带复合泊松跳扩散模型的点波动率门限估计量的渐近性质
ASYMPTOTIC PROPERTIES FOR SPOT VOLATILITY ESTIMATION OF DIFFUSIONS WITH COMPOUND POISSON JUMPS

本文研究了带复合泊松跳扩散模型的点波动率门限估计量的渐近性质.利用门限方法和核函数技术，构造并证明了此模型点波动率估计量的渐近正态性.同时，应用G？rtner-Ellis定理及大偏差中的Delta方法，得到了估计量的中偏差原理.
In this paper, we study the asymptotic behaviors for the threshold spot volatility estimator of the diffusion process with compound Poisson jumps. By the method of threshold criterion, we construct a kernel estimator for the volatility and study its asymptotic normality. Applying G？rtner-Ellis theorem, we obtain the moderate deviations