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

Jungsik Noh, Seung Y. Lee, Sangyeol Lee

Research output: Contribution to journalArticle

1 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 languageEnglish (US)
Pages (from-to)734-738
Number of pages5
JournalEconomics Letters
Volume117
Issue number3
DOIs
Publication statusPublished - Jan 1 2012

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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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