Asymptotic Inference for Jump Diffusions with State‐Dependent Intensity |
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Authors: | I. Gaia Becheri Feike C. Drost Bas J.M. Werker |
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Affiliation: | 1. DIAMDelft University of Technology;2. Econometrics and Finance GroupTilburg University |
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Abstract: | We establish the local asymptotic normality property for a class of ergodic parametric jump‐diffusion processes with state‐dependent intensity and known volatility function sampled at high frequency. We prove that the inference problem about the drift and jump parameters is adaptive with respect to parameters in the volatility function that can be consistently estimated. |
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Keywords: | jump diffusions limit experiment local asymptotic normality state‐dependent intensity |
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