Empirical likelihood inference for diffusion processes with jumps

DOI10.1007/S11425-010-4027-2zbMATH Open1208.62129OpenAlexW1971633228MaRDI QIDQ625786FDOQ625786

Authors: Zhengyan Lin, Hanchao Wang 

Publication date: 25 February 2011

Published in: Science China. Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11425-010-4027-2

Recommendations

• Empirical likelihood inference for the second-order jump-diffusion model
• Empirical likelihood based inference for second-order diffusion models
• Empirical likelihood-based inference for nonparametric recurrent diffusions
• Confidence interval of the jump activity index based on empirical likelihood using high frequency data
• Data driven confidence intervals for diffusion process using double smoothing empirical likelihood

zbMATH Keywords

jump-diffusion modelN-W estimator

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05) Nonparametric tolerance and confidence regions (62G15) Diffusion processes (60J60)

Cites Work

• Empirical likelihood ratio confidence regions
• Empirical likelihood ratio confidence intervals for a single functional
• Title not available (Why is that?)
• Title not available (Why is that?)
• Testing for jumps in a discretely observed process
• Title not available (Why is that?)
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Title not available (Why is that?)
• On the functional estimation of jump-diffusion models.
• Title not available (Why is that?)
• Fully Nonparametric Estimation of Scalar Diffusion Models
• Empirical likelihood confidence intervals for local linear smoothers
• Empirical likelihood methods in econometrics: theory and practice
• A Reexamination of Diffusion Estimators With Applications to Financial Model Validation
• Empirical likelihood-based inference for nonparametric recurrent diffusions
• Mesure invariante sur les classes r�currentes des processus de Markov
• Empirical likelihood estimation of discretely sampled processes of OU type
• Reweighted functional estimation of diffusion models

Cited In (20)

• Bias free threshold estimation for jump intensity function
• A bootstrap likelihood approach to Bayesian computation
• Double Smoothed Volatility Estimation of Potentially Non‐stationary Jump‐diffusion Model of Shibor
• Convoluted smoothed kernel estimation for drift coefficients in jump-diffusion models
• Double-smoothed drift estimation of jump-diffusion model
• Data driven confidence intervals for diffusion process using double smoothing empirical likelihood
• Local Linear Estimation of Recurrent Jump—Diffusion Models
• Bandwidth selection of nonparametric threshold estimator in jump-diffusion models
• A nonparametric approach to the estimation of jump-diffusion models with asymmetric kernels
• Empirical likelihood inference for the second-order jump-diffusion model
• Reweighted Nadaraya-Watson estimation of jump-diffusion models
• Local linear estimation of jump-diffusion models by using asymmetric kernels
• A practical inference for discretely observed jump-diffusions from finite samples
• Asymptotic normality of bias reduction estimation for jump intensity function in financial markets
• Bias reduction estimation for drift coefficient in diffusion models with jumps
• Local linear estimation of second-order jump-diffusion model
• Empirical Likelihood Inference for Nonparametric Regression Functions with Functional Stationary Ergodic Data
• Nonparametric estimation of volatility function in the jump-diffusion model with noisy data
• Threshold reweighted Nadaraya-Watson estimation of jump-diffusion models
• Empirical likelihood-based inference for nonparametric recurrent diffusions

This page was built for publication: Empirical likelihood inference for diffusion processes with jumps

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q625786)