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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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    File URL: http://www.sciencedirect.com/science/article/pii/S0167715212003422
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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. Darrell Duffie & Jun Pan & Kenneth Singleton, 1999. "Transform Analysis and Asset Pricing for Affine Jump-Diffusions," NBER Working Papers 7105, National Bureau of Economic Research, Inc.
    2. Bakshi, Gurdip & Cao, Charles & Chen, Zhiwu, 1997. " Empirical Performance of Alternative Option Pricing Models," Journal of Finance, American Finance Association, vol. 52(5), pages 2003-49, December.
    3. 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.
    4. Torben G. Andersen & Luca Benzoni & Jesper Lund, 2001. "An Empirical Investigation of Continuous-Time Equity Return Models," NBER Working Papers 8510, National Bureau of Economic Research, Inc.
    5. Chen, Xiaohong & Hansen, Lars Peter & Carrasco, Marine, 2010. "Nonlinearity and temporal dependence," Journal of Econometrics, Elsevier, vol. 155(2), pages 155-169, April.
    6. Nicolau, Jo o, 2007. "Nonparametric Estimation Of Second-Order Stochastic Differential Equations," Econometric Theory, Cambridge University Press, vol. 23(05), pages 880-898, October.
    7. Xu, Ke-Li, 2009. "Empirical likelihood-based inference for nonparametric recurrent diffusions," Journal of Econometrics, Elsevier, vol. 153(1), pages 65-82, November.
    8. Lars Peter Hansen & Jose Alexandre Scheinkman, 1993. "Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes," NBER Technical Working Papers 0141, National Bureau of Economic Research, Inc.
    9. 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.
    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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