Bias Correction Estimation for Continuous-Time Asset Return Model with Jumps Article Swipe
Yuping Song
,
Ying Chen
,
Zhouwei Wang
·
YOU?
·
· 2018
· Open Access
·
· DOI: https://doi.org/10.48550/arxiv.1802.04925
YOU?
·
· 2018
· Open Access
·
· DOI: https://doi.org/10.48550/arxiv.1802.04925
In this paper, local linear estimators are adapted for the unknown infinitesimal coefficients associated with continuous-time asset return model with jumps, which can correct the bias automatically due to their simple bias representation. The integrated diffusion models with jumps, especially infinite activity jumps are mainly investigated. In addition, under mild conditions, the weak consistency and asymptotic normality is provided through the conditional Lindeberg theorem. Furthermore, our method presents advantages in bias correction through simulation whether jumps belong to the finite activity case or infinite activity case. Finally, the estimators are illustrated empirically through the returns for stock index under five-minute high sampling frequency for real application.
Related Topics
Concepts
Metadata
- Type
- preprint
- Language
- en
- Landing Page
- http://arxiv.org/abs/1802.04925
- https://arxiv.org/pdf/1802.04925
- OA Status
- green
- References
- 15
- Related Works
- 10
- OpenAlex ID
- https://openalex.org/W2787869396
All OpenAlex metadata
Raw OpenAlex JSON
- OpenAlex ID
-
https://openalex.org/W2787869396Canonical identifier for this work in OpenAlex
- DOI
-
https://doi.org/10.48550/arxiv.1802.04925Digital Object Identifier
- Title
-
Bias Correction Estimation for Continuous-Time Asset Return Model with JumpsWork title
- Type
-
preprintOpenAlex work type
- Language
-
enPrimary language
- Publication year
-
2018Year of publication
- Publication date
-
2018-02-14Full publication date if available
- Authors
-
Yuping Song, Ying Chen, Zhouwei WangList of authors in order
- Landing page
-
https://arxiv.org/abs/1802.04925Publisher landing page
- PDF URL
-
https://arxiv.org/pdf/1802.04925Direct link to full text PDF
- Open access
-
YesWhether a free full text is available
- OA status
-
greenOpen access status per OpenAlex
- OA URL
-
https://arxiv.org/pdf/1802.04925Direct OA link when available
- Concepts
-
Estimator, Infinitesimal, Econometrics, Consistency (knowledge bases), Asymptotic distribution, Mathematics, Stock (firearms), Applied mathematics, Statistics, Mathematical analysis, Discrete mathematics, Engineering, Mechanical engineeringTop concepts (fields/topics) attached by OpenAlex
- Cited by
-
0Total citation count in OpenAlex
- References (count)
-
15Number of works referenced by this work
- Related works (count)
-
10Other works algorithmically related by OpenAlex
Full payload
| id | https://openalex.org/W2787869396 |
|---|---|
| doi | https://doi.org/10.48550/arxiv.1802.04925 |
| ids.doi | https://doi.org/10.48550/arxiv.1802.04925 |
| ids.mag | 2787869396 |
| ids.openalex | https://openalex.org/W2787869396 |
| fwci | |
| type | preprint |
| title | Bias Correction Estimation for Continuous-Time Asset Return Model with Jumps |
| biblio.issue | |
| biblio.volume | |
| biblio.last_page | |
| biblio.first_page | |
| topics[0].id | https://openalex.org/T10067 |
| topics[0].field.id | https://openalex.org/fields/20 |
| topics[0].field.display_name | Economics, Econometrics and Finance |
| topics[0].score | 0.9984999895095825 |
| topics[0].domain.id | https://openalex.org/domains/2 |
| topics[0].domain.display_name | Social Sciences |
| topics[0].subfield.id | https://openalex.org/subfields/2003 |
| topics[0].subfield.display_name | Finance |
| topics[0].display_name | Stochastic processes and financial applications |
| topics[1].id | https://openalex.org/T10282 |
| topics[1].field.id | https://openalex.org/fields/20 |
| topics[1].field.display_name | Economics, Econometrics and Finance |
| topics[1].score | 0.9944999814033508 |
| topics[1].domain.id | https://openalex.org/domains/2 |
| topics[1].domain.display_name | Social Sciences |
| topics[1].subfield.id | https://openalex.org/subfields/2003 |
