Large Deviation Principles of Realized Laplace Transform of Volatility

نویسندگان
چکیده

برای دانلود رایگان متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Laplace transform asymptotics and large deviation principles for longest success runs in Bernoulli trials

The longest stretch L(n) of consecutive heads in n i.i.d. coin tosses is seen from the prism of large deviations. We first establish precise asymptotics for the moment generating function of L(n) and then show that there are precisely two large deviation principles, one concerning the behavior of the distribution of L(n) near its nominal value log 1/p n and one away from it. We discuss applicat...

متن کامل

Realized Laplace Transforms for Estimation of Jump Diffusive Volatility Models∗

We develop a new efficient and analytically tractable method for estimation of parametric volatility models that is robust to price-level jumps and generally has good finite sample properties. The method entails first integrating intra-day data into the Realized Laplace Transform of volatility, which is a model-free and jump-robust estimate of daily integrated empirical Laplace transform of the...

متن کامل

Laplace Transform Estimates and Deviation Inequalities Estimées De La Transformée De Laplace Et Inégalités De Déviation

– We derive deviation inequalities from non-asymptotic bounds of the log-Laplace transform of a function of N random variables. We assume either that these random variables are independent or that they form a Markov chain. We assume also that the partial finite differences of order one and two of the function are suitably bounded, or more generally that they have some exponential moments. The e...

متن کامل

Modeling Gold Volatility: Realized GARCH Approach

F orecasting the volatility of a financial asset has wide implications in finance. Conditional variance extracted from the GARCH framework could be a suitable proxy of financial asset volatility. Option pricing, portfolio optimization, and risk management are examples of implications of conditional variance forecasting. One of the most recent methods of volatility forecasting is Real...

متن کامل

Asymmetric Adjustment of Realized Volatility

Using the multiple threshold autoregressive and moving average (TARMA) model we analyze the nonlinearities in the dynamics of realized volatilities of daily stock returns of 30 companies in the Dow Jones index. We find that the realized volatility processes can be characterized by the high, moderate, and low regimes and that the persistence, variance and ARMA error term change with each regime....

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Journal of Theoretical Probability

سال: 2021

ISSN: 0894-9840,1572-9230

DOI: 10.1007/s10959-020-01055-4