Realized Laplace Transforms for Pure-jump Semimartingales

@inproceedings{Todorov2012RealizedLT,
  title={Realized Laplace Transforms for Pure-jump Semimartingales},
  author={Viktor Todorov and GEORGE TAUCHEN and G. TAUCHEN},
  year={2012}
}
We consider specification and inference for the stochastic scale of discretely-observed pure-jump semimartingales with locally stable Lévy densities in the setting where both the time span of the data set increases, and the mesh of the observation grid decreases. The estimation is based on constructing a nonparametric estimate for the empirical Laplace transform of the stochastic scale over a given interval of time by aggregating high-frequency increments of the observed process on that time… CONTINUE READING

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