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Shanchao Yang, Shi Zhang, Guodong Xing & Xin Yang. (2024) Strong consistency of nonparametric kernel estimators for integrated diffusion process. Communications in Statistics - Theory and Methods 53:8, pages 2792-2815.
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Naiqi Liu, Kunyang Song, Yuping Song & Xiaochen Wang. (2022) Convoluted smoothed kernel estimation for drift coefficients in jump-diffusion models. Communications in Statistics - Theory and Methods 51:21, pages 7354-7389.
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Mingtian Tang, Yunyan Wang & Qingqing Zhan. (2022) Non parametric bias reduction of diffusion coefficient in integrated diffusion processes. Communications in Statistics - Theory and Methods 51:18, pages 6435-6446.
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Yuping Song, Zheng Sun, Qicheng Zhao & Youyou Chen. (2022) Variance reduction approach for the volatility over a finite-time horizon. Communications in Statistics - Theory and Methods 51:11, pages 3521-3541.
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Likai Zhou. (2017) Double-smoothed drift estimation of jump-diffusion model. Communications in Statistics - Theory and Methods 46:8, pages 4137-4149.
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Yingyu Chen & Lixin Zhang. (2015) Local Linear Estimation of Second-order Jump-diffusion Model. Communications in Statistics - Theory and Methods 44:18, pages 3903-3920.
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Shanchao Yang, Shuyi Luo, Zhiyong Li, Jiaying Xie & Xin Yang. Strong consistency of parameter estimation for the CIR integrated diffusion process with long-span high-frequency data. Communications in Statistics - Theory and Methods 0:0, pages 1-21.
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Articles from other publishers (10)
Shanchao Yang, Jiaying Xie, Shuyi Luo, Zhiyong Li & Xin Yang. (2023) Moment inequalities for mixing long-span high-frequency data and strongly consistent estimation of OU integrated diffusion process. Journal of Inequalities and Applications 2023:1.
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Yuping Song, Weijie Hou & Zhengyan Lin. (2021) Double Smoothed Volatility Estimation of Potentially Non‐stationary Jump‐diffusion Model of Shibor. Journal of Time Series Analysis 43:1, pages 53-82.
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YUPING SONG. (2017) NONPARAMETRIC ESTIMATION FOR SECOND-ORDER JUMP-DIFFUSION MODEL IN HIGH FREQUENCY DATA. The Singapore Economic Review 65:04, pages 1033-1063.
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Yuping Song, Weijie Hou & Shengyi Zhou. (2019) Variance reduction estimation for return models with jumps using gamma asymmetric kernels. Studies in Nonlinear Dynamics & Econometrics 23:5.
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Yuping Song, Ying Chen & Zhouwei Wang. (2018) Bias Correction Estimation for a Continuous‐Time Asset Return Model with Jumps. Journal of Time Series Analysis 40:1, pages 66-101.
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Tianshun Yan, Yanyong Zhao & Shuanghua Luo. (2018) Estimation for a Second-Order Jump Diffusion Model from Discrete Observations: Application to Stock Market Returns. Discrete Dynamics in Nature and Society 2018, pages 1-8.
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Tianshun Yan & Changlin Mei. (2016) A test for a parametric form of the volatility in second-order diffusion models. Computational Statistics 32:4, pages 1583-1596.
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Tianshun Yan & Changlin Mei. (2015) Estimation and Inference of a Time-dependent Second-order Diffusion Model with Application to Financial Time Series. Communications in Statistics - Simulation and Computation, pages 0-0.
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ZhengYan Lin, YuPing Song & JiangSheng Yi. (2013) Local linear estimator for stochastic differential equations driven by α-stable Lévy motions. Science China Mathematics 57:3, pages 609-626.
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Yuping Song, Zhengyan Lin & Hanchao Wang. (2013) Re-weighted Nadaraya–Watson estimation of second-order jump-diffusion model. Journal of Statistical Planning and Inference 143:4, pages 730-744.
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