Realized Laplace transforms for pure jump semimartingales with presence of microstructure noise
DOI10.1007/S00500-018-3237-3zbMATH Open1418.62076OpenAlexW2804992590WikidataQ129807784 ScholiaQ129807784MaRDI QIDQ2318293FDOQ2318293
Authors: Li Wang, Zhi Liu, Xiaochao Xia 
Publication date: 14 August 2019
Published in: Soft Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00500-018-3237-3
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Cited In (5)
- Realized Laplace transforms for pure-jump semimartingales
- Rate efficient estimation of realized Laplace transform of volatility with microstructure noise
- Realized Laplace transforms for estimation of jump diffusive volatility models
- Large deviation principles of realized Laplace transform of volatility
- The realized Laplace transform of volatility
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