Re-weighted Nadaraya–Watson estimation of second-order jump-diffusion model

• DOI: 10.1016/j.jspi.2012.09.010
• Publication Date: 2012-10-09T17:35:00Z
• Authors: Yuping Song; Zhengyan Lin; Hanchao Wang
• Keywords: 0502 economics and business; 05 social sciences

Abstract We propose a re-weighted Nadaraya–Watson estimator for the infinitesimal conditional expectation of the second-order jump-diffusion model. Consistency and asymptotic normality of the estimator require certain regular conditions.