| 摘要: |
| 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Gärtner-Ellis定理及大偏差中的Delta方法，得到了估计量的中偏差原理. |
| 关键词: 复合泊松过程 点波动率 渐近正态性 门限方法 中偏差原理 |
| DOI： |
| 分类号:O211.4 |
| 基金项目:国家自然科学基金资助（11101210）；中央高校基本科研业务费（NS2015074）. |
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| ASYMPTOTIC PROPERTIES FOR SPOT VOLATILITY ESTIMATION OF DIFFUSIONS WITH COMPOUND POISSON JUMPS |
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CHEN Ying-ying, JIANG Hui
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Department of Mathematics, Nanjing University of Aeronautics and Astronautics, Nanjing 210016, China
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| Abstract: |
| 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 Gärtner-Ellis theorem, we obtain the moderate deviations. |
| Key words: compound Poisson process spot volatility asymptotic normality threshold criterion moderate deviations |
