NONPARAMETRIC ESTIMATION FOR SECOND-ORDER JUMP-DIFFUSION MODEL IN HIGH FREQUENCY DATA

Yuping Song ()
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Yuping Song: School of Finance and Business, Shanghai Normal University, Shanghai, 200234, P. R. China

The Singapore Economic Review (SER), 2020, vol. 65, issue 04, 1033-1063

Abstract: We provide the nonparametric estimators of the infinitesimal coefficients of the second-order continuous-time models with discontinuous sample paths of jump-diffusion models. Under the mild conditions, we obtain the weak consistency and the asymptotic normality of the estimators. A Monte Carlo experiment demonstrates the better small-sample performance of these estimators. In addition, the estimators are illustrated empirically through stock index of Shanghai Stock Exchange in high frequency data.

Keywords: High frequency; second-order jump-diffusion; Nadaraya–Watson estimator; weak consistency; asymptotic normality (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1142/S0217590817500102

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