The Realized Laplace Transform of Volatility (Q2859081)

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The Realized Laplace Transform of Volatility
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    title
    The Realized Laplace Transform of Volatility (English)
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    DOI
    10.3982/ECTA9133
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    author
    Viktor Todorov
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    George Tauchen
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    published in
    Econometrica
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    publication date
    6 November 2013
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    Mathematics Subject Classification ID
    91B84
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    44A10
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    60F05
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    60H30
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    62P20
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    62G05
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    zbMATH DE Number
    6223222
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    zbMATH Keywords
    Laplace transform
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    stochastic volatility
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    central limit theorem
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    jumps
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    high-frequency data
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