摘要
In this paper,we propose a new method to estimate the diffusion function in the jump-diffusion model.First,a threshold reweighted Nadaraya-Watson-type estimator is introduced.Then,we establish asymptotic normality for the estimator and conduct Monte Carlo simulations through two examples to verify the better finite-sampling properties.Finally,our estimator is demonstrated through the actual data of the Shanghai Interbank Offered Rate in China.
基金
supported by the National Natural Science Foundation of China(Grant Nos.12071257 and 11971267)
National Key R&D Program of China(Grant No.2018YFA0703900)
Shandong Provincial Natural Science Foundation(Grant No.ZR2019ZD41)
the Young Scholars Program of Shandong University.Yuping Song’s research is supported by the National Natural Science Foundation of China(Grant No.11901397)
Ministry of Education,Humanities and Social Sciences project(Grant No.18YJCZH153)
National Statistical Science Research Project(Grant No.2018LZ05)
Youth Academic Backbone Cultivation Project of Shanghai Normal University(Grant No.310-AC7031-19-003021)
General Research Fund of Shanghai Normal University(Grant No.SK201720)
Key Subject of Quantitative Economics(Grant No.310-AC7031-19-004221)
Academic Innovation Team of Shanghai Normal University(Grant No.310-AC7031-19-004228).
