Abstract
In this note, we propose a modified wild (MW) bootstrap-based procedure for the realized Laplace transform (RLT) of volatility. We establish its first-order asymptotic validity.
Original language | English |
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Article number | 112177 |
Journal | Economics Letters |
Volume | 247 |
Number of pages | 3 |
ISSN | 0165-1765 |
DOIs | |
Publication status | Published - Feb 2025 |
Keywords
- Bootstrap
- High-frequency data
- Itô semimartingales
- Realized Laplace transform