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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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    References listed on IDEAS

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    1. Hounyo, Ulrich & Gonçalves, Sílvia & Meddahi, Nour, 2017. "Bootstrapping Pre-Averaged Realized Volatility Under Market Microstructure Noise," Econometric Theory, Cambridge University Press, vol. 33(4), pages 791-838, August.
    2. Hounyo, Ulrich, 2017. "Bootstrapping integrated covariance matrix estimators in noisy jump–diffusion models with non-synchronous trading," Journal of Econometrics, Elsevier, vol. 197(1), pages 130-152.
    3. Ulrich Hounyo & Zhi Liu & Rasmus T. Varneskov, 2023. "Bootstrapping Laplace transforms of volatility," Quantitative Economics, Econometric Society, vol. 14(3), pages 1059-1103, July.
    4. Sílvia Gonçalves & Nour Meddahi, 2009. "Bootstrapping Realized Volatility," Econometrica, Econometric Society, vol. 77(1), pages 283-306, January.
    5. Viktor Todorov & George Tauchen, 2012. "The Realized Laplace Transform of Volatility," Econometrica, Econometric Society, vol. 80(3), pages 1105-1127, May.
    Full references (including those not matched with items on IDEAS)

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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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