Todorov, Viktor; Tauchen, George - Duke University, Department of Economics - 2010
We introduce a new measure constructed from high-frequency financial data which we call the Realized Laplace Transform … of volatility. The statistic provides a nonparametric estimate for the empirical Laplace transform of the latent … fill-in asymptotics, it is an estimate of the volatility Laplace transform. The asymptotic behavior of the statistic …