Large deviation principles of realized Laplace transform of volatility

DOI10.1007/S10959-020-01055-4zbMATH Open1484.60031arXiv2010.14170OpenAlexW3120293022MaRDI QIDQ2116475FDOQ2116475

Xinwei Feng, Lidan He, Zhi Liu

Publication date: 17 March 2022

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Abstract: Under scenario of high frequency data, consistent estimator of realized Laplace transform of volatility is proposed by citet{TT2012a} and related central limit theorem has been well established. In this paper, we investigate the asymptotic tail behaviour of the empirical realized Laplace transform of volatility (ERLTV). We establish both large deviation principle and moderate deviation principle for the ERLTV. The good rate function for the large deviation principle is well defined in the whole real space, which indicates a limit for the normalized logarithmic tail probability of the ERLTV. Moreover, we also derive the function-level large and moderate deviation principles for ERLTV.

Full work available at URL: https://arxiv.org/abs/2010.14170

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zbMATH Keywords

large deviationmoderate deviationhigh-frequency datasemi-martingalerealized Laplace transform of volatility

Mathematics Subject Classification ID

Large deviations (60F10)

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Cited In (2)

• Inverse Realized Laplace Transforms for Nonparametric Volatility Density Estimation in Jump-Diffusions
• Realized Laplace transforms for estimation of jump diffusive volatility models

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