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Self-weighted quantile regression estimation for diffusion parameter in jump–diffusion models

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  • Song, Yuping
  • Cai, Chunchun
  • Mao, Huijue
  • Zhu, Min

Abstract

The self-weighted quantile regression estimator for the diffusion parameter in diffusion models with jumps is proposed. The consistency of the underlying estimator is obtained. Moreover, the better finite-sample properties are verified through the Monte-Carlo simulation study and empirical analysis.

Suggested Citation

  • Song, Yuping & Cai, Chunchun & Mao, Huijue & Zhu, Min, 2024. "Self-weighted quantile regression estimation for diffusion parameter in jump–diffusion models," Statistics & Probability Letters, Elsevier, vol. 206(C).
    • Handle: RePEc:eee:stapro:v:206:y:2024:i:c:s0167715223002341
    DOI: 10.1016/j.spl.2023.110011
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    References listed on IDEAS

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