Publications [#238944] of George E. Tauchen

Journal Articles

1. Todorov, V; Tauchen, G; Grynkiv, I, Realized Laplace transforms for estimation of jump diffusive volatility models, Journal of Econometrics, vol. 164 no. 2 (October, 2011), pp. 367-381, Elsevier BV, ISSN 0304-4076 [doi]
   (last updated on 2024/01/01)

   Abstract:
   We develop an efficient and analytically tractable method for estimation of parametric volatility models that is robust to price-level jumps. The method entails first integrating intra-day data into the Realized Laplace Transform of volatility, which is a model-free estimate of the daily integrated empirical Laplace transform of the unobservable volatility. The estimation is then done by matching moments of the integrated joint Laplace transform with those implied by the parametric volatility model. In the empirical application, the best fitting volatility model is a non-diffusive two-factor model where low activity jumps drive its persistent component and more active jumps drive the transient one. © 2011 Elsevier B.V. All rights reserved.