Quantile regression estimation for discretely observed SDE models with compound Poisson jumps

Jungsik Noh; Seung Y. Lee; Sangyeol Lee

doi:10.1016/j.econlet.2011.12.067

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Quantile regression estimation for discretely observed SDE models with compound Poisson jumps

Jungsik Noh Seung Y. Lee Sangyeol Lee Sangyeol Lee Sangyeol Lee

Year: 2011 Journal: Economics Letters Vol: 117 (3)Pages: 734-738 Publisher: Elsevier BV

DOI: 10.1016/j.econlet.2011.12.067

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Keywords:

Quantile regression Estimator Quantile Poisson distribution Poisson regression Consistency (knowledge bases) Econometrics Mathematics Robustness (evolution) Statistics Regression Estimation Strong consistency Applied mathematics Statistical physics Economics Physics Population

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Stochastic processes and financial applications

Social Sciences → Economics, Econometrics and Finance → Finance

Statistical Methods and Inference

Physical Sciences → Mathematics → Statistics and Probability

Financial Risk and Volatility Modeling

Social Sciences → Economics, Econometrics and Finance → Finance

Quantile regression estimation for discretely observed SDE models with compound Poisson jumps

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