| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5059705 | Economics Letters | 2012 | 5 Pages |
Abstract
⺠We consider the quantile regression within the framework of jump diffusion models. ⺠A quantile regression estimator of the diffusion parameter is proposed. ⺠This estimator does not require any information about the drift or jump dynamics. ⺠Its consistency is verified. ⺠Simulation results illustrate its robustness to jumps.
Keywords
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Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Jungsik Noh, Seung Y. Lee, Sangyeol Lee,