2 papers
math.ST2020
Large Deviation principles of Realized Laplace Transform of Volatility
Xinwei Feng, Lidan He, Zhi Liu
Under scenario of high frequency data, consistent estimator of realized Laplace transform of volatility is proposed by \citet{TT2012a} and related central limit theorem has been we…
math.ST2020
Edgeworth corrections for spot volatility estimator
Lidan He, Qiang Liu, Zhi Liu
We develop Edgeworth expansion theory for spot volatility estimator under general assumptions on the log-price process that allow for drift and leverage effect. The result is based…