A Modified Wild Bootstrap Procedure for Laplace Transforms of Volatility1
| Year of publication: |
[2023]
|
|---|---|
| Authors: | Varneskov, Rasmus ; Hounyo, Ulrich ; Liu, Zhi |
| Publisher: |
[S.l.] : SSRN |
| Subject: | Bootstrap-Verfahren | Bootstrap approach | Theorie | Theory |
| 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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| Extent: | 1 Online-Ressource (7 p) |
|---|---|
| Type of publication: | Book / Working Paper |
| Language: | English |
| Other identifiers: | 10.2139/ssrn.4427186 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014357706