A modified wild bootstrap procedure for Laplace transforms of volatility

Ulrich Hounyo, Zhi Liu and Rasmus T. Varneskov

Economics Letters, 2025, vol. 247, issue C

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; Itô semimartingales; Realized Laplace transform (search for similar items in EconPapers)
JEL-codes: C14 C15 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:247:y:2025:i:c:s016517652500014x

DOI: 10.1016/j.econlet.2025.112177

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