Convoluted smoothed kernel estimation for drift coefficients in jump-diffusion models

2021 ◽  
pp. 1-35
Author(s):  
Naiqi Liu ◽  
Kunyang Song ◽  
Yuping Song ◽  
Xiaochen Wang
Keyword(s):  
Kernel Estimation ◽  
Jump Diffusion ◽  
Diffusion Models ◽  
Smoothed Kernel

scholarly journals ESTIMATION OF VOLATILITY FUNCTIONS IN JUMP DIFFUSIONS USING TRUNCATED BIPOWER INCREMENTS

2020 ◽  
pp. 1-33
Author(s):  
Jihyun Kim ◽  
Joon Y. Park ◽  
Bin Wang
Keyword(s):  
Kernel Estimation ◽  
Jump Diffusion ◽  
Sampling Interval ◽  
Diffusion Models ◽  
Time Span ◽  
Estimation Technique ◽  
Jump Diffusions ◽  
Empirical Analyses

In this article, we introduce and analyze a new methodology to estimate the volatility functions of jump diffusion models. Our methodology relies on the standard kernel estimation technique using truncated bipower increments. The relevant asymptotics are fully developed, allowing for the time span to increase as well as the sampling interval to decrease, and accommodate both stationary and nonstationary recurrent processes. We evaluate the performance of our estimators by simulation and provide some illustrative empirical analyses.

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