The Realized Laplace Transform of Volatility

DOI10.3982/ECTA9133zbMath1274.91344OpenAlexW2246093936MaRDI QIDQ2859081

Viktor Todorov, George Tauchen

Publication date: 6 November 2013

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3982/ecta9133

zbMATH Keywords

Laplace transformjumpsstochastic volatilitycentral limit theoremhigh-frequency data

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric estimation (62G05) Central limit and other weak theorems (60F05) Economic time series analysis (91B84) Applications of stochastic analysis (to PDEs, etc.) (60H30) Laplace transform (44A10)

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