Double-smoothed drift estimation of jump-diffusion model

DOI10.1080/03610926.2015.1078479zbMATH Open1368.62237OpenAlexW2387598915MaRDI QIDQ4976281FDOQ4976281

Authors: Likai Zhou 

Publication date: 27 July 2017

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2015.1078479

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zbMATH Keywords

local timejump-diffusion modelcontinuous time modeldrift estimationdouble-smoothed

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05)

Cites Work

• The pricing of options and corporate liabilities
• Option pricing when underlying stock returns are discontinuous
• Title not available (Why is that?)
• On the functional estimation of jump-diffusion models.
• On estimating the diffusion coefficient from discrete observations
• Fully Nonparametric Estimation of Scalar Diffusion Models
• A Reexamination of Diffusion Estimators With Applications to Financial Model Validation
• The surprise element: Jumps in interest rates.
• Nonparametric estimation of second-order stochastic differential equations
• Local linear estimation of second-order diffusion models
• Empirical likelihood inference for diffusion processes with jumps
• Invariance principles for martingales and sums of independent random variables
• Strong approximation of locally square-integrable martingales
• Reweighted Nadaraya-Watson estimation of jump-diffusion models
• Local linear estimation of jump-diffusion models by using asymmetric kernels

Cited In (7)

• Nonparametric range-based double smoothing spot volatility estimation for diffusion models
• Convoluted smoothed kernel estimation for drift coefficients in jump-diffusion models
• Nonparametric two-step estimation of drift function in the jump-diffusion model with noisy data
• Estimating functions for jump-diffusions
• Double smoothed volatility estimation of potentially non-stationary jump-diffusion model of Shibor
• The optimal-drift model: an accelerated binomial scheme
• Title not available (Why is that?)

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