Reweighted Nadaraya–Watson estimation of stochastic volatility jump-diffusion models

In this paper, we construct the reweighted Nadaraya–Watson estimators of the infinitesimal moments for the volatility process of the stochastic volatility models, with the application of the threshold estimator of the unobserved volatility process. Our model includes jumps in both the underlying asset price and its volatility process. We derive the asymptotic properties of the estimators under the infill and long span assumptions. The results are useful for identification of the process. The finite-sample performance of the estimators is studied through Monte Carlo simulation.