The Realized Laplace Transform of Volatility

DOI10.3982/ECTA9133zbMath1274.91344MaRDI 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 transform; jumps; stochastic volatility; central limit theorem; high-frequency data

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62G05: Nonparametric estimation

60F05: Central limit and other weak theorems

91B84: Economic time series analysis

60H30: Applications of stochastic analysis (to PDEs, etc.)

44A10: Laplace transform

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