Nonparametric estimation of jump diffusion models
Joon Y. Park, Bin Wang
| Year of publication: |
2021
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|---|---|
| Authors: | Park, Joon Y. ; Wang, Bin |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 222.2021, 1,3, p. 688-715
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| Subject: | Asymptotics | Diffusive and jump volatility | Drift | Jump diffusion | Lévy measure | Local time | Nonparametric estimation | Optimal bandwidth | Threshold estimation | Volatilität | Volatility | Nichtparametrisches Verfahren | Nonparametric statistics | Schätztheorie | Estimation theory | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2020.07.020 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012619778