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A modified wild bootstrap procedure for Laplace transforms of volatility

Author

Listed:
  • Hounyo, Ulrich
  • Liu, Zhi
  • Varneskov, Rasmus T.

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.

Suggested Citation

  • Hounyo, Ulrich & Liu, Zhi & Varneskov, Rasmus T., 2025. "A modified wild bootstrap procedure for Laplace transforms of volatility," Economics Letters, Elsevier, vol. 247(C).
    • Handle: RePEc:eee:ecolet:v:247:y:2025:i:c:s016517652500014x
    DOI: 10.1016/j.econlet.2025.112177
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    More about this item

    Keywords

    Bootstrap; High-frequency data; Itô semimartingales; Realized Laplace transform;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General

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