ESTIMATION OF VOLATILITY FUNCTIONS IN JUMP DIFFUSIONS USING TRUNCATED BIPOWER INCREMENTS
提出一种基于截断双幂次增量的核估计方法，用于估计跳跃扩散模型的波动率函数，并推导了渐近性质，通过模拟和实证分析验证了方法的有效性。
In this article, we introduce and analyze a new methodology to estimate the volatility functions of jump diffusion models. Our methodology relies on the standard kernel estimation technique using truncated bipower increments. The relevant asymptotics are fully developed, allowing for the time span to increase as well as the sampling interval to decrease, and accommodate both stationary and nonstationary recurrent processes. We evaluate the performance of our estimators by simulation and provide some illustrative empirical analyses.