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Nonparametric estimation of jump diffusion models
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DOI：10.1016/j.jeconom.2020.07.020.png)
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This paper develops the asymptotics for nonparametric kernel estimators of local time, drift and volatilities, and Levy measure in jump diffusion models. Our asymptotics are developed in a very general set-up, allowing the sample span to increase as the sampling interval decreases, and without assuming stationarity. For drift and volatilities, we analyze both local constant and local linear estimators. We consider not only estimators for instantaneous conditional second moment, but also threshold estimators to disentangle diffusive and jump volatilities. The optimal bandwidths are provided for all these estimators. (C) 2020 Elsevier B.V. All rights reserved.
Keyword:
Nonparametric estimation
Jump diffusion
Asymptotics
Local time
Drift
Diffusive and jump volatility
Levy measure
Threshold estimation
Optimal bandwidth
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Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models可能非平稳连续时间模型中局部非参数估计的带宽选择和渐近性质
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