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Supplemental material - May 2012 Volume 80 Issue 3


The Realized Laplace Transform of Volatility

Viktor Todorov
George Tauchen

Go to: Data And ProgramsExtensions



Data And Programs - Supplement to "The Realzed Laplace Transform of Volatility"
Viktor Todorov and George Tauchen

Description: This zip file contains the replication files for the manuscript.

View the file (zip file format)



Extensions - Supplement to "The Realzed Laplace Transform of Volatility"
Viktor Todorov and George Tauchen

Description: This appendix consists of a shorter section describing the added details regarding the empirical work in the paper along with a longer section that presents asymptotic results for the Realized Laplace Transform for the case in which volatility has a deterministic intraday component.

View the file (pdf file format)



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