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

Jungsik Noh; Seung Y. Lee; Sangyeol Lee

doi:10.1016/j.econlet.2011.12.067

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

Jungsik Noh, Seung Y. Lee, Sangyeol Lee

Research output: Contribution to journal › Article › peer-review

3 Scopus citations

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.

Original language	English (US)
Pages (from-to)	734-738
Number of pages	5
Journal	Economics Letters
Volume	117
Issue number	3
DOIs	https://doi.org/10.1016/j.econlet.2011.12.067
State	Published - 2012

Keywords

Compound Poisson jumps
Consistency
Discretely observed sample
Jump diffusion process
Quantile regression estimator

ASJC Scopus subject areas

Finance
Economics and Econometrics

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10.1016/j.econlet.2011.12.067

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title = "Quantile regression estimation for discretely observed SDE models with compound Poisson jumps",

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.",

keywords = "Compound Poisson jumps, Consistency, Discretely observed sample, Jump diffusion process, Quantile regression estimator",

author = "Jungsik Noh and Lee, {Seung Y.} and Sangyeol Lee",

note = "Funding Information: We are grateful to the referee for his/her helpful comments to improve the quality of the paper. This work was supported by Mid-career Researcher Program through NRF grant funded by the MEST (No. 2010-0000374 ). ",

year = "2012",

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language = "English (US)",

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pages = "734--738",

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T1 - Quantile regression estimation for discretely observed SDE models with compound Poisson jumps

AU - Noh, Jungsik

AU - Lee, Seung Y.

AU - Lee, Sangyeol

N1 - Funding Information: We are grateful to the referee for his/her helpful comments to improve the quality of the paper. This work was supported by Mid-career Researcher Program through NRF grant funded by the MEST (No. 2010-0000374 ).

PY - 2012

Y1 - 2012

N2 - 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.

AB - 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.

KW - Compound Poisson jumps

KW - Consistency

KW - Discretely observed sample

KW - Jump diffusion process

KW - Quantile regression estimator

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JO - Economics Letters

JF - Economics Letters

IS - 3

ER -

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

Abstract

Keywords

ASJC Scopus subject areas

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