A Modified Wild Bootstrap Procedure for Laplace Transforms of Volatility

Ulrich Hounyo, Zhi Liu, Rasmus T. Varneskov*

*Corresponding author for this work

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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 languageEnglish
Article number112177
JournalEconomics Letters
Volume247
Number of pages3
ISSN0165-1765
DOIs
Publication statusPublished - Feb 2025

Keywords

  • Bootstrap
  • High-frequency data
  • Itô semimartingales
  • Realized Laplace transform

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