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Nonparametric Estimation For Second-Order Jump-Diffusion Model In High Frequency Data

Author

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  • YUPING SONG

    (School of Finance and Business, Shanghai Normal University, Shanghai, 200234, P. R. China)

Abstract

We provide the nonparametric estimators of the infinitesimal coefficients of the second-order continuous-time models with discontinuous sample paths of jump-diffusion models. Under the mild conditions, we obtain the weak consistency and the asymptotic normality of the estimators. A Monte Carlo experiment demonstrates the better small-sample performance of these estimators. In addition, the estimators are illustrated empirically through stock index of Shanghai Stock Exchange in high frequency data.

Suggested Citation

  • Yuping Song, 2020. "Nonparametric Estimation For Second-Order Jump-Diffusion Model In High Frequency Data," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 65(04), pages 1033-1063, June.
    • Handle: RePEc:wsi:serxxx:v:65:y:2020:i:04:n:s0217590817500102
    DOI: 10.1142/S0217590817500102
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