Local Linear Estimation of Second-order Jump-diffusion Model

DOI10.1080/03610926.2013.788718zbMath1329.60278OpenAlexW2054211118MaRDI QIDQ3458130

Yingyu Chen, Zhang, Lixin

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 normalityweak consistencylocal linear estimationsecond-order jump-diffusion model

Mathematics Subject Classification ID

Related Items (5)

Convoluted smoothed kernel estimation for drift coefficients in jump-diffusion models ⋮ Variance reduction estimation for return models with jumps using gamma asymmetric kernels ⋮ Bias Correction Estimation for a Continuous‐Time Asset Return Model with Jumps ⋮ Nonparametric estimation of periodic signal disturbed by α-stable noises ⋮ Double Smoothed Volatility Estimation of Potentially Non‐stationary Jump‐diffusion Model of Shibor

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