On the functional estimation of jump-diffusion models

By F. Bandi, Thong Nguyen. 2003

173 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/1560e87f37e4b64d44314da53f95d0b79e5ec70a

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Citations in the corpus

A Simple Approach to the Parametric Estimation of Potentially Nonstationary Diffusions (2005, unknown): “However, these moments can be evaluated as in recent work by Bandi and Moloche (2001) in the case of multivariate diffusions and Bandi and Nguyen (2003) in the case of jump-diffusion processes.”
The Statistical and Economic Role of Jumps in Continuous-Time Interest Rate Models (2004, methodology): “Bandi and Nguyen (2003) derive the limiting distribution under the assumption that the realizations are recurrent and that µ(r), σ (r), and λ(r) are smooth functions.”
Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005, unknown): “Remark 1 (i) Condition (a) in Theorem 1 holds, for instance, for the square root process (due to it having a reflecting barrier at zero) and the Ornstein-Uhlenbeck volatility processes considered in Barndorff-Nielsen and Shephard (2001). More generally (a) does not rule out jumps, diurnal effects, l”
Methods for Detecting Early Warnings of Critical Transitions in Time Series Illustrated Using Simulated Ecological Data (2012, methodology): “In practice, the drift, diffusion, and jump functions are estimated using nonparametric regression [34,35].”
Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes (2006, background): “(2003) and Bandi and Nguyen (2003) ) and options data (e.g.”
Testing for Jumps When Asset Prices are Observed with Noise - A Swap Variance Approach (2008, unknown): “This is in line with a number of other papers in this area, particularly Aı̈t-Sahalia and Jacod (2006) and Johannes (2004) (see also Bandi and Nguyen, 2003).”
Tilted Nonparametric Estimation of Volatility Functions With Empirical Applications (2010, unknown): “They are expected to have smaller biases than the estimates of Johannes (2004) and Bandi and Nguyen (2003), which are based on local constant estimation of the four moments.”
Threshold Bipower Variation and the Impact of Jumps on Volatility Forecasting (2010, background): “…studies of and Maheu and McCurdy (2004); Bollerslev et al. (2009); Andersen et al. (2007); nonparametric estimation in the presence of jumps, as in Bandi and Nguyen (2003); Johannes (2004); Mancini and Renò (2009); option pricing as in Duffie et al. (2000); Eraker et al. (2003); Eraker…”
Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese Yuan (2007, unknown): “Non-parametric and semiparametric estimations have also been proposed for diffusions (Aı̈t-Sahalia, 1996; Bandi and Phillips, 2003; Kristensen, 2004) and for jump-diffusions (Bandi and Nguyen, 2003).”
Measuring the impact of jumps in multivariate price processes using bipower covariation (2004, unknown): “…Benzoni, and Lund (2002), Chernov, Gallant, Ghysels, and Tauchen (2003) and the Markovian, non-parametric analysis of Aı̈t-Sahalia (2002), Johannes (2004) and Bandi and Nguyen (2003)) and options data (e.g. Bates (1996), Carr and Wu (2004) and the review by Garcia, Ghysels, and Renault (2004)).”
Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps (2006, background): “Bandi and Nguyen (2003) and Johannes (2004) assume that at ≡ a(Xt),�t ≡ �(Xt) and that J has FA bounded jumps.”