Large Deviation principles of Realized Laplace Transform of Volatility

2020/10/27 by Xinwei Feng, Feng, Xinwei, Lidan He +3
Mathematics · #60F10 #62J05 #FOS: Mathematics #Statistics Theory (math.ST) #math.ST #msc:60F10 #msc:62J05 #stat.TH

paper · pdf · doi:10.48550/arxiv.2010.14170

20pages, 2figures

arxiv created 2020/10/27 · arxiv updated 2020/10/28

Abstract

Under scenario of high frequency data, consistent estimator of realized Laplace transform of volatility is proposed by \citetTT2012a and related central limit theorem has been well established. In this paper, we investigate the asymptotic tail behaviour of the empirical realized Laplace transform of volatility (ERLTV). We establish both large deviation principle and moderate deviation principle for the ERLTV. The good rate function for the large deviation principle is well defined in the whole real space, which indicates a limit for the normalized logarithmic tail probability of the ERLTV. Moreover, we also derive the function-level large and moderate deviation principles for ERLTV.

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