| topics[1].subfield.display_name | Finance |
| topics[1].display_name | Financial Risk and Volatility Modeling |
| topics[2].id | https://openalex.org/T11720 |
| topics[2].field.id | https://openalex.org/fields/18 |
| topics[2].field.display_name | Decision Sciences |
| topics[2].score | 0.9779000282287598 |
| topics[2].domain.id | https://openalex.org/domains/2 |
| topics[2].domain.display_name | Social Sciences |
| topics[2].subfield.id | https://openalex.org/subfields/1803 |
| topics[2].subfield.display_name | Management Science and Operations Research |
| topics[2].display_name | Probability and Risk Models |
| is_xpac | False |
| apc_list | |
| apc_paid | |
| concepts[0].id | https://openalex.org/C185429906 |
| concepts[0].level | 2 |
| concepts[0].score | 0.8286776542663574 |
| concepts[0].wikidata | https://www.wikidata.org/wiki/Q1130160 |
| concepts[0].display_name | Estimator |
| concepts[1].id | https://openalex.org/C91229774 |
| concepts[1].level | 2 |
| concepts[1].score | 0.5820333361625671 |
| concepts[1].wikidata | https://www.wikidata.org/wiki/Q193885 |
| concepts[1].display_name | Infinitesimal |
| concepts[2].id | https://openalex.org/C149782125 |
| concepts[2].level | 1 |
| concepts[2].score | 0.5552720427513123 |
| concepts[2].wikidata | https://www.wikidata.org/wiki/Q160039 |
| concepts[2].display_name | Econometrics |
| concepts[3].id | https://openalex.org/C2776436953 |
| concepts[3].level | 2 |
| concepts[3].score | 0.5431306958198547 |
| concepts[3].wikidata | https://www.wikidata.org/wiki/Q5163215 |
| concepts[3].display_name | Consistency (knowledge bases) |
| concepts[4].id | https://openalex.org/C65778772 |
| concepts[4].level | 3 |
| concepts[4].score | 0.5402815341949463 |
| concepts[4].wikidata | https://www.wikidata.org/wiki/Q12345341 |
| concepts[4].display_name | Asymptotic distribution |
| concepts[5].id | https://openalex.org/C33923547 |
| concepts[5].level | 0 |
| concepts[5].score | 0.5233528017997742 |
| concepts[5].wikidata | https://www.wikidata.org/wiki/Q395 |
| concepts[5].display_name | Mathematics |
| concepts[6].id | https://openalex.org/C204036174 |
| concepts[6].level | 2 |
| concepts[6].score | 0.4575885534286499 |
| concepts[6].wikidata | https://www.wikidata.org/wiki/Q909380 |
| concepts[6].display_name | Stock (firearms) |
| concepts[7].id | https://openalex.org/C28826006 |
| concepts[7].level | 1 |
| concepts[7].score | 0.44933223724365234 |
| concepts[7].wikidata | https://www.wikidata.org/wiki/Q33521 |
| concepts[7].display_name | Applied mathematics |
| concepts[8].id | https://openalex.org/C105795698 |
| concepts[8].level | 1 |
| concepts[8].score | 0.2567521333694458 |
| concepts[8].wikidata | https://www.wikidata.org/wiki/Q12483 |
| concepts[8].display_name | Statistics |
| concepts[9].id | https://openalex.org/C134306372 |
| concepts[9].level | 1 |
| concepts[9].score | 0.17966654896736145 |
| concepts[9].wikidata | https://www.wikidata.org/wiki/Q7754 |
| concepts[9].display_name | Mathematical analysis |
| concepts[10].id | https://openalex.org/C118615104 |
| concepts[10].level | 1 |
| concepts[10].score | 0.08630245923995972 |
| concepts[10].wikidata | https://www.wikidata.org/wiki/Q121416 |
| concepts[10].display_name | Discrete mathematics |
| concepts[11].id | https://openalex.org/C127413603 |
| concepts[11].level | 0 |
| concepts[11].score | 0.0 |
| concepts[11].wikidata | https://www.wikidata.org/wiki/Q11023 |
| concepts[11].display_name | Engineering |
| concepts[12].id | https://openalex.org/C78519656 |
| concepts[12].level | 1 |
| concepts[12].score | 0.0 |
| concepts[12].wikidata | https://www.wikidata.org/wiki/Q101333 |
| concepts[12].display_name | Mechanical engineering |
| keywords[0].id | https://openalex.org/keywords/estimator |
| keywords[0].score | 0.8286776542663574 |
| keywords[0].display_name | Estimator |
| keywords[1].id | https://openalex.org/keywords/infinitesimal |
| keywords[1].score | 0.5820333361625671 |
| keywords[1].display_name | Infinitesimal |
| keywords[2].id | https://openalex.org/keywords/econometrics |
| keywords[2].score | 0.5552720427513123 |
