Quarterly of Applied Mathematics, Vol. 70, No. 1 (March 2012), pp. 77-97 (21 pages) This note deals with the Laplace transforms of integrands of the form xλ Jα (ax) Jβ (bx), which are found in ...
We introduce and derive the asymptotic behavior of a new measure constructed from high-frequency data which we call the realized Laplace transform of volatility. The statistic provides a nonparametric ...
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