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Realized Laplace Transforms for Pure Jump Semi-martingales with Presence of Microstructure Noise
Li Wang1; Zhi Liu1; Xiaochao Xia2
2018-05-17
Source PublicationSoft Computing
ISSN1432-7643
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.

KeywordHigh-frequency Data Laplace Transform Microstructure Noise Pure Jump Processes
DOIhttps://doi.org/10.1007/s00500-018-3237-3
Language英语
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Document TypeJournal article
CollectionFaculty of Science and Technology
Faculty of Health Sciences
DEPARTMENT OF MATHEMATICS
Corresponding AuthorLi Wang
Affiliation1.University of Macau, Avenida da Universidade, Taipa, Macau, China
2.Huazhong Agricultural University, Xiyuan 64, Shizishan Street 1, Hongshan District, Wuhan, China
First Author AffilicationUniversity of Macau
Corresponding Author AffilicationUniversity of Macau
Recommended Citation
GB/T 7714
Li Wang,Zhi Liu,Xiaochao Xia. Realized Laplace Transforms for Pure Jump Semi-martingales with Presence of Microstructure Noise[J]. Soft Computing,2018.
APA Li Wang,Zhi Liu,&Xiaochao Xia.(2018).Realized Laplace Transforms for Pure Jump Semi-martingales with Presence of Microstructure Noise.Soft Computing.
MLA Li Wang,et al."Realized Laplace Transforms for Pure Jump Semi-martingales with Presence of Microstructure Noise".Soft Computing (2018).
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