Large Deviation Principles of Realized Laplace Transform of Volatility

Feng, XW; He, LD; Liu, Z

He, LD (corresponding author), Univ Macau, Macau, Peoples R China.

JOURNAL OF THEORETICAL PROBABILITY, ; ():

Abstract

Under the scenario of high-frequency data, a consistent estimator of the realized Laplace transform of volatility is proposed by Todorov and Tauchen (......

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