{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,8]],"date-time":"2026-10-08T09:24:05Z","timestamp":1791451445676,"version":"4.3.3"},"reference-count":36,"publisher":"Cambridge University Press (CUP)","issue":"5","license":[{"start":{"date-parts":[[2015,5,25]],"date-time":"2015-05-25T00:00:00Z","timestamp":1432512000000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2016,10]]},"abstract":"<jats:p>We propose a consistent functional estimator for the occupation time of the spot variance of an asset price observed at discrete times on a finite interval with the mesh of the observation grid shrinking to zero. The asset price is modeled nonparametrically as a continuous-time It\u00f4 semimartingale with nonvanishing diffusion coefficient. The estimation procedure contains two steps. In the first step we estimate the Laplace transform of the volatility occupation time and, in the second step, we conduct a regularized Laplace inversion. Monte Carlo evidence suggests that the proposed estimator has good small-sample performance and in particular it is far better at estimating lower volatility quantiles and the volatility median than a direct estimator formed from the empirical cumulative distribution function of local spot volatility estimates. An empirical application shows the use of the developed techniques for nonparametric analysis of variation of volatility.<\/jats:p>","DOI":"10.1017\/s0266466615000171","type":"journal-article","created":{"date-parts":[[2015,5,25]],"date-time":"2015-05-25T09:10:44Z","timestamp":1432545044000},"page":"1253-1288","source":"Crossref","is-referenced-by-count":10,"title":["ESTIMATING THE VOLATILITY OCCUPATION TIME VIA REGULARIZED LAPLACE INVERSION"],"prefix":"10.1017","volume":"32","author":[{"given":"Jia","family":"Li","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Viktor","family":"Todorov","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"George","family":"Tauchen","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2015,5,25]]},"reference":[{"key":"S0266466615000171_ref36","doi-asserted-by":"publisher","DOI":"10.1017\/CBO9780511802256"},{"key":"S0266466615000171_ref28","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9469.2008.00622.x"},{"key":"S0266466615000171_ref15","doi-asserted-by":"publisher","DOI":"10.1214\/aop\/1176994824"},{"key":"S0266466615000171_ref30","volume-title":"Stochastic Integration and Differential Equations","author":"Protter","year":"2004"},{"key":"S0266466615000171_ref1","doi-asserted-by":"publisher","DOI":"10.1214\/08-AOS640"},{"key":"S0266466615000171_ref25","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-642-20212-4"},{"key":"S0266466615000171_ref12","doi-asserted-by":"publisher","DOI":"10.1088\/1469-7688\/2\/1\/304"},{"key":"S0266466615000171_ref29","doi-asserted-by":"publisher","DOI":"10.1017\/CBO9780511617997"},{"key":"S0266466615000171_ref10","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(95)01735-6"},{"key":"S0266466615000171_ref22","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466609090616"},{"key":"S0266466615000171_ref5","first-page":"177","article-title":"Studies of stock price volatility changes","author":"Black","year":"1976","journal-title":"Proceedings of the Business and Economics Section of the American Statistical Association"},{"key":"S0266466615000171_ref24","doi-asserted-by":"publisher","DOI":"10.1088\/0266-5611\/19\/5\/313"},{"key":"S0266466615000171_ref20","doi-asserted-by":"publisher","DOI":"10.1214\/13-AOS1179"},{"key":"S0266466615000171_ref2","volume-title":"Handbook of the Economics of Finance, Vol.II","author":"Andersen","year":"2013"},{"key":"S0266466615000171_ref16","volume-title":"Handbook of Econometrics","volume":"4","author":"H\u00e4rdle","year":"1994"},{"key":"S0266466615000171_ref17","volume-title":"Inequalities","author":"Hardy","year":"1952"},{"key":"S0266466615000171_ref35","doi-asserted-by":"crossref","first-page":"1105","DOI":"10.3982\/ECTA9133","article-title":"The Realized Laplace Transform of Volatility","volume":"80","author":"Todorov","year":"2012b","journal-title":"Economtrica"},{"key":"S0266466615000171_ref18","doi-asserted-by":"publisher","DOI":"10.1007\/978-1-4899-0027-2"},{"key":"S0266466615000171_ref19","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-642-24127-7"},{"key":"S0266466615000171_ref7","doi-asserted-by":"publisher","DOI":"10.1017\/S026646661000040X"},{"key":"S0266466615000171_ref11","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9965.00057"},{"key":"S0266466615000171_ref8","volume-title":"Handbook of Econometrics","author":"Carrasco","year":"2007"},{"key":"S0266466615000171_ref13","doi-asserted-by":"publisher","DOI":"10.1214\/009117906000000980"},{"key":"S0266466615000171_ref31","doi-asserted-by":"crossref","unstructured":"Renault E. , Sarisoy C. , & Werker B. J. (2014) Efficient estimation of integrated volatility and related processes. Technical report, Brown University.","DOI":"10.2139\/ssrn.2293570"},{"key":"S0266466615000171_ref32","volume-title":"L\u00e9vy Processes and Infinitely Divisible Distributions","author":"Sato","year":"1999"},{"key":"S0266466615000171_ref3","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbh001"},{"key":"S0266466615000171_ref4","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbi022"},{"key":"S0266466615000171_ref14","doi-asserted-by":"publisher","DOI":"10.2307\/2171927"},{"key":"S0266466615000171_ref9","doi-asserted-by":"crossref","first-page":"1093","DOI":"10.3982\/ECTA7880","article-title":"Quantile and Probability Curves without Crossing","volume":"78","author":"Chernozhukov","year":"2010","journal-title":"Econometrica"},{"key":"S0266466615000171_ref21","doi-asserted-by":"publisher","DOI":"10.1214\/13-AOS1115"},{"key":"S0266466615000171_ref23","doi-asserted-by":"publisher","DOI":"10.1088\/0266-5611\/19\/3\/307"},{"key":"S0266466615000171_ref26","doi-asserted-by":"publisher","DOI":"10.1214\/13-AOS1135"},{"key":"S0266466615000171_ref27","first-page":"19","article-title":"Disentangling the jumps of the diffusion in a geometric jumping Brownian motion","author":"Mancini","year":"2001","journal-title":"Giornale dell\u2019Istituto Italiano degli Attuari LXIV"},{"key":"S0266466615000171_ref33","volume-title":"Solutions of Ill-Posed Problems","author":"Tikhonov","year":"1977"},{"key":"S0266466615000171_ref34","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.2012.682854"},{"key":"S0266466615000171_ref6","doi-asserted-by":"crossref","first-page":"1727","DOI":"10.3982\/ECTA9240","article-title":"Estimation of Jump Tails","volume":"79","author":"Bollerslev","year":"2011","journal-title":"Economtrica"}],"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466615000171","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,8,25]],"date-time":"2019-08-25T13:54:15Z","timestamp":1566741255000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466615000171\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2015,5,25]]},"references-count":36,"journal-issue":{"issue":"5","published-print":{"date-parts":[[2016,10]]}},"alternative-id":["S0266466615000171"],"URL":"https:\/\/doi.org\/10.1017\/s0266466615000171","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[2015,5,25]]}}}