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Hounyo, Ulrich [Author]; Liu, Zhi [Author]; Varneskov, Rasmus Tangsgaard [Author]

A Modified Wild Bootstrap Procedure for Laplace Transforms of Volatility

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  • Media type: E-Book
  • Title: A Modified Wild Bootstrap Procedure for Laplace Transforms of Volatility
  • Contributor: Hounyo, Ulrich [Author]; Liu, Zhi [Author]; Varneskov, Rasmus Tangsgaard [Author]
  • Published: [S.l.]: SSRN, 2022
  • Extent: 1 Online-Ressource (7 p)
  • Language: English
  • DOI: 10.2139/ssrn.4187049
  • Identifier:
  • Origination:
  • Footnote: Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 10, 2022 erstellt
  • Description: 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
  • Access State: Open Access