Convoluted smoothed kernel estimation for drift coefficients in jump-diffusion models

Authors :: Kunyang Song
Yuping Song
Xiaochen Wang
Naiqi Liu
Source :: Communications in Statistics - Theory and Methods. 51:7354-7389
Publication Year :: 2021
Publisher :: Informa UK Limited, 2021.
Abstract: The occurrence of economic policies and other sudden and large shocks often bring out jumps in financial data, which can be characterized through continuous-time jump-diffusion model. In this paper...

Subjects :: Statistics and Probability
021103 operations research
media_common.quotation_subject
Jump diffusion
Kernel density estimation
0211 other engineering and technologies
02 engineering and technology
01 natural sciences
Interest rate
010104 statistics & probability
Econometrics
0101 mathematics
Computer Science::Databases
media_common
Mathematics

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