Inverse Realized Laplace Transforms for Nonparametric Volatility Estimation in Jump-Diffusions
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Li, Gang & Zhang, Chu, 2016. "On the relationship between conditional jump intensity and diffusive volatility," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 196-213.
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More about this item
KeywordsLaplace transform; stochastic volatility; ill-posed problems; regularization; nonparametric density estimation; high-frequency data;
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-11-14 (All new papers)
- NEP-ECM-2011-11-14 (Econometrics)
- NEP-ETS-2011-11-14 (Econometric Time Series)
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