Quantile regression estimation for discretely observed SDE models with compound Poisson jumps

Jungsik Noh, Seung Y. Lee and Sangyeol Lee

Economics Letters, 2012, vol. 117, issue 3, 734-738

Abstract: This paper proposes a quantile regression estimator for the diffusion parameter in diffusion processes with compound Poisson jumps. The method is based on discretely sampled observations at high frequency. We verify its consistency and exhibit its robustness to jumps through a simulation study.

Keywords: Quantile regression estimator; Jump diffusion process; Compound Poisson jumps; Discretely observed sample; Consistency (search for similar items in EconPapers)
JEL-codes: C13 C4 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:117:y:2012:i:3:p:734-738

DOI: 10.1016/j.econlet.2011.12.067

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