We study inference for the local innovations of It\^o semimartingales. Specifically, we construct a resampling procedure for the empirical CDF of high-frequency innovations that have been standardized using a nonparametric estimate of its stochastic scale (volatility) and truncated to rid the...

Frontmatter -- Contents -- Preface -- Chapter One Introduction -- Chapter Two Components of a Dynamic Programming Model -- Chapter Three Discrete States and Controls -- Chapter Four Likelihood Functions for Discrete State/Control Models -- Chapter Five Random Utility Models -- Chapter Six...