On the Realized Joint Laplace Transform of Volatilities with Application to Test the Volatility Dependence
波动率的已实现联合拉普拉斯变换及其依赖性检验
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…