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Abstract |
Diffusion coefficients of jump-diffusion processes with finite Levy measure are estimated from discrete observations at points t^n_i = i/n (i = 0, 1, . . . , n) using filtered conditional moments of i...ncrements. The estimation is based on the local time for jump-diffusions and the consistency result is obtained. This is an extension of the result for pure diffusion cases by Florens-Zmirou (1993).show more
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