34 citations · 61 across the 2 of their papers we have counts for
2 papers
math.ST2012★ 34 cited
Realized Laplace transforms for pure-jump semimartingales
Viktor Todorov, George Tauchen
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 t…
math.PR2011★ 27 cited
Limit theorems for power variations of pure-jump processes with application to activity estimation
Viktor Todorov, George Tauchen
This paper derives the asymptotic behavior of realized power variation of pure-jump Itô semimartingales as the sampling frequency within a fixed interval increases to infinity. We…