UM  > 科技學院  > 數學系
Realized Laplace transforms for pure jump semimartingales with presence of microstructure noise
Li Wang1; Zhi Liu1; · Xiaochao Xi2
2018-05-17
Source PublicationSOFT COMPUTING
ISSN1432-7643
Volume23Issue:14Pages:5739-5752
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
DOI10.1007/s00500-018-3237-3
Indexed BySCI
Language英语
WOS Research AreaComputer Science
WOS SubjectComputer Science, Artificial Intelligence ; Computer Science, Interdisciplinary Applications
WOS IDWOS:000471064400033
PublisherSPRINGER, 233 SPRING ST, NEW YORK, NY 10013 USA
Fulltext Access
Citation statistics
Cited Times [WOS]:0   [WOS Record]     [Related Records in WOS]
Document TypeJournal article
CollectionDEPARTMENT OF MATHEMATICS
Faculty of Health Sciences
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 Xi. Realized Laplace transforms for pure jump semimartingales with presence of microstructure noise[J]. SOFT COMPUTING,2018,23(14):5739-5752.
APA Li Wang,Zhi Liu,&· Xiaochao Xi.(2018).Realized Laplace transforms for pure jump semimartingales with presence of microstructure noise.SOFT COMPUTING,23(14),5739-5752.
MLA Li Wang,et al."Realized Laplace transforms for pure jump semimartingales with presence of microstructure noise".SOFT COMPUTING 23.14(2018):5739-5752.
Related Services
Recommend this item
Bookmark
Usage statistics
Export to Endnote
Google Scholar
Similar articles in Google Scholar
[Li Wang]'s Articles
[Zhi Liu]'s Articles
[· Xiaochao Xi]'s Articles
Baidu academic
Similar articles in Baidu academic
[Li Wang]'s Articles
[Zhi Liu]'s Articles
[· Xiaochao Xi]'s Articles
Bing Scholar
Similar articles in Bing Scholar
[Li Wang]'s Articles
[Zhi Liu]'s Articles
[· Xiaochao Xi]'s Articles
Terms of Use
No data!
Social Bookmark/Share
All comments (0)
No comment.
 

Items in the repository are protected by copyright, with all rights reserved, unless otherwise indicated.