Generalized jump regressions for local moments
We develop new high-frequency-based inference procedures for analyzing the relationship between jumps in instantaneous moments of stochastic processes. The estimation consists of two steps: the nonparametric determination of the jumps as differences in local averages, followed by a minimum-distance...
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| Main Authors: | , , |
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| 格式: | text |
| 語言: | English |
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Institutional Knowledge at Singapore Management University
2021
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| 在線閱讀: | https://ink.library.smu.edu.sg/soe_research/2545 https://ink.library.smu.edu.sg/context/soe_research/article/3544/viewcontent/Generalized_Jump_Regressions_for_Local_Moments.pdf |
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| 機構: | Singapore Management University |
| 語言: | English |