{"title":"Asymptotic Normality of Bias Reduction Estimation for Jump Intensity Function in Financial Markets","authors":"Yuping Song, Min Zhu, Jiawei Qiu","doi":"10.1111/jtsa.12727","DOIUrl":null,"url":null,"abstract":"<p>Continuous-time diffusion models with jumps, especially the jump intensity coefficient, can depict the impact of sudden and large shocks to financial markets. It is possible to disentangle, from the discrete observations, the contributions given by the jumps and those by the diffusion part through threshold functions. Based on this threshold technique, we employ non-parametric local linear threshold estimator for the unknown jump intensity function of a semimartingale with jumps. The asymptotic normality of our estimator is provided in the presence of finite activity jumps under certain regular conditions. The finite-sample performance for the underlying estimator has been shown through a Monte Carlo experiment and an empirical analysis on high frequency returns of indexes in the USA and China.</p>","PeriodicalId":1,"journal":{"name":"Accounts of Chemical Research","volume":null,"pages":null},"PeriodicalIF":16.4000,"publicationDate":"2023-11-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Accounts of Chemical Research","FirstCategoryId":"100","ListUrlMain":"https://onlinelibrary.wiley.com/doi/10.1111/jtsa.12727","RegionNum":1,"RegionCategory":"化学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"CHEMISTRY, MULTIDISCIPLINARY","Score":null,"Total":0}
引用次数: 0
Abstract
Continuous-time diffusion models with jumps, especially the jump intensity coefficient, can depict the impact of sudden and large shocks to financial markets. It is possible to disentangle, from the discrete observations, the contributions given by the jumps and those by the diffusion part through threshold functions. Based on this threshold technique, we employ non-parametric local linear threshold estimator for the unknown jump intensity function of a semimartingale with jumps. The asymptotic normality of our estimator is provided in the presence of finite activity jumps under certain regular conditions. The finite-sample performance for the underlying estimator has been shown through a Monte Carlo experiment and an empirical analysis on high frequency returns of indexes in the USA and China.
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Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance.
Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.
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