Tewodros Amdeberhan, Olivier Espinosa, Victor H. Moll, The Laplace Transform of the Digamma Function: An Integral Due to Glasser, Manna and Oloa, Proceedings of the American Mathematical Society, Vol.

We introduce and derive the asymptotic behavior of a new measure constructed from high-frequency data which we call the realized Laplace transform of volatility. The statistic provides a nonparametric ...