2 citations · 3 across the 8 of their papers we have counts for
8 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…
Discretization Error of Stochastic Iterated Integrals
Yuping Song, Hanchao Wang
In this paper, the weak convergence about the discretization error of stochastic iterated integrals in the Skorohod sense are studied, while the integrands and integrators of itera…
One-step Local M-estimator for Integrated Jump-Diffusion Models
Yuping Song, Hanchao Wang
In this paper, robust nonparametric estimators, instead of local linear estimators, are adapted for infinitesimal coefficients associated with integrated jump-diffusion models to a…
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,…
Local linear estimator for stochastic differential equations driven by -stable Lévy motions
Song Yu-Ping, Lin Zheng-Yan
We study the local linear estimator for the drift coefficient of stochastic differential equations driven by -stable Lévy motions observed at discrete instants letting $T \right…
Nonparametric Estimation of Second-Order Jump-Diffusion Model
Zheng-Yan Lin, Yu-Ping Song, Han-Chao Wang
We study the nonparametric estimators of the infinitesimal coefficients of the second-order jump-diffusion models. Under the mild conditions, we obtain the weak consistency and the…