Realized Laplace transforms for pure-jump semimartingales

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

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

Power Variation from Second Order Differences for Pure Jump Semimartingales∗

We introduce power variation constructed from powers of the second-order differences of a discretely observed pure-jump semimartingale processes. We derive the asymptotic behavior of the statistic in the setting of high-frequency observations of the underlying process with a fixed time span. Unlike the standard power variation (formed from the first-order differences of the process), the limit ...

متن کامل

On the jump activity index for semimartingales

Empirical evidence of asset price discontinuities or ‘‘jumps’’ in financial markets has been well documented in the literature. Recently, Aït-Sahalia and Jacod (2009b) defined a general ‘‘jump activity index’’ to describe the degree of jump activities for asset price semimartingales, and provided a consistent estimatorwhen the underlying process contains both a continuous and a jump component. ...

متن کامل

Properties of Realized Variance for a Pure Jump Process: Calendar Time Sampling versus Business Time Sampling

In this paper we study the impact of market microstructure effects on the properties of realized variance using a pure jump process for high frequency security prices. Closed form expressions for the bias and mean squared error of realized variance are derived under alternative sampling schemes. Importantly, we show that business time sampling is generally superior to the common practice of cal...

متن کامل

The h-Laplace and q-Laplace transforms

Article history: Received 12 May 2009 Available online 6 October 2009 Submitted by B.S. Thomson

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: The Annals of Statistics

سال: 2012

ISSN: 0090-5364

DOI: 10.1214/12-aos1006