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17-05-2018 | Methodologies and Application

Realized Laplace transforms for pure jump semimartingales with presence of microstructure noise

Authors: Li Wang, Zhi Liu, Xiaochao Xia

Published in: Soft Computing | Issue 14/2019

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Abstract

This paper considers the estimation of integrated Laplace transform of local ‘volatility’ by using noisy high-frequency data. We allow for the presence of microstructure noise under a pure jump semimartingale over a fixed time interval [0, t]. We propose an efficient estimator for the integrated Laplace transform of volatility via applying the pre-averaging method. Under some mild conditions on the Lévy density, the asymptotic properties of the estimator including consistency and asymptotic normality are established. Simulation studies further confirm our theoretical results.

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Title: Realized Laplace transforms for pure jump semimartingales with presence of microstructure noise
Authors: Li Wang
Zhi Liu
Xiaochao Xia
Publication date: 17-05-2018
Publisher: Springer Berlin Heidelberg
Published in: Soft Computing / Issue 14/2019
Print ISSN: 1432-7643
Electronic ISSN: 1433-7479
DOI: https://doi.org/10.1007/s00500-018-3237-3

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