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W4226452910 abstract "<p style='text-indent:20px;'>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.</p>" @default.
W4226452910 created "2022-05-05" @default.
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W4226452910 date "2022-01-01" @default.
W4226452910 modified "2023-10-02" @default.
W4226452910 title "Threshold reweighted Nadaraya–Watson estimation of jump-diffusion models" @default.
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W4226452910 doi "https://doi.org/10.3934/puqr.2022003" @default.
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