Quantile regression estimation for discretely observed SDE models with compound Poisson jumps
AbstractThis paper proposes a quantile regression estimator for the diffusion parameter in diffusion processes with compound Poisson jumps. The method is based on discretely sampled observations at high frequency. We verify its consistency and exhibit its robustness to jumps through a simulation study.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 117 (2012)
Issue (Month): 3 ()
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Web page: http://www.elsevier.com/locate/ecolet
Quantile regression estimator; Jump diffusion process; Compound Poisson jumps; Discretely observed sample; Consistency;
Find related papers by JEL classification:
- C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
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