Quantile regression estimation for discretely observed SDE models with compound Poisson jumps

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.

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Year of publication:	2012
Authors:	Noh, Jungsik ; Lee, Seung Y. ; Lee, Sangyeol
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 117.2012, 3, p. 734-738
Publisher:	Elsevier
Subject:	Quantile regression estimator \| Jump diffusion process \| Compound Poisson jumps \| Discretely observed sample \| Consistency

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Type of publication:	Article
Classification:	C4 - Econometric and Statistical Methods: Special Topics ; C13 - Estimation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010594186