Realized Laplace transforms for pure-jump semimartingales

DOI10.1214/12-AOS1006zbMath1274.62191arXiv1207.5615OpenAlexW2067252880MaRDI QIDQ447866

Viktor Todorov, George Tauchen

Publication date: 29 August 2012

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1207.5615

zbMATH Keywords

Laplace transformjumpshigh-frequency datainferencetime-varying scale

Mathematics Subject Classification ID

Related Items (16)

Statistical inference for time-changed Lévy processes via Mellin transform approach ⋮ Permutation‐based tests for discontinuities in event studies ⋮ On the estimation of the jump activity index in the case of random observation times ⋮ Power variation from second order differences for pure jump semimartingales ⋮ Non-Gaussian quasi-likelihood estimation of SDE driven by locally stable Lévy process ⋮ Higher-order small time asymptotic expansion of Itô semimartingale characteristic function with application to estimation of leverage from options ⋮ Estimation and Calibration of Lévy Models via Fourier Methods ⋮ Efficient estimation of integrated volatility in presence of infinite variation jumps ⋮ Jump activity estimation for pure-jump semimartingales via self-normalized statistics ⋮ Realized Laplace transforms for estimation of jump diffusive volatility models ⋮ A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation ⋮ Inference for local distributions at high sampling frequencies: a bootstrap approach ⋮ Limit theorems for the empirical distribution function of scaled increments of Itô semimartingales at high frequencies ⋮ Realized Laplace transforms for pure jump semimartingales with presence of microstructure noise ⋮ INFERENCE FOR OPTION PANELS IN PURE-JUMP SETTINGS ⋮ Large deviation principles of realized Laplace transform of volatility

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