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• W2066928215 abstract "This paper proposes a quantile regression estimator for the diffusion parameter in diffusion processes with compound Poisson jumps. The method is based on discretely sampled observations at high frequency. We verify its consistency and exhibit its robustness to jumps through a simulation study." @default.
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• W2066928215 date "2012-12-01" @default.
• W2066928215 modified "2023-09-23" @default.
• W2066928215 title "Quantile regression estimation for discretely observed SDE models with compound Poisson jumps" @default.
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• W2066928215 doi "https://doi.org/10.1016/j.econlet.2011.12.067" @default.
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