Double smoothed volatility estimation of potentially non-stationary jump-diffusion model of Shibor

DOI10.1111/JTSA.12592zbMATH Open1493.62591OpenAlexW3161588283MaRDI QIDQ5030951FDOQ5030951

Authors: Weijie Hou, Zhengyan Lin, Yu Ping Song 

Publication date: 18 February 2022

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12592

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zbMATH Keywords

consistency and asymptotic normalitybias and variance reductiondiffusion models with jumpsinfinitesimal conditional momentnon-stationary high frequency financial data

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

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• Strong approximation of locally square-integrable martingales
• Reweighted Nadaraya-Watson estimation of jump-diffusion models
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• Local linear estimation of jump-diffusion models by using asymmetric kernels

Cited In (3)

• Double-smoothed drift estimation of jump-diffusion model
• Jump-robust volatility estimation using dynamic dual-domain integration method
• Efficient estimation for the volatility of stochastic interest rate models

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