Large deviation principles of realized Laplace transform of volatility

DOI10.1007/s10959-020-01055-4zbMath1484.60031arXiv2010.14170OpenAlexW3120293022MaRDI QIDQ2116475

Xinwei Feng, Lidan He, Zhi Liu

Publication date: 17 March 2022

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

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

zbMATH Keywords

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

Mathematics Subject Classification ID

Large deviations (60F10)

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