This paper derives the asymptotic behavior of realized power variation of pure-jump It^o semimartingales as the sampling frequency within a fixed interval increases to infinity. We prove convergence in probability and an associated central limit theorem for the realized power variation as a...

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 stochastic volatility process over a given interval of time....