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The Realized Laplace Transform of Volatility

Publication ,  Journal Article
Todorov, V; Tauchen, G
Published in: Econometrica
2012

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 the presence of jumps in the price process. With a long span of data, that is, 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 us to quantify the precision in estimation under both sampling schemes. © 2012 The Econometric Society.

Duke Scholars

Published In

Econometrica

DOI

ISSN

0012-9682

Publication Date

2012

Volume

80

Issue

3

Start / End Page

1105 / 1127

Related Subject Headings

  • Econometrics
  • 3803 Economic theory
  • 3802 Econometrics
  • 3801 Applied economics
  • 1403 Econometrics
  • 1402 Applied Economics
  • 1401 Economic Theory
 

Citation

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MLA
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Todorov, V., & Tauchen, G. (2012). The Realized Laplace Transform of Volatility. Econometrica, 80(3), 1105–1127. https://doi.org/10.3982/ECTA9133
Todorov, V., and G. Tauchen. “The Realized Laplace Transform of Volatility.” Econometrica 80, no. 3 (2012): 1105–27. https://doi.org/10.3982/ECTA9133.
Todorov V, Tauchen G. The Realized Laplace Transform of Volatility. Econometrica. 2012;80(3):1105–27.
Todorov, V., and G. Tauchen. “The Realized Laplace Transform of Volatility.” Econometrica, vol. 80, no. 3, 2012, pp. 1105–27. Scival, doi:10.3982/ECTA9133.
Todorov V, Tauchen G. The Realized Laplace Transform of Volatility. Econometrica. 2012;80(3):1105–1127.
Journal cover image

Published In

Econometrica

DOI

ISSN

0012-9682

Publication Date

2012

Volume

80

Issue

3

Start / End Page

1105 / 1127

Related Subject Headings

  • Econometrics
  • 3803 Economic theory
  • 3802 Econometrics
  • 3801 Applied economics
  • 1403 Econometrics
  • 1402 Applied Economics
  • 1401 Economic Theory