Quantile regression estimation for discretely observed SDE models with compound Poisson jumps
From MaRDI portal
Publication:2440438
DOI10.1016/j.econlet.2011.12.067zbMath1283.62070MaRDI QIDQ2440438
Publication date: 18 March 2014
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2011.12.067
consistency; jump diffusion process; discretely observed sample; quantile regression estimator; compound Poisson jumps
62G05: Nonparametric estimation
62G30: Order statistics; empirical distribution functions
60J60: Diffusion processes
Related Items
Monitoring parameter change for time series models with application to location-Scale heteroscedastic models, Self-weighted quantile regression estimation for diffusion parameter in jump-diffusion models
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese yuan
- Parameter estimation and bias correction for diffusion processes
- Estimation of parameters for diffusion processes with jumps from discrete observations
- Ergodicity and exponential \(\beta\)-mixing bounds for multidimensional diffusions with jumps
- Jump diffusion processes and their applications in insurance and finance
- Testing for jumps in a discretely observed process
- On the estimation of the diffusion coefficient for multi-dimensional diffusion processes
- Limiting distributions for \(L_1\) regression estimators under general conditions
- A Theory of the Term Structure of Interest Rates
- Conditional Quantile Estimation for Generalized Autoregressive Conditional Heteroscedasticity Models
- Regression Quantiles
- Estimation of an Ergodic Diffusion from Discrete Observations
- Quantile Regression Estimator for GARCH Models
- An equilibrium characterization of the term structure
- Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach