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17.05.2018 | Methodologies and Application

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

verfasst von: Li Wang, Zhi Liu, Xiaochao Xia

Erschienen in: Soft Computing | Ausgabe 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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Titel: Realized Laplace transforms for pure jump semimartingales with presence of microstructure noise
verfasst von: Li Wang
Zhi Liu
Xiaochao Xia
Publikationsdatum: 17.05.2018
Verlag: Springer Berlin Heidelberg
Erschienen in: Soft Computing / Ausgabe 14/2019
Print ISSN: 1432-7643
Elektronische ISSN: 1433-7479
DOI: https://doi.org/10.1007/s00500-018-3237-3

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