Estimating Latent Variables and Jump Diffusion Models Using High Frequency Data

2006 ◽  
Author(s):  
George J. Jiang ◽  
Roel C. A. Oomen
Keyword(s):  
High Frequency ◽  
Latent Variables ◽  
Jump Diffusion ◽  
Diffusion Models ◽  
High Frequency Data ◽  
Frequency Data

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

2017 ◽  
Vol 65 (04) ◽  
pp. 1033-1063 ◽  
Author(s):  
YUPING SONG
Keyword(s):  
High Frequency ◽  
Jump Diffusion ◽  
Small Sample ◽  
Second Order ◽  
Stock Index ◽  
High Frequency Data ◽  
Monte Carlo Experiment ◽  
Frequency Data ◽  
Sample Paths ◽  
Jump Diffusion Model

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.

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