Nonparametric Estimation of Second-Order Jump-Diffusion Model

TL;DR

This paper develops nonparametric estimators for the coefficients of second-order jump-diffusion models, establishing their consistency and asymptotic properties under mild conditions.

Contribution

It introduces new nonparametric estimation methods for second-order jump-diffusion models and proves their statistical properties.

Findings

Estimators are weakly consistent.

Estimators are asymptotically normal.

Results hold under mild conditions.

Abstract

We study the nonparametric estimators of the infinitesimal coefficients of the second-order jump-diffusion models. Under the mild conditions, we obtain the weak consistency and the asymptotic normalities of the estimators.