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BIAS CORRECTION ESTIMATION FOR A CONTINUOUS-TIME ASSET RETURN MODEL WITH JUMPS

Song, YP; Chen, Y; Wang, ZW

Song, YP (reprint author), Shanghai Normal Univ, Sch Finance & Business, Room 504,Bldg 6,100 Guilin Rd, Shanghai 200234, Peoples R China.

JOURNAL OF TIME SERIES ANALYSIS, 2019; 40 (1): 66

Abstract

In this article, local linear estimators are adapted for the unknown infinitesimal coefficients associated with continuous-time asset return models wi......

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