Jiayi Meng
Current Organizations / Institutes
The organizations/institutes from the scholar's latest article
Jiayi Meng has a total of 4 co-authors. Here are the top co-authors by number of shared publications:
- Chen Li
Institute for Financial Studies, Shandong University, Jinan 250100, China
1 shared publication - Hemin Wang
School of Finance and Business, Shanghai Normal University, Shanghai 200234, China
1 shared publication - Liang Hao
School of Finance and Business, Shanghai Normal University, Shanghai 200234, China
1 shared publication - Yuping Song
School of Finance and Business, Shanghai Normal University, Shanghai, China
1 shared publication
Latest Publications
- Open Access
- 13 May 2023
- Published by MDPI AG in Mathematics
- Vol. 11 (10) , 2281
Nonparametric Threshold Estimation for Drift Function in Jump–Diffusion Model of Interest Rate Using Asymmetric Kernel
The existing estimators for the drift coefficient in the diffusion model with jumps involve jump components and possess larger boundary error. How to effectively estimate the drift function is an important issue that faces challenges and has theoretical significance. In this paper, the gamma asymmetric kernel for boundary correction and threshold function eliminating jump impacts are combined to estimate the unknown drift coefficient in the jump diffusion process of interest rate. The asymptotic large sample property and the better finite sample property through the Monte Carlo numerical simulation experiment and the empirical analysis of SHIBOR and LIBOR for the corresponding estimator are considered in detail. It is found that the estimator proposed in this paper can correct the estimation error near or far away from the origin point, which provides a more asymptotic unbiased estimator for the drift function in diffusion models with jumps.
- 13 May 2023
- Published by MDPI AG in Mathematics
- Vol. 11 (10) , 2281
Open AccessNonparametric Threshold Estimation for Drift Function in Jump–Diffusion Model of Interest Rate Using Asymmetric Kernel
The existing estimators for the drift coefficient in the diffusion model with jumps involve jump components and possess larger boundary error. How to effectively estimate the drift function is an important issue that faces challenges and has theoretical significance. In this paper, the gamma asymmetric kernel for boundary correction and threshold function eliminating jump impacts are combined to estimate the unknown drift coefficient in the jump diffusion process of interest rate. The asymptotic large sample property and the better finite sample property through the Monte Carlo numerical simulation experiment and the empirical analysis of SHIBOR and LIBOR for the corresponding estimator are considered in detail. It is found that the estimator proposed in this paper can correct the estimation error near or far away from the origin point, which provides a more asymptotic unbiased estimator for the drift function in diffusion models with jumps.