A nonparametric approach to the estimation of jump-diffusion models with asymmetric kernels
This paper presents the nonparametric estimation of first and second infinitesimal moments of the underlying jump-diffusion model with asymmetric kernel functions. In particular, we use asymmetric kernel estimators characterized by the gamma distribution. This approach allows to conciliate the idea...
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| Format: | Article |
| Language: | English |
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Taylor & Francis Group
2016-12-01
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| Series: | Cogent Mathematics |
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| Online Access: | http://dx.doi.org/10.1080/23311835.2016.1179247 |