Realized Laplace transforms for estimation of jump diffusive volatility models
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Publication:738034
DOI10.1016/j.jeconom.2011.06.016zbMath1441.62889OpenAlexW2119657892MaRDI QIDQ738034
Iaryna Grynkiv, Viktor Todorov, George Tauchen
Publication date: 12 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.06.016
Processes with independent increments; Lévy processes (60G51) Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05)
Related Items (10)
Bootstrapping Laplace transforms of volatility ⋮ Asymptotic inference about predictive accuracy using high frequency data ⋮ Realized Laplace transforms for pure-jump semimartingales ⋮ Inverse Realized Laplace Transforms for Nonparametric Volatility Density Estimation in Jump-Diffusions ⋮ Bandwidth selection of nonparametric threshold estimator in jump-diffusion models ⋮ Volatility activity: specification and estimation ⋮ EFFICIENT ESTIMATION OF INTEGRATED VOLATILITY FUNCTIONALS UNDER GENERAL VOLATILITY DYNAMICS ⋮ The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing ⋮ Testing for pure-jump processes for high-frequency data ⋮ Large deviation principles of realized Laplace transform of volatility
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