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Realized Laplace transforms for estimation of jump diffusive volatility models

Publication ,  Journal Article
Todorov, V; Tauchen, G; Grynkiv, I
Published in: Journal of Econometrics
October 1, 2011

We develop an efficient and analytically tractable method for estimation of parametric volatility models that is robust to price-level jumps. The method entails first integrating intra-day data into the Realized Laplace Transform of volatility, which is a model-free estimate of the daily integrated empirical Laplace transform of the unobservable volatility. The estimation is then done by matching moments of the integrated joint Laplace transform with those implied by the parametric volatility model. In the empirical application, the best fitting volatility model is a non-diffusive two-factor model where low activity jumps drive its persistent component and more active jumps drive the transient one. © 2011 Elsevier B.V. All rights reserved.

Duke Scholars

Published In

Journal of Econometrics

DOI

ISSN

0304-4076

Publication Date

October 1, 2011

Volume

164

Issue

2

Start / End Page

367 / 381

Related Subject Headings

  • Econometrics
  • 4905 Statistics
  • 3802 Econometrics
  • 3801 Applied economics
  • 1403 Econometrics
  • 1402 Applied Economics
  • 0104 Statistics
 

Citation

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Todorov, V., Tauchen, G., & Grynkiv, I. (2011). Realized Laplace transforms for estimation of jump diffusive volatility models. Journal of Econometrics, 164(2), 367–381. https://doi.org/10.1016/j.jeconom.2011.06.016
Todorov, V., G. Tauchen, and I. Grynkiv. “Realized Laplace transforms for estimation of jump diffusive volatility models.” Journal of Econometrics 164, no. 2 (October 1, 2011): 367–81. https://doi.org/10.1016/j.jeconom.2011.06.016.
Todorov V, Tauchen G, Grynkiv I. Realized Laplace transforms for estimation of jump diffusive volatility models. Journal of Econometrics. 2011 Oct 1;164(2):367–81.
Todorov, V., et al. “Realized Laplace transforms for estimation of jump diffusive volatility models.” Journal of Econometrics, vol. 164, no. 2, Oct. 2011, pp. 367–81. Scopus, doi:10.1016/j.jeconom.2011.06.016.
Todorov V, Tauchen G, Grynkiv I. Realized Laplace transforms for estimation of jump diffusive volatility models. Journal of Econometrics. 2011 Oct 1;164(2):367–381.
Journal cover image

Published In

Journal of Econometrics

DOI

ISSN

0304-4076

Publication Date

October 1, 2011

Volume

164

Issue

2

Start / End Page

367 / 381

Related Subject Headings

  • Econometrics
  • 4905 Statistics
  • 3802 Econometrics
  • 3801 Applied economics
  • 1403 Econometrics
  • 1402 Applied Economics
  • 0104 Statistics