Self-weighted quantile regression estimation for diffusion parameter in jump–diffusion models

Yuping Song, Chunchun Cai, Huijue Mao and Min Zhu

Statistics & Probability Letters, 2024, vol. 206, issue C

Abstract: The self-weighted quantile regression estimator for the diffusion parameter in diffusion models with jumps is proposed. The consistency of the underlying estimator is obtained. Moreover, the better finite-sample properties are verified through the Monte-Carlo simulation study and empirical analysis.

Keywords: Self-weighted quantile estimator; Diffusion parameter; Jump-diffusion model; Convergence in probability; Interest rate (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1016/j.spl.2023.110011

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