On the nonparametric inference of coefficients of self-exciting jump-diffusion
On the nonparametric inference of coefficients of self-exciting jump-diffusion
In this paper, we consider a one-dimensional diffusion process with jumps driven by a Hawkes process. We are interested in the estimations of the volatility function and of the jump function from discrete high-frequency observations in a long time horizon which remained an open question until now. First, we propose …