On the Realized Joint Laplace Transform of Volatilities with Application to Test the Volatility Dependence

XinWei Feng, Yu Jiang, Zhi Liu and Zhe Meng

Papers from arXiv.org

Abstract: In this paper, we first investigate the estimation of the empirical joint Laplace transform of volatilities of two semi-martingales within a fixed time interval [0, T] by using overlapped increments of high-frequency data. The proposed estimator is robust to the presence of finite variation jumps in price processes. The related functional central limit theorem for the proposed estimator has been established. Compared with the estimator with non-overlapped increments, the estimator with overlapped increments improves the asymptotic estimation efficiency. Moreover, we study the asymptotic theory of estimator under a long-span setting and employ it to create a feasible test for the dependence between volatilities. Finally, simulation and empirical studies demonstrate the performance of proposed estimators.

Date: 2025-03
References: Add references at CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/2503.02283 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2503.02283

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().