Threshold estimation of Markov models with jumps and interest rate modeling

DOI10.1016/J.JECONOM.2010.03.019MaRDI QIDQ737264zbMATHOpenAlexFDO

Authors Cecilia Mancini, Roberto Renò

Publication date 10 August 2016

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2010.03.019

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(32)

• Local linear estimation of second-order jump-diffusion model
• Estimation of risk-neutral processes in single-factor jump-diffusion interest rate models
• Non-parametric adaptive estimation of the drift for a jump diffusion process
• Estimation of state-dependent jump activity and drift for Markovian semimartingales
• Threshold reweighted Nadaraya-Watson estimation of jump-diffusion models
• Estimating functions for jump-diffusions
• Estimation of the invariant density for discretely observed diffusion processes: impact of the sampling and of the asynchronicity
• Bias correction estimation for a continuous-time asset return model with jumps
• Jump robust two time scale covariance estimation and realized volatility budgets
• Nonparametric two-step estimation of drift function in the jump-diffusion model with noisy data
• A two-step estimation of diffusion processes using noisy observations
• Nonparametric threshold estimation of spot volatility based on high-frequency data for time-dependent diffusion models with jumps
• Local linear estimation of jump-diffusion models by using asymmetric kernels
• Estimation of the characteristics of a Lévy process
• Local Linear Estimation of Recurrent Jump—Diffusion Models
• Non parametric estimation of the diffusion coefficients of a diffusion with jumps
• Heteroscedasticity test of high-frequency data with jumps and market microstructure noise
• Sentiment-driven mean reversion in the 4/2 stochastic volatility model with jumps
• Bias free threshold estimation for jump intensity function
• On the nonparametric inference of coefficients of self-exciting jump-diffusion
• The role of the risk-neutral jump size distribution in single-factor interest rate models
• Bandwidth selection of nonparametric threshold estimator in jump-diffusion models
• Nonparametric estimation of volatility function in the jump-diffusion model with noisy data
• Spot volatility estimation using delta sequences
• Asymptotic normality of bias reduction estimation for jump intensity function in financial markets
• Likelihood-based estimation of a semiparametric time-dependent jump diffusion model of the short-term interest rate
• HOW LARGE IS THE JUMP DISCONTINUITY IN THE DIFFUSION COEFFICIENT OF A TIME-HOMOGENEOUS DIFFUSION?
• Jump-robust volatility estimation using dynamic dual-domain integration method
• Testing for jumps and jump intensity path dependence
• Estimation of volatility functions in jump diffusions using truncated bipower increments
• Bias reduction estimation for drift coefficient in diffusion models with jumps
• Nonparametric estimation of jump diffusion models

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