4 papers
Bias Correction Estimation for Continuous-Time Asset Return Model with Jumps
Yuping Song, Ying Chen, Zhouwei Wang
In this paper, local linear estimators are adapted for the unknown infinitesimal coefficients associated with continuous-time asset return model with jumps, which can correct the b…
On Double Smoothed Volatility Estimation of Potentially Nonstationary Jump-Diffusion Model
Yuping Song
In this paper, we present the double smoothed nonparametric approach for infinitesimal conditional volatility of jump-diffusion model based on high frequency data. Under certain mi…
Local Nonparametric Estimation for Second-Order Jump-Diffusion Model Using Gamma Asymmetric Kernels
Yuping Song, Hanchao Wang
This paper discusses the local linear smoothing to estimate the unknown first and second infinitesimal moments in second-order jump-diffusion model based on Gamma asymmetric kernel…
Central Limit Theorems of Local Polynomial Threshold Estimators for Diffusion Processes with Jumps
Yuping Song, Hanchao Wang
Central limit theorems play an important role in the study of statistical inference for stochastic processes. However, when the nonparametric local polynomial threshold estimator,…