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

DOI10.1111/JTSA.12592MaRDI QIDQ5030951zbMATH OpenOpenAlexFDO

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

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)

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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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