| keywords[2].display_name | Econometrics |
| keywords[3].id | https://openalex.org/keywords/consistency |
| keywords[3].score | 0.5431306958198547 |
| keywords[3].display_name | Consistency (knowledge bases) |
| keywords[4].id | https://openalex.org/keywords/asymptotic-distribution |
| keywords[4].score | 0.5402815341949463 |
| keywords[4].display_name | Asymptotic distribution |
| keywords[5].id | https://openalex.org/keywords/mathematics |
| keywords[5].score | 0.5233528017997742 |
| keywords[5].display_name | Mathematics |
| keywords[6].id | https://openalex.org/keywords/stock |
| keywords[6].score | 0.4575885534286499 |
| keywords[6].display_name | Stock (firearms) |
| keywords[7].id | https://openalex.org/keywords/applied-mathematics |
| keywords[7].score | 0.44933223724365234 |
| keywords[7].display_name | Applied mathematics |
| keywords[8].id | https://openalex.org/keywords/statistics |
| keywords[8].score | 0.2567521333694458 |
| keywords[8].display_name | Statistics |
| keywords[9].id | https://openalex.org/keywords/mathematical-analysis |
| keywords[9].score | 0.17966654896736145 |
| keywords[9].display_name | Mathematical analysis |
| keywords[10].id | https://openalex.org/keywords/discrete-mathematics |
| keywords[10].score | 0.08630245923995972 |
| keywords[10].display_name | Discrete mathematics |
| language | en |
| locations[0].id | pmh:oai:arXiv.org:1802.04925 |
| locations[0].is_oa | True |
| locations[0].source.id | https://openalex.org/S4306400194 |
| locations[0].source.issn | |
| locations[0].source.type | repository |
| locations[0].source.is_oa | True |
| locations[0].source.issn_l | |
| locations[0].source.is_core | False |
| locations[0].source.is_in_doaj | False |
| locations[0].source.display_name | arXiv (Cornell University) |
| locations[0].source.host_organization | https://openalex.org/I205783295 |
| locations[0].source.host_organization_name | Cornell University |
| locations[0].source.host_organization_lineage | https://openalex.org/I205783295 |
| locations[0].license | |
| locations[0].pdf_url | https://arxiv.org/pdf/1802.04925 |
| locations[0].version | submittedVersion |
| locations[0].raw_type | |
| locations[0].license_id | |
| locations[0].is_accepted | False |
| locations[0].is_published | False |
| locations[0].raw_source_name | |
| locations[0].landing_page_url | http://arxiv.org/abs/1802.04925 |
| locations[1].id | doi:10.48550/arxiv.1802.04925 |
| locations[1].is_oa | True |
| locations[1].source.id | https://openalex.org/S4306400194 |
| locations[1].source.issn | |
| locations[1].source.type | repository |
| locations[1].source.is_oa | True |
| locations[1].source.issn_l | |
| locations[1].source.is_core | False |
| locations[1].source.is_in_doaj | False |
| locations[1].source.display_name | arXiv (Cornell University) |
| locations[1].source.host_organization | https://openalex.org/I205783295 |
| locations[1].source.host_organization_name | Cornell University |
| locations[1].source.host_organization_lineage | https://openalex.org/I205783295 |
| locations[1].license | |
| locations[1].pdf_url | |
| locations[1].version | |
| locations[1].raw_type | article |
| locations[1].license_id | |
| locations[1].is_accepted | False |
| locations[1].is_published | |
| locations[1].raw_source_name | |
| locations[1].landing_page_url | https://doi.org/10.48550/arxiv.1802.04925 |
| indexed_in | arxiv, datacite |
| authorships[0].author.id | https://openalex.org/A5100653854 |
| authorships[0].author.orcid | https://orcid.org/0000-0002-7506-1719 |
| authorships[0].author.display_name | Yuping Song |
| authorships[0].author_position | first |
| authorships[0].raw_author_name | Yuping Song |
| authorships[0].is_corresponding | False |
| authorships[1].author.id | https://openalex.org/A5108640923 |
| authorships[1].author.orcid | https://orcid.org/0000-0001-8686-347X |
| authorships[1].author.display_name | Ying Chen |
| authorships[1].author_position | middle |
| authorships[1].raw_author_name | Ying Chen |
| authorships[1].is_corresponding | False |
