimation using dynamic dual-domain integration method
- Spot volatility estimation using delta sequences
- Nonparametric estimation of jump diffusion models
- The risk-neutral stochastic volatility in interest rate models with jump-diffusion processes
- Adaptive nonparametric drift estimation of an integrated jump diffusion process
- Local linear estimation of second-order jump-diffusion model
- The role of the risk-neutral jump size distribution in single-factor interest rate models
- A note on Bayesian identification of change points in data sequences
- Bias reduction estimation for drift coefficient in diffusion models with jumps
- Threshold estimation of Markov models with jumps and interest rate modeling
- Econometric analysis of continuous time models: a survey of Peter Phillips's work and some new results
- 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
- Estimation of semiparametric locally stationary diffusion models
- Variance reduction estimation for return models with jumps using gamma asymmetric kernels
- Estimation of volatility functions in jump diffusions using truncated bipower increments
- Pre-averaged kernel estimators for the drift function of a diffusion process in the presence of microstructure noise
- Threshold reweighted Nadaraya-Watson estimation of jump-diffusion models
- Statistical inference for misspecified ergodic Lévy driven stochastic differential equation models
- Time-varying leverage effects
- Time-consistent mean-variance hedging of longevity risk: effect of cointegration
- Threshold bipower variation and the impact of jumps on volatility forecasting
- Estimation of stochastic volatility models by nonparametric filtering
- Empirical likelihood-based inference for nonparametric recurrent diffusions
- Testing whether the underlying continuous-time process follows a diffusion: an infinitesimal operator-based approach
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