A nonparametric approach to the estimation of jump-diffusion models with asymmetric kernels
作者： Muhammad Hanif , Zudi Lu
DOI: 10.1080/23311835.2016.1179247
关键词:
摘要: This paper presents the nonparametric estimation of first and second infinitesimal moments underlying jump-diffusion model with asymmetric kernel functions. In particular, we use estimators characterized by gamma distribution. approach allows to conciliate idea using models. We show that proposed are consistent asymptotically follow normal distribution under conditions recurrence stationarity.
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