Convoluted smoothed kernel estimation for drift coefficients in jump-diffusion models-Reference-Cited by-同舟云学术

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

Published:2021-01-18 Issue: Volume: Page:1-35
ISSN:0361-0926
Container-title:Communications in Statistics - Theory and Methods
language:en
Short-container-title:Communications in Statistics - Theory and Methods

Author:

Liu Naiqi¹,Song Kunyang²,Song Yuping³,Wang Xiaochen⁴

Affiliation:

1. School of Mathematics, Shandong University, Jinan, China

2. Zhongtai Securities Institute for Financial Studies, Shandong University, Jinan, China

3. School of Finance and Business, Shanghai Normal University, Shanghai, China

4. College of Mathematics and Sciences, Shanghai Normal University, Shanghai, China

Funder

National Natural Science Foundation of China

Ministry of Education, Humanities and Social Sciences project

National Statistical Science Research Project

Youth Academic Backbone Cultivation Project of Shanghai Normal University

General Research Fund of Shanghai Normal University

Key Subject of Quantitative Economics

Academic Innovation Team

Publisher

Informa UK Limited

Subject

Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/03610926.2021.1872641

Reference36 articles.

1. Andersen, T., L. Benzoni, and J. Lund. 2004. Stochastic volatility, mean drift, and jumps in the short-term interest rate. Working paper. https://www.researchgate.net/publication/228793214

2. Mesure invariante sur les classes r�currentes des processus de Markov

3. On the functional estimation of jump–diffusion models

4. Fully Nonparametric Estimation of Scalar Diffusion Models

5. The Pricing of Options and Corporate Liabilities

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