Asymptotic Inference for Jump Diffusions with State-Dependent Intensity
Author:
Affiliation:
1. DIAM; Delft University of Technology
2. Econometrics and Finance Group; Tilburg University
Publisher
Wiley
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/sjos.12189/fullpdf
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3. Statistical Models Based on Counting Processes
4. On the functional estimation of jump-diffusion models;Bandi;J. Econometrics,2003
5. Limit theorems for multi-power variation in the presence of jumps;Barndorff-Nielsen;Stochastic Process. Appl.,2006
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1. Estimating functions for jump–diffusions;Stochastic Processes and their Applications;2019-09
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