A Modified Wild Bootstrap Procedure for Laplace Transforms of Volatility
| Year of publication: |
2022
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|---|---|
| Authors: | Hounyo, Ulrich ; Liu, Zhi ; Varneskov, Rasmus Tangsgaard |
| Publisher: |
[S.l.] : SSRN |
| Subject: | Volatilität | Volatility | Bootstrap-Verfahren | Bootstrap approach | Theorie | Theory | Heteroskedastizität | Heteroscedasticity |
| Description of contents: |
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
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freely available