A Modified Wild Bootstrap Procedure for Laplace Transforms of Volatility

Ulrich Hounyo; Zhi Liu; Rasmus T. Varneskov

doi:10.1016/j.econlet.2025.112177

A Modified Wild Bootstrap Procedure for Laplace Transforms of Volatility

Ulrich Hounyo
, Zhi Liu
, Rasmus T. Varneskov^*

^*Corresponding author for this work

Department of Finance

University at Albany
University of Macau
Zhuhai-UM Science and Technology Research Institute
Danish Finance Institute
Alphadyne Asset Management (Europe) A/S

Research output: Contribution to journal › Journal article › Research › peer-review

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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 language	English
Article number	112177
Journal	Economics Letters
Volume	247
Number of pages	3
ISSN	0165-1765
DOIs	https://doi.org/10.1016/j.econlet.2025.112177
Publication status	Published - Feb 2025

Keywords

Bootstrap
High-frequency data
Itô semimartingales
Realized Laplace transform

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title = "A Modified Wild Bootstrap Procedure for Laplace Transforms of Volatility",

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.",

keywords = "Bootstrap, High-frequency data, It{\^o} semimartingales, Realized Laplace transform, Bootstrap, High-frequency data, It{\^o} semimartingales, Realized Laplace transform",

author = "Ulrich Hounyo and Zhi Liu and Varneskov, \{Rasmus T.\}",

year = "2025",

month = feb,

doi = "10.1016/j.econlet.2025.112177",

language = "English",

volume = "247",

journal = "Economics Letters",

issn = "0165-1765",

publisher = "Elsevier",

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TY - JOUR

T1 - A Modified Wild Bootstrap Procedure for Laplace Transforms of Volatility

AU - Hounyo, Ulrich

AU - Liu, Zhi

AU - Varneskov, Rasmus T.

PY - 2025/2

Y1 - 2025/2

N2 - 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.

AB - 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.

KW - Bootstrap

KW - High-frequency data

KW - Itô semimartingales

KW - Realized Laplace transform

KW - Bootstrap

KW - High-frequency data

KW - Itô semimartingales

KW - Realized Laplace transform

U2 - 10.1016/j.econlet.2025.112177

DO - 10.1016/j.econlet.2025.112177

M3 - Journal article

SN - 0165-1765

VL - 247

JO - Economics Letters

JF - Economics Letters

M1 - 112177

ER -