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Empirical likelihood inference for the second-order jump-diffusion model

  • Song, Yuping
  • Lin, Zhengyan
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    We study the empirical likelihood inference for infinitesimal coefficients in the second-order jump-diffusion model. Under certain regular conditions, we readily verify that an adjusted empirical log-likelihood ratio asymptotically follows 32χ2(1).

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    Article provided by Elsevier in its journal Statistics & Probability Letters.

    Volume (Year): 83 (2013)
    Issue (Month): 1 ()
    Pages: 184-195

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    Handle: RePEc:eee:stapro:v:83:y:2013:i:1:p:184-195
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    1. Torben G. Andersen & Luca Benzoni & Jesper Lund, 2002. "An Empirical Investigation of Continuous-Time Equity Return Models," Journal of Finance, American Finance Association, vol. 57(3), pages 1239-1284, 06.
    2. Darrell Duffie & Jun Pan & Kenneth Singleton, 2000. "Transform Analysis and Asset Pricing for Affine Jump-Diffusions," Econometrica, Econometric Society, vol. 68(6), pages 1343-1376, November.
    3. Charles Quanwei Cao & Gurdip S. Bakshi & Zhiwu Chen, 1997. "Empirical Performance of Alternative Option Pricing Models," Yale School of Management Working Papers ysm65, Yale School of Management.
    4. Xiaohong Chen & Lars P. Hansen & Marine Carrasco, 2009. "Nonlinearity and Temporal Dependence," Cowles Foundation Discussion Papers 1652R, Cowles Foundation for Research in Economics, Yale University.
    5. Yasutaka Shimizu & Nakahiro Yoshida, 2006. "Estimation of Parameters for Diffusion Processes with Jumps from Discrete Observations," Statistical Inference for Stochastic Processes, Springer, vol. 9(3), pages 227-277, October.
    6. Bandi, Federico M. & Nguyen, Thong H., 2003. "On the functional estimation of jump-diffusion models," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 293-328.
    7. Hansen, Lars Peter & Scheinkman, Jose Alexandre, 1995. "Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes," Econometrica, Econometric Society, vol. 63(4), pages 767-804, July.
    8. Nicolau, Jo o, 2007. "Nonparametric Estimation Of Second-Order Stochastic Differential Equations," Econometric Theory, Cambridge University Press, vol. 23(05), pages 880-898, October.
    9. Xu, Ke-Li, 2009. "Empirical likelihood-based inference for nonparametric recurrent diffusions," Journal of Econometrics, Elsevier, vol. 153(1), pages 65-82, November.
    10. Susanne Ditlevsen & Michael Sørensen, 2004. "Inference for Observations of Integrated Diffusion Processes," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 31(3), pages 417-429.
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