| authorships[2].author.id | https://openalex.org/A5039153138 |
| authorships[2].author.orcid | https://orcid.org/0009-0008-2952-5560 |
| authorships[2].author.display_name | Zhouwei Wang |
| authorships[2].author_position | last |
| authorships[2].raw_author_name | Zhouwei Wang |
| authorships[2].is_corresponding | False |
| has_content.pdf | False |
| has_content.grobid_xml | False |
| is_paratext | False |
| open_access.is_oa | True |
| open_access.oa_url | https://arxiv.org/pdf/1802.04925 |
| open_access.oa_status | green |
| open_access.any_repository_has_fulltext | False |
| created_date | 2025-10-10T00:00:00 |
| display_name | Bias Correction Estimation for Continuous-Time Asset Return Model with Jumps |
| has_fulltext | False |
| is_retracted | False |
| updated_date | 2025-11-06T06:51:31.235846 |
| primary_topic.id | https://openalex.org/T10067 |
| primary_topic.field.id | https://openalex.org/fields/20 |
| primary_topic.field.display_name | Economics, Econometrics and Finance |
| primary_topic.score | 0.9984999895095825 |
| primary_topic.domain.id | https://openalex.org/domains/2 |
| primary_topic.domain.display_name | Social Sciences |
| primary_topic.subfield.id | https://openalex.org/subfields/2003 |
| primary_topic.subfield.display_name | Finance |
| primary_topic.display_name | Stochastic processes and financial applications |
| related_works | https://openalex.org/W2370598571, https://openalex.org/W2355499472, https://openalex.org/W2349230259, https://openalex.org/W2370818987, https://openalex.org/W2350226651, https://openalex.org/W2361379965, https://openalex.org/W2385204246, https://openalex.org/W1511751337, https://openalex.org/W2899018032, https://openalex.org/W4248009324 |
| cited_by_count | 0 |
| locations_count | 2 |
| best_oa_location.id | pmh:oai:arXiv.org:1802.04925 |
| best_oa_location.is_oa | True |
| best_oa_location.source.id | https://openalex.org/S4306400194 |
| best_oa_location.source.issn | |
| best_oa_location.source.type | repository |
| best_oa_location.source.is_oa | True |
| best_oa_location.source.issn_l | |
| best_oa_location.source.is_core | False |
| best_oa_location.source.is_in_doaj | False |
| best_oa_location.source.display_name | arXiv (Cornell University) |
| best_oa_location.source.host_organization | https://openalex.org/I205783295 |
| best_oa_location.source.host_organization_name | Cornell University |
| best_oa_location.source.host_organization_lineage | https://openalex.org/I205783295 |
| best_oa_location.license | |
| best_oa_location.pdf_url | https://arxiv.org/pdf/1802.04925 |
| best_oa_location.version | submittedVersion |
| best_oa_location.raw_type | |
| best_oa_location.license_id | |
| best_oa_location.is_accepted | False |
| best_oa_location.is_published | False |
| best_oa_location.raw_source_name | |
| best_oa_location.landing_page_url | http://arxiv.org/abs/1802.04925 |
| primary_location.id | pmh:oai:arXiv.org:1802.04925 |
| primary_location.is_oa | True |
| primary_location.source.id | https://openalex.org/S4306400194 |
| primary_location.source.issn | |
| primary_location.source.type | repository |
| primary_location.source.is_oa | True |
| primary_location.source.issn_l | |
| primary_location.source.is_core | False |
| primary_location.source.is_in_doaj | False |
| primary_location.source.display_name | arXiv (Cornell University) |
| primary_location.source.host_organization | https://openalex.org/I205783295 |
| primary_location.source.host_organization_name | Cornell University |
| primary_location.source.host_organization_lineage | https://openalex.org/I205783295 |
| primary_location.license | |
| primary_location.pdf_url | https://arxiv.org/pdf/1802.04925 |
| primary_location.version | submittedVersion |
| primary_location.raw_type | |
| primary_location.license_id | |
| primary_location.is_accepted | False |
| primary_location.is_published | False |
| primary_location.raw_source_name | |
| primary_location.landing_page_url | http://arxiv.org/abs/1802.04925 |
| publication_date | 2018-02-14 |
| publication_year | 2018 |
