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Asymptotic Inference for Jump Diffusions with State‐Dependent Intensity
Authors:I. Gaia Becheri  Feike C. Drost  Bas J.M. Werker
Affiliation:1. DIAMDelft University of Technology;2. Econometrics and Finance GroupTilburg University
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.
Keywords:jump diffusions  limit experiment  local asymptotic normality  state‐dependent intensity
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