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Kim, Jihyun
, Park, Joon and Wang, Bin
(2020)
Estimation of Volatility Functions in Jump Diffusions Using Truncated Bipower Increments.
TSE Working Paper, n. 20-1096, Toulouse
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Abstract
In the paper, 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, which allow 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.
| Item Type: | Monograph (Working Paper) |
|---|---|
| Language: | English |
| Date: | May 2020 |
| Place of Publication: | Toulouse |
| Uncontrolled Keywords: | nonparametric estimation, jump diffusion, aymptotics, diffusive and jump, volatility functions, Lévy measure, optimal bandwidth, bipower increment, threshold truncation. |
| JEL Classification: | C14 - Semiparametric and Nonparametric Methods C22 - Time-Series Models |
| Subjects: | B- ECONOMIE ET FINANCE |
| Divisions: | TSE-R (Toulouse) |
| Institution: | Université Toulouse 1 Capitole |
| Site: | UT1 |
| Date Deposited: | 05 May 2020 12:32 |
| Last Modified: | 27 Oct 2021 13:38 |
| OAI Identifier: | oai:tse-fr.eu:124234 |
| URI: | https://publications.ut-capitole.fr/id/eprint/34906 |
