Inverse Realized Laplace Transforms for Nonparametric Volatility Density Estimation in Jump-Diffusions

DOI10.1080/01621459.2012.682854zbMath1261.62032OpenAlexW2144436120MaRDI QIDQ4916500

George Tauchen, Viktor Todorov

Publication date: 22 April 2013

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/01621459.2012.682854

zbMATH Keywords

regularizationstochastic volatilityill-posed problemshigh-frequency datanonparametric density estimation

Mathematics Subject Classification ID

Density estimation (62G07) Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05) Generalizations of martingales (60G48)

Related Items (9)

Nonparametric optimal designs for degradation tests ⋮ On the systematic and idiosyncratic volatility with large panel high-frequency data ⋮ Bootstrapping Laplace transforms of volatility ⋮ ESTIMATING THE VOLATILITY OCCUPATION TIME VIA REGULARIZED LAPLACE INVERSION ⋮ First passage time of a Lévy degradation model with random effects ⋮ A data-driven framework for consistent financial valuation and risk measurement ⋮ Near-optimal estimation of jump activity in semimartingales ⋮ Asymptotics for the systematic and idiosyncratic volatility with large dimensional high-frequency data ⋮ Realized Laplace transforms for pure jump semimartingales with presence of microstructure noise

Cites Work

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