A modified wild bootstrap procedure for Laplace transforms of volatility

DOI10.1016/J.ECONLET.2025.112177MaRDI QIDQ6957350zbMATH OpenFDO

Authors Ulrich Hounyo, Zhi Liu, Rasmus T. Varneskov

Publication date 16 July 2025

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.ECONLET.2025.112177

zbMATH Keywords

bootstraphigh-frequency dataItô semimartingalesrealized Laplace transform

Mathematics Subject Classification ID

Laplace transform (44A10) Bootstrap, jackknife and other resampling methods (62F40) Financial markets (91G15)

Cites work

• Bootstrap procedures under some non-i.i.d. models
• Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading
• Bootstrapping Laplace transforms of volatility
• Bootstrapping pre-averaged realized volatility under market microstructure noise
• Bootstrapping Realized Volatility
• Jackknife, bootstrap and other resampling methods in regression analysis
• The realized Laplace transform of volatility

This page was built for publication: A modified wild bootstrap procedure for Laplace transforms of volatility

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6957350)