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Research Details

The Realized Laplace Transform of Volatility, Econometrica

Abstract

We introduce and derive the asymptotic behavior of a new measure constructed from high-frequency data which we call the Realized Laplace Transform of volatility. The statistic provides a nonparametric estimate for the empirical Laplace transform function of the latent stochastic volatility process over a given interval of time and is robust to presence of jumps in the price process. With a long span of data, i.e., under joint long-span and infill asymptotics, the statistic can be used to construct a nonparametric estimate of the volatility Laplace transform as well as of the integrated joint Laplace transform of volatility over different points of time. We derive feasible functional limit theorems for our statistic both under fixed span and infill asymptotics as well as under joint long span and infill asymptotics which allow to quantify the precision in estimation under both sampling schemes.

Type

Article

Author(s)

Viktor Todorov, George Tauchen

Date Published

2012

Citations

Todorov, Viktor, and George Tauchen. 2012. The Realized Laplace Transform of Volatility. Econometrica. 80: 1105-1127.

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