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Quantile regression estimation for discretely observed SDE models with compound Poisson jumps

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  • Noh, Jungsik
  • Lee, Seung Y.
  • Lee, Sangyeol

Abstract

This 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.

Suggested Citation

  • Noh, Jungsik & Lee, Seung Y. & Lee, Sangyeol, 2012. "Quantile regression estimation for discretely observed SDE models with compound Poisson jumps," Economics Letters, Elsevier, vol. 117(3), pages 734-738.
    • Handle: RePEc:eee:ecolet:v:117:y:2012:i:3:p:734-738
    DOI: 10.1016/j.econlet.2011.12.067
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    References listed on IDEAS

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    1. Tang, Cheng Yong & Chen, Song Xi, 2009. "Parameter estimation and bias correction for diffusion processes," Journal of Econometrics, Elsevier, vol. 149(1), pages 65-81, April.
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    More about this item

    Keywords

    Quantile regression estimator; Jump diffusion process; Compound Poisson jumps; Discretely observed sample; Consistency;
    All these keywords.

    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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