Reweighted Nadaraya-Watson estimation of jump-diffusion models
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- scientific article; zbMATH DE number 6795099
- Nonparametric estimation of jump diffusion models
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Cites work
- scientific article; zbMATH DE number 991833 (Why is no real title available?)
- scientific article; zbMATH DE number 3723610 (Why is no real title available?)
- scientific article; zbMATH DE number 2006037 (Why is no real title available?)
- scientific article; zbMATH DE number 1515832 (Why is no real title available?)
- scientific article; zbMATH DE number 2150787 (Why is no real title available?)
- A Reexamination of Diffusion Estimators With Applications to Financial Model Validation
- A YIELD‐FACTOR MODEL OF INTEREST RATES
- Empirical likelihood inference for diffusion processes with jumps
- Empirical likelihood-based inference for nonparametric recurrent diffusions
- Fully Nonparametric Estimation of Scalar Diffusion Models
- Intentionally Biased Bootstrap Methods
- Invariant measure for diffusions with jumps
- Mesure invariante sur les classes r�currentes des processus de Markov
- Methods for Estimating a Conditional Distribution Function
- Nonparametric kernel regression subject to monotonicity constraints
- On estimating the diffusion coefficient from discrete observations
- On the functional estimation of jump-diffusion models.
- On the functional estimation of multivariate diffusion processes
- Reweighted functional estimation of diffusion models
- Testing for jumps in a discretely observed process
- Weighted Nadaraya-Watson regression estimation
Cited in
(18)- Bias free threshold estimation for jump intensity function
- Convoluted smoothed kernel estimation for drift coefficients in jump-diffusion models
- Double-smoothed drift estimation of jump-diffusion model
- Re-weighted functional estimation of second-order diffusion processes
- Local Linear Estimation of Recurrent Jump—Diffusion Models
- Nonparametric two-step estimation of drift function in the jump-diffusion model with noisy data
- Non parametric estimation of the diffusion coefficients of a diffusion with jumps
- Bandwidth selection of nonparametric threshold estimator in jump-diffusion models
- Nadaraya-Watson estimators for reflected stochastic processes
- A nonparametric approach to the estimation of jump-diffusion models with asymmetric kernels
- Self-weighted quantile regression estimation for diffusion parameter in jump-diffusion models
- Double smoothed volatility estimation of potentially non-stationary jump-diffusion model of Shibor
- Local linear estimation of jump-diffusion models by using asymmetric kernels
- Asymptotic normality of bias reduction estimation for jump intensity function in financial markets
- Reweighted Nadaraya-Watson estimation of stochastic volatility jump-diffusion models
- Bias reduction estimation for drift coefficient in diffusion models with jumps
- Threshold reweighted Nadaraya-Watson estimation of jump-diffusion models
- Reweighted functional estimation of diffusion models
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