In this paper, we consider alternative approaches to the estimation of Itˆo diffusion processes from discretely sampled observations. Based on Monte Carlo simulation, we investigate the finite sample properties of various estimators and in particular compare the performance of the nonparametric...

This paper develops a method to select the threshold in threshold-based jump detection methods. The method is motivated by an analysis of threshold-based jump detection methods in the context of jump-diffusion models. We show that over the range of sampling frequencies a researcher is most...