Nonparametric estimation of volatility function in the jump-diffusion model with noisy data

DOI10.1080/10485252.2020.1759599zbMath1465.62164OpenAlexW3017438295MaRDI QIDQ4987543

Yan-Yong Zhao, Xu-Guo Ye, Kong-Sheng Zhang

Publication date: 3 May 2021

Published in: Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10485252.2020.1759599

zbMATH Keywords

jump-diffusion processesmicrostructure noisevolatility functionnonparametric technique

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Diffusion processes (60J60)

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