2 citations · 3 across the 8 of their papers we have counts for
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math.ST2018
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…
math.ST2018
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…