| referenced_works | https://openalex.org/W2329341088, https://openalex.org/W2059908963, https://openalex.org/W119144269, https://openalex.org/W3122681729, https://openalex.org/W2009129315, https://openalex.org/W2172525224, https://openalex.org/W2045992437, https://openalex.org/W2001213989, https://openalex.org/W2081877251, https://openalex.org/W1981797986, https://openalex.org/W2145912755, https://openalex.org/W2010997253, https://openalex.org/W2149189274, https://openalex.org/W2962868822, https://openalex.org/W2011131366 |
| referenced_works_count | 15 |
| abstract_inverted_index.In | 0, 46 |
| abstract_inverted_index.in | 69 |
| abstract_inverted_index.is | 57 |
| abstract_inverted_index.or | 82 |
| abstract_inverted_index.to | 28, 77 |
| abstract_inverted_index.The | 33 |
| abstract_inverted_index.and | 54 |
| abstract_inverted_index.are | 6, 43, 89 |
| abstract_inverted_index.can | 22 |
| abstract_inverted_index.due | 27 |
| abstract_inverted_index.for | 8, 95, 103 |
| abstract_inverted_index.our | 65 |
| abstract_inverted_index.the | 9, 24, 51, 60, 78, 87, 93 |
| abstract_inverted_index.bias | 25, 31, 70 |
| abstract_inverted_index.case | 81 |
| abstract_inverted_index.high | 100 |
| abstract_inverted_index.mild | 49 |
| abstract_inverted_index.real | 104 |
| abstract_inverted_index.this | 1 |
| abstract_inverted_index.weak | 52 |
| abstract_inverted_index.with | 14, 19, 37 |
| abstract_inverted_index.asset | 16 |
| abstract_inverted_index.case. | 85 |
| abstract_inverted_index.index | 97 |
| abstract_inverted_index.jumps | 42, 75 |
| abstract_inverted_index.local | 3 |
| abstract_inverted_index.model | 18 |
| abstract_inverted_index.stock | 96 |
| abstract_inverted_index.their | 29 |
| abstract_inverted_index.under | 48, 98 |
| abstract_inverted_index.which | 21 |
| abstract_inverted_index.belong | 76 |
| abstract_inverted_index.finite | 79 |
| abstract_inverted_index.jumps, | 20, 38 |
| abstract_inverted_index.linear | 4 |
| abstract_inverted_index.mainly | 44 |
| abstract_inverted_index.method | 66 |
| abstract_inverted_index.models | 36 |
| abstract_inverted_index.paper, | 2 |
| abstract_inverted_index.return | 17 |
| abstract_inverted_index.simple | 30 |
| abstract_inverted_index.adapted | 7 |
| abstract_inverted_index.correct | 23 |
| abstract_inverted_index.returns | 94 |
| abstract_inverted_index.through | 59, 72, 92 |
| abstract_inverted_index.unknown | 10 |
| abstract_inverted_index.whether | 74 |
| abstract_inverted_index.Finally, | 86 |
| abstract_inverted_index.activity | 41, 80, 84 |
| abstract_inverted_index.infinite | 40, 83 |
| abstract_inverted_index.presents | 67 |
| abstract_inverted_index.provided | 58 |
| abstract_inverted_index.sampling | 101 |
| abstract_inverted_index.theorem. | 63 |
| abstract_inverted_index.Lindeberg | 62 |
| abstract_inverted_index.addition, | 47 |
| abstract_inverted_index.diffusion | 35 |
| abstract_inverted_index.frequency | 102 |
| abstract_inverted_index.normality | 56 |
| abstract_inverted_index.advantages | 68 |
| abstract_inverted_index.associated | 13 |
| abstract_inverted_index.asymptotic | 55 |
| abstract_inverted_index.correction | 71 |
| abstract_inverted_index.especially | 39 |
| abstract_inverted_index.estimators | 5, 88 |
| abstract_inverted_index.integrated | 34 |
| abstract_inverted_index.simulation | 73 |
| abstract_inverted_index.conditional | 61 |
| abstract_inverted_index.conditions, | 50 |
| abstract_inverted_index.consistency | 53 |
| abstract_inverted_index.empirically | 91 |
| abstract_inverted_index.five-minute | 99 |
| abstract_inverted_index.illustrated | 90 |
| abstract_inverted_index.Furthermore, | 64 |
| abstract_inverted_index.application. | 105 |
| abstract_inverted_index.coefficients | 12 |
| abstract_inverted_index.automatically | 26 |
| abstract_inverted_index.infinitesimal | 11 |
| abstract_inverted_index.investigated. | 45 |
| abstract_inverted_index.continuous-time | 15 |
| abstract_inverted_index.representation. | 32 |
| cited_by_percentile_year | |
| countries_distinct_count | 0 |
| institutions_distinct_count | 3 |
| citation_normalized_